相关论文: Interplay between endogenous and exogenous fluctua…

We measure the influence of different time-scales on the dynamics of financial market data. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying…

Random walks are one of the best investigated dynamical processes on graphs. A particularly fascinating phenomenon is the scaling relationship of fluctuations $\sigma $ with the average flux $\langle f \rangle $. Here we analyze how network…

In this article we model chaotic dynamics in financial markets by treating the market price, and market makers' inventory, as anharmonic oscillators with a nonlinear coupling. The market makers' risk appetite being the key parameter that…

We develop a new stock market index that captures the chaos existing in the market by measuring the mutual changes of asset prices. This new index relies on a tensor-based embedding of the stock market information, which in turn frees it…

This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "partial" information about future cash flows. Each cash flow is…

We introduce a Hawkes-like process and study its scaling limit as the system becomes increasingly endogenous. We derive functional limit theorems for intensity and fluctuations. Then, we introduce a high-frequency model for a price of a…

Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior in such systems, where the interaction…

We introduce a simple model for addressing the controversy in the study of financial systems, sometimes taken as brownian-like processes and other as critical systems with fluctuations of arbitrary magnitude. The model considers a…

A natural phenomenon occurring in a living system is an outcome of the dynamics of the specific biological network underlying the phenomenon. The collective dynamics have both deterministic and stochastic components. The stochastic nature…

We investigate the large-fluctuation dynamics in financial markets, based on the minute-to-minute and daily data of the Chinese Indices and German DAX. The dynamic relaxation both before and after the large fluctuations is characterized by…

Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…

In this work, we consider a multi-population system where the dynamics of each agent evolve according to a system of stochastic differential equations in a general functional setup, determined by the global state of the system. Each agent…

Synchronising a database of stock specific news with 5 years worth of order book data on 300 stocks, we show that abnormal price movements following news releases (exogenous) exhibit markedly different dynamical features from those arising…

The effect of external fluctuations on the formation of spatial patterns is analysed by means of a stochastic Swift-Hohenberg model with multiplicative space-correlated noise. Numerical simulations in two dimensions show a shift of the…

This paper analyzes and explicitly solves a class of long-term average impulse control problems with a specific mean-field interaction. The underlying process is a general one-dimensional diffusion with appropriate boundary behavior. The…

The observable behavior of a complex system reflects the mechanisms governing the internal interactions between the system's components and the effect of external perturbations. Here we show that by capturing the simultaneous activity of…

Agents' heterogeneity is recognized as a driver mechanism for the persistence of financial volatility. We focus on the multiplicity of investment strategies' horizons, we embed this concept in a continuous time stochastic volatility…

We present a new framework for modeling the statistical behavior of both fully developed turbulence and short-term dynamics of financial markets based on the nonextensive thermostatistics proposed by Tsallis. We also show that intermittency…

Inferring the directionality of interactions between cellular processes is a major challenge in systems biology. Time-lagged correlations allow to discriminate between alternative models, but they still rely on assumed underlying…

Agent-based models help explain stock price dynamics as emergent phenomena driven by interacting investors. In this modeling tradition, investor behavior has typically been captured by two distinct mechanisms -- learning and heterogeneous…