Related papers: A theory for long-memory in supply and demand
The trade size $\omega$ has direct impact on the price formation of the stock traded. Econophysical analyses of transaction data for the US and Australian stock markets have uncovered market-specific scaling laws, where a master curve of…
Many scientific areas, from computer science to the environmental sciences and finance, give rise to multivariate time series which exhibit long memory, or loosely put, a slow decay in their autocorrelation structure. Efficient modelling…
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is generic, and only relies on mild assumptions about the order flow…
Long-range temporal and spatial correlations have been reported in a remarkable number of studies. In particular power-law scaling in neural activity raised considerable interest. We here provide a straightforward algorithm not only to…
The mean-field variant of the model of limit order driven market introduced recently by Maslov is formulated and solved. The agents do not have any strategies and the memory of the system is kept within the order book. We show that he…
Prior work studies the question of ``fairly'' ordering transactions in a replicated state machine. Each of $n$ replicas receives transactions in a possibly different order, and the system must aggregate the observed orderings into a single…
We present an empirical analysis of the microstructure of financial markets and, in particular, of the static and dynamic properties of liquidity. We find that on relatively large time scales (15 minutes) large price fluctuations are…
The dynamics of prices in financial markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, a complete stochastic characterization of volatility is still lacking. What it is well…
Using Trades and Quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delicate interplay between two opposite tendencies: long-range correlated market orders that lead to…
We study the cause of large fluctuations in prices in the London Stock Exchange. This is done at the microscopic level of individual events, where an event is the placement or cancellation of an order to buy or sell. We show that price…
In the field of large language model (LLM)-based proof generation, despite extensive training on large datasets such as ArXiv, LLMs still exhibit only modest performance on proving tasks of moderate difficulty. We believe that this is…
The Lillo-Mike-Farmer (LMF) model is an established econophysics model describing the order-splitting behaviour of institutional investors in financial markets. In the original article (LMF, Physical Review E 71, 066122 (2005)), LMF assumed…
As a firm varies the price of a product, consumers exhibit reference effects, making purchase decisions based not only on the prevailing price but also the product's price history. We consider the problem of learning such behavioral…
We introduce a general method for the study of memory in symbolic sequences based on higher-order Markov analysis. The Markov process that best represents a sequence is expressed as a mixture of matrices of minimal orders, enabling the…
Financial markets display scale-free behavior in many different aspects. The power-law behavior of part of the distribution of individual wealth has been recognized by Pareto as early as the nineteenth century. Heavy-tailed and scale-free…
In this work, we propose an order book model with herd behavior. The proposed model is built upon two distinct approaches: a recent empirical study of the detailed order book records by Kanazawa et al. [Phys. Rev. Lett. 120, 138301] and…
I present an overview of some recent advancements on the empirical analysis and theoretical modeling of the process of price formation in financial markets as the result of the arrival of orders in a limit order book exchange. After…
We develop an empirical behavioural order-driven (EBOD) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in the definition of relative price. The order placement process…
We study the analytical properties of a one-side order book model in which the flows of limit and market orders are Poisson processes and the distribution of lifetimes of cancelled orders is exponential. Although simplistic, the model…
Large Language Models (LLMs) frequently memorize long sequences verbatim, often with serious legal and privacy implications. Much prior work has studied such verbatim memorization using observational data. To complement such work, we…