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We consider estimation of the spot volatility in a stochastic boundary model with one-sided microstructure noise for high-frequency limit order prices. Based on discrete, noisy observations of an It\^o semimartingale with jumps and general…
Many large cities are found at locations with certain first nature advantages. Yet, those exogenous locational features may not be the most potent forces governing the spatial pattern of cities. In particular, population size, spacing and…
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 study superreplication of European contingent claims in discrete time in a large trader model with market indifference prices recently proposed by Bank and Kramkov. We introduce a suitable notion of efficient friction in this framework,…
It is tempting to inflate along one of the many flat directions that arise in supersymmetric theories. The required flatness of the potential to obtain sufficient inflation and to not overproduce density fluctuations occurs naturally.…
The paper proposes a class of financial market models which are based on inhomogeneous telegraph processes and jump diffusions with alternating volatilities. It is assumed that the jumps occur when the tendencies and volatilities are…
Episodes of market crashes have fascinated economists for centuries. Although many academics, practitioners and policy makers have studied questions related to collapsing asset price bubbles, there is little consensus yet about their causes…
We study the structure of the international trade hypergraph consisting of triangular hyperedges representing the exporter-importer-product relationship. Measuring the mean hyperdegree of the adjacent vertices, we first find its behaviors…
Recurrence plots exhibit line structures which represent typical behaviour of the investigated system. The local slope of these line structures is connected with a specific transformation of the time scales of different segments of the…
Shells, when confined, can deform in a broad assortment of shapes and patterns, often quite dissimilar to what is produced by their flat counterparts (plates). In this work we discuss the morphological landscape of shells deposited on a…
Conventional models of matching markets assume that monetary transfers can clear markets by compensating for utility differentials. However, empirical patterns show that such transfers often fail to close structural preference gaps. This…
We use the statistical properties of Shannon entropy estimator and Kullback-Leibler divergence to study the predictability of ultra-high frequency financial data. We develop a statistical test for the predictability of a sequence based on…
A growing part of the behavioral finance literature has addressed some of the stylized facts of financial time series as macroscopic patterns emerging from herding interactions among groups of agents with heterogeneous trading strategies…
This paper embeds a signaling friction into the continuous-time heterogeneous agent framework. A continuum of producers operate Cobb-Douglas technologies with regime-specific productivity $A_j \in \{A_L, A_H\}$. Stochastic arrival of…
The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for…
Link prediction is an open problem in the complex network, which attracts much research interest currently. However, little attention has been paid to the relation between network structure and the performance of prediction methods. In…
Spatially embedded networks are shaped by a combination of purely topological (space-independent) and space-dependent formation rules. While it is quite easy to artificially generate networks where the relative importance of these two…
We develop a theoretical framework that aims to link micro-level option hedging and stock-specific factor exposure with macro-level market turbulence and explain endogenous volatility amplification during gamma-squeeze events. By explicitly…
This work proposes $\chi^2$-type test statistics to assess different hypotheses on the local structure of an observed marked point pattern. The test statistics is based on the local inhomogeneous extension of the mark-weighted $K$-function…
Several mechanisms have been proposed to explain the spontaneous generation of self-organized patterns, hypothesised to play a role in the formation of many of the magnificent patterns observed in Nature. In several cases of interest, the…