Related papers: The sharp peak-flat trough pattern and critical sp…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly…
Financial markets show a number of non-stationarities, ranging from volatility fluctuations over ever changing technical and regulatory market conditions to seasonalities. On the other hand, financial markets show various stylized facts…
Popular network models such as the mixed membership and standard stochastic block model are known to exhibit distinct geometric structure when embedded into $\mathbb{R}^{d}$ using spectral methods. The resulting point cloud concentrates…
It has long been noticed that high dimension data exhibits strange patterns. This has been variously interpreted as either a "blessing" or a "curse", causing uncomfortable inconsistencies in the literature. We propose that these patterns…
I study the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption. This exercise shows that, even in the ideal case of perfect…
We compare the predictions of the stationary Kyle model, a microfounded multi-step linear price impact model in which market prices forecast fundamentals through information encoded in the order flow, with those of the propagator model, a…
We exploit the symmetry concepts developed in the companion review of this article to introduce a stochastic version of link reversal symmetry, which leads to an improved understanding of the reciprocity of directed networks. We apply our…
Distributions of assets returns exhibit a slight skewness. In this note we show that our model of endogenous price formation \cite{Reimann2006} creates an asymmetric return distribution if the price dynamics are a process in which…
The complexity of condensed matter arises from emergent behaviors that cannot be understood by analyzing individual constituents in isolation. While traditional condensed-matter approaches-developed primarily for ideal crystalline…
The principle of similarity, or homophily, is often used to explain patterns observed in complex networks such as transitivity and the abundance of triangles (3-cycles). However, many phenomena from division of labor to protein-protein…
The interbank market is considered one of the most important channels of contagion. Its network representation, where banks and claims/obligations are represented by nodes and links (respectively), has received a lot of attention in the…
We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical correlation matrices appearing in the study of price fluctuations. The central result of the…
Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical…
This paper provides robust, new evidence on the causal drivers of market troughs. We demonstrate that conclusions about these triggers are critically sensitive to model specification, moving beyond restrictive linear models with a flexible…
We present empirical evidence on the relationship between demand shocks and price changes, conditional on returns to scale. We find that in industries with decreasing returns to scale, demand increases (which raise costs) correspond to…
While there is substantial need for dependence models in higher dimensions, most existing models quickly become rather restrictive and barely balance parsimony and flexibility. Hierarchical constructions may improve on that by grouping…
Let a cluster be a term with a number of patterns occurring in it. We give two accounts of clusters, a geometric one as sets of (node and edge) positions, and an inductive one as pairs of terms with gaps (2nd order variables) and…
Finding patterns in graphs is a fundamental problem in databases and data mining. In many applications, graphs are temporal and evolve over time, so we are interested in finding durable patterns, such as triangles and paths, which persist…
Real-world networks often exhibit strong transitivity with nontrivial local clustering spectra and degree correlations. Such features are not easily modeled in tractable network models, creating an obstacle to the theoretical understanding…