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We study a one-dimensional chain of harmonically coupled units in an asymmetric anharmonic soft potential. Due to nonlinear localisation of energy, this system exhibits extreme events in the sense that individual elements of the chain show…
In this paper, we study the herding phenomena in financial markets arising from the combined effect of (1) non-coordinated collective interactions between the market players and (2) concurrent reactions of market players to dynamic market…
Urban housing markets, along with markets of other assets, universally exhibit periods of strong price increases followed by sharp corrections. The mechanisms generating such non-linearities are not yet well understood. We develop an…
This paper is devoted to a study of robust fundamental theorems of asset pricing in discrete time and finite horizon settings. Uncertainty is modelled by a (possibly uncountable) family of price processes on the same probability space. Our…
The scaling behaviour of the diffraction intensity near the origin is investigated for (partially) ordered systems, with an emphasis on illustrative, rigorous results. This is an established method to detect and quantify the fluctuation…
The extreme event statistics plays a very important role in the theory and practice of time series analysis. The reassembly of classical theoretical results is often undermined by non-stationarity and dependence between increments.…
We propose a non-linear observation-driven version of the Hasbrouck (1991) model for dynamically estimating trades' market impact and information content. We find that market impact displays an intraday pattern superimposed with large…
We analyze the spectral properties of correlation matrices between distinct statistical systems. Such matrices are intrinsically non symmetric, and lend themselves to extend the spectral analyses usually performed on standard Pearson…
Price-mediated contagion occurs when a positive feedback loop develops following a drop in asset prices which forces banks and other financial institutions to sell their holdings. Prior studies of such events fix the level of market…
We explore a simple lattice field model intended to describe statistical properties of high frequency financial markets. The model is relevant in the cross-disciplinary area of econophysics. Its signature feature is the emergence of a…
We consider a 2-dimensional marked Hawkes process with increasing baseline intensity in order to model prices on electricity intraday markets. This model allows to represent different empirical facts such as increasing market activity,…
Spontaneous pattern formation from a uniform state is a widely studied nonlinear optical phenomenon that shares similarities with non-equilibrium pattern formation in other scientific domains. Here we show how a single layer of atoms in an…
We present cross and time series analysis of price fluctuations in the U.S. Treasury fixed income market. By means of techniques borrowed from statistical physics we show that the correlation among bonds depends strongly on the maturity and…
Many financial and economic variables, including financial returns, exhibit nonlinear dependence, heterogeneity and heavy-tailedness. These properties may make problematic the analysis of (non-)efficiency and volatility clustering in…
Continuous time financial market models are often motivated as scaling limits of discrete time models. The objective of this paper is to establish such a connection for a robust framework. More specifically, we consider discrete time models…
Traditional economic models typically treat private information, or signals, as generated from some underlying state. Recent work has explicated alternative models, where signals correspond to interpretations of available information. We…
Networked structures arise in a wide array of different contexts such as technological and transportation infrastructures, social phenomena, and biological systems. These highly interconnected systems have recently been the focus of a great…
We consider a simple model of rational agents competing in a single product market described by simple linear demand curve. Contrary to accepted economic theory, the agents' production levels synchronise in the absence of conscious…
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…
How and why stock prices move is a centuries-old question still not answered conclusively. More recently, attention shifted to higher frequencies, where trades are processed piecewise across different timescales. Here we reveal that price…