相关论文: Analysis of price diffusion in financial markets u…
Continuous time random walk models with decoupled waiting time density are studied. When the spatial one jump probability density belongs to the Levy distribution type and the total time transition is exponential a generalized…
The "Money Exchange Model" is a type of agent-based simulation model used to study how wealth distribution and inequality evolve through monetary exchanges between individuals. The primary focus of this model is to identify the limiting…
We introduce a new approach to quantize the Euler scheme of an $\mathbb{R}^d$-valued diffusion process. This method is based on a Markovian and componentwise product quantization and allows us, from a numerical point of view, to speak of…
We study a microscopic limit order book model, in which the order dynamics depend on the current best bid and ask price and the current volume density functions, simultaneously, and derive its macroscopic high-frequency dynamics. As opposed…
We study the poor-biased model for money exchange introduced in [2]: agents are being randomly picked at a rate proportional to their current wealth, and then the selected agent gives a dollar to another agent picked uniformly at random.…
Global marketing managers are interested in understanding the speed of the new product diffusion process and how the speed has changed in our ever more technologically advanced and global marketplace. Understanding the process allows firms…
One key issue in the probability density function (PDF) approach for disperse two-phase turbulent flows is to close the diffusion term in the phase space. This study aimed to derive a kinetic equation for particle dispersion in turbulent…
Mandatory emission trading schemes are being established around the world. Participants of such market schemes are always exposed to risks. This leads to the creation of an accompanying market for emission-linked derivatives. To evaluate…
We carry out a detailed large-scale data analysis of price response functions in the spot foreign exchange market for different years and different time scales. Such response functions provide quantitative information on the deviation from…
We introduce a new model for describing the fluctuations of a tick-by-tick single asset price. Our model is based on Markov renewal processes. We consider a point process associated to the timestamps of the price jumps, and marks associated…
This paper continues a series of studies devoted to analysis of the bivariate probability distribution P(x,y) of two consecutive price increments x (push) and y (response) at intraday timescales for a group of stocks. Besides the asymmetry…
This paper performs the numerical analysis and the computation of a Spread option in a market with imperfect liquidity. The number of shares traded in the stock market has a direct impact on the stock's price. Thus, we consider a…
A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical…
We present a set of models of the main stylized facts of market price fluctuations. These models comprise dynamical evolution with threshold dynamics and Langevin price equation with multiplicative noise, percolation models to describe the…
We consider a random walk of $n$ steps starting at $x_0=0$ with a double exponential (Laplace) jump distribution. We compute exactly the distribution $p_{k,n}(\Delta)$ of the gap $d_{k,n}$ between the $k^{\rm th}$ and $(k+1)^{\rm th}$…
This paper introduces nonparametric econometric methods that characterize general power law distributions under basic stability conditions. These methods extend the literature on power laws in the social sciences in several directions.…
We show that the generalized diffusion coefficient of a subdiffusive intermittent map is a fractal function of control parameters. A modified continuous time random walk theory yields its coarse functional form and correctly describes a…
At high levels, the asymptotic distribution of a stationary, regularly varying Markov chain is conveniently given by its tail process. The latter takes the form of a geometric random walk, the increment distribution depending on the sign of…
In recent years, several experiments highlighted a new type of diffusion anomaly, which was called Brownian yet non-Gaussian diffusion. In systems displaying this behavior, the mean squared displacement of the diffusing particles grows…
In order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a crisis. We first attempt to visualize the collective…