Related papers: Symmetry Breaking in Stock Demand
The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similarly to the asset prices, the trading volume data obey multi-scaling length-distribution of low-variability…
Motivated by how transaction amount constrain trading volume and price volatility in stock market, we, in this paper, study the relation between volume and price if amount of transaction is given. We find that accumulative trading volume…
The art of making structural, polymeric and metallic glasses is rapidly developing with many applications. A limitation to their use is their mechanical stability: under increasing external strain all amorphous solids respond elastically to…
It is shown that delta hedging provides the optimal trading strategy in terms of minimal required initial capital to replicate a given terminal payoff in a continuous-time Markovian context. This holds true in market models where no…
Processes involving bursts of activity separated by quiescent periods occur across diverse systems and scales. In human dynamics, these phenomena have been described by power-law inter-event time distributions, $P(t)\sim t^{-\alpha}$, with…
We develop a theoretical trading conditioning model subject to price volatility and return information in terms of market psychological behavior, based on analytical transaction volume-price probability wave distributions in which we use…
We investigate general scalar field potentials \hbox{$V\left(\phi\right)$} for inflationary cosmology arising from spontaneous symmetry breaking. We find that potentials which are dominated by terms of order $\phi^m$ with \hbox{$m > 2$} can…
We study properties of the cross-sectional distribution of returns. A significant anti-correlation between dispersion and cross-sectional kurtosis is found such that dispersion is high but kurtosis is low in panic times, and the opposite in…
For classification of the high frequency trading quantities, waiting times, price increments within and between sessions are referred to as the a-, b-, and c-increments. Statistics of the a-b-c-increments are computed for the Time & Sales…
In this work, we present evidence for the spontaneous breaking of a continuous symmetry in a nearest-neighbour interacting spin-1 chain tuned to a quantum critical point at $T=0$ between two XY quasi-long-range order phases differing by the…
We show that a local non-Hermitian perturbation in a Hermitian lattice system generically induces scale-free localization for the continuous-spectrum eigenstates. When the perturbation lies at a finite distance to the boundary, the…
Phase transitions not allowed in equilibrium steady states may happen however at the fluctuating level. We observe for the first time this striking and general phenomenon measuring current fluctuations in an isolated diffusive system. While…
In this paper we investigate the endogenous information contained in four liquidity variables at a five minutes time scale on equity markets around the world: the traded volume, the bid-ask spread, the volatility and the volume at first…
Market Mill is a complex dependence pattern leading to nonlinear correlations and predictability in intraday dynamics of stock prices. The present paper puts together previous efforts to build a dynamical model reflecting the market mill…
We explore the concept of scaling invariance in a type of dynamical systems that undergo a transition from order (regularity) to disorder (chaos). The systems are described by a two-dimensional, nonlinear mapping that preserves the area in…
Spontaneous synchronization has long served as a paradigm for behavioral uniformity that can emerge from interactions in complex systems. When the interacting entities are identical and their coupling patterns are also identical, the…
We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask…
Financial markets are highly non-linear and non-equilibrium systems. Earlier works have suggested that the behavior of market returns can be well described within the framework of non-extensive Tsallis statistics or superstatistics. For…
Scale invariance usually occurs in extended systems where correlation functions decay algebraically in space and/or time. Here we introduce a new type of scale invariance, occurring in the distribution functions of physical observables. At…
Models of inflationary cosmology based on spontaneous symmetry breaking typically suffer from the shortcoming that the symmetry breaking scale is driven to nearly the Planck scale by observational constraints. In this paper we investigate…