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The increasing richness in volume, and especially types of data in the financial domain provides unprecedented opportunities to understand the stock market more comprehensively and makes the price prediction more accurate than before.…

Identifying the hidden organizational principles and relevant structures of networks representing complex physical systems is fundamental to understand their properties. To this aim, uncovering the structures involving a network's prominent…

The understanding of emergent collective phenomena in natural and social systems has driven the interest of scientists from different disciplines during decades. Among these phenomena, the synchronization of a set of interacting individuals…

We study the dependence structure of market states by estimating empirical pairwise copulas of daily stock returns. We consider both original returns, which exhibit time-varying trends and volatilities, as well as locally normalized ones,…

A nonlinear differential equation of Sornette-Ide type with noise, for a complex variable, yields endogenous crashes, preceded by roughly log-periodic oscillations in the real part, and a strong increase in the imaginary part. The latter is…

The presence of hierarchy in many real-world networks is not yet fully explained. Complex interaction networks are often coarse-grain models of vast modular networks, where tightly connected subgraphs are agglomerated into nodes for…

A new family of inflation models is introduced and studied. The models are characterised by a scalar potential which, far from the origin, approximates an inflationary plateau, while near the origin becomes monomial, as in chaotic…

The analysis of high-frequency financial data is often impeded by the presence of noise. This article is motivated by intraday return data in which market microstructure noise appears to be rough, that is, best captured by a continuous-time…

We seek to deepen understanding of the micro-foundations of institutionalization while contributing to a sociological theory of markets by investigating the puzzle of price bubbles in financial markets. We find that such markets, despite…

Patterned vegetation is a characteristic feature of many dryland ecosystems. While plant densities on the ecosystem-wide scale are typically low, a spatial self-organisation principle leads to the occurrence of alternating patches of high…

We develop a tractable model for studying strategic interactions between learning algorithms. We uncover a mechanism responsible for the emergence of algorithmic collusion. We observe that algorithms periodically coordinate on actions that…

In this paper, we consider the pricing and hedging of a financial derivative for an insider trader, in a model-independent setting. In particular, we suppose that the insider wants to act in a way which is independent of any modelling…

We consider a linear mixed-effects model with a clustered structure, where the parameters are estimated using maximum likelihood (ML) based on possibly unbalanced data. Inference with this model is typically done based on asymptotic theory,…

We establish several new stylised facts concerning the intra-day seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day,…

Sharp changes in time series representing market dynamics are studied by means of the self--similar analysis suggested earlier by the authors. These sharp changes are market booms and crashes. Such crises phenomena in markets are analogous…

We show that typical behaviors of market participants at the high frequency scale generate leverage effect and rough volatility. To do so, we build a simple microscopic model for the price of an asset based on Hawkes processes. We encode in…

It is shown that an alternative approach for the characterization of growing branched patterns consists of the statistical analysis of frozen structures, which cannot be modified by further growth, that arise due to competitive processes…

Are large biological extinctions such as the Cretaceous/Tertiary KT boundary due to a meteorite, extreme volcanic activity or self-organized critical extinction cascades? Are commercial successes due to a progressive reputation cascade or…

This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price variation. We apply new econometric techniques to a comprehensive…

Financial time series exhibit a number of interesting properties that are difficult to explain with simple models. These properties include fat-tails in the distribution of price fluctuations (or returns) that are slowly removed at longer…