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Textual materials

Federico Guglielmo Morelli
et al. (Jan 14, 2021)

Textual materials

We study a self-reflexive DSGE model with heterogeneous households, aimed at characterising the impact of economic recessions on the different strata of the society. Our framework allows to analyse the combined effect of income inequalities and confidence feedback mediated by heterogeneous social ne...

Jean-Philippe Bouchaud
et al. (Dec 17, 2020)

Textual materials

Théo Dessertaine
et al. (Dec 10, 2020)

Preprint

Théo Dessertaine
et al. (Dec 9, 2020)

Textual materials

Antoine Fosset
et al. (Nov 10, 2020)

Preprint

We propose an actionable calibration procedure for general Quadratic Hawkes models of order book events (market orders, limit orders, cancellations). One of the main features of such models is to encode not only the influence of past events on future events but also, crucially, the influence of past...

Antoine Fosset
et al. (May 12, 2020)

Textual materials

José Moran
et al. (Apr 14, 2020)

Textual materials

We show how the approach to equilibrium in Kirman's ants model can be fully characterized in terms of the spectrum of a Schr\"odinger equation with a P\"oschl-Teller ($\tan^2$) potential. Among other interesting properties, we have found that in the bimodal phase where ants visit mostly one food sit...

Articles

Antoine Fosset
et al. (2020)

Articles

Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes. In particular, we show that liquidity tends todecrease with the amplitude of past volatility and price trends. Such a feedback mechanism inturn increa...

armine karami
et al. (2020)

Articles

We explore the effect of past market movements on the instantaneous correlations between assets within the futures market. Quantifying this effect is of interest to estimate and manage the risk associated to portfolios of futures in a non-stationary context. We apply and extend a previously reported...

Frédéric Bucci
et al. (2020)

Articles

We revisit the trading invariance hypothesis recently proposed by Kyle and Obizhaeva [1] by empirically investigating a large dataset of bets, or metaorders, provided by ANcerno. The hypothesis predicts that the quantity I := R/N 3/2 , where R is the exchanged risk (volatility × volume × price) and...

Federico Morelli
et al. (2020)

Articles

We investigate a multi-household DSGE model in which past aggregate consumption impacts the confidence, and therefore consumption propensity, of individual households. We find that such a minimal setup is extremely rich, and leads to a variety of realistic output dynamics: high output with no crises...

Valerio Volpati
et al. (2020)

Articles

Crowding is most likely an important factor in the deterioration of strategy performance, the increase of trading costs and the development of systemic risk. We study the imprints of crowding on both anonymous market data and a large database of metaorders from institutional investors in the U.S. eq...

Armine Karami
et al. (Dec 27, 2019)

Textual materials

Articles

Frédéric Bucci
et al. (Jul 5, 2019)

Articles

The notion of market impact is subtle and sometimes misinterpreted. Here we argue that impact should not be misconstrued as volatility. In particular, the so-called "square-root impact law", which states that impact grows as the square-root of traded volume, has nothing to do with price diffusion, i...

Frédéric Bucci
et al. (Jul, 2019)

Articles

We present an empirical study of price reversion after the executed metaorders. We use a data set with more than 8 million metaorders executed by institutional investors in the US equity market. We show that relaxation takes place as soon as the metaorder ends:while at the end of the same day it is...

Félix Roy
(Dec 14, 2020)

Thesis

This thesis is a mathematical study of ecological models. The setup is the following: assume we delimit some forest parcel, and reference the populations of the various species it contains. If we let the ecosystem be, some species will bloom, others will go extinct. Our mathematical model predicts h...

Coquidé Célestin
(Nov 23, 2020)

Thesis

In a current period where people use more and more the Internet and are connected worldwide, our lives become easier. The Network science, a recent scientific domain coming from graph theory, handle such connected complex systems. A network is a mathematical object consisting in a set of interconnec...

Michele Vodret
et al. (Nov 20, 2020)

Preprint

We provide an economically sound micro-foundation to linear price impact models, by deriving them as the equilibrium of a suitable agent-based system. Our setup generalizes the well-known Kyle model, by dropping the assumption of a terminal time at which fundamental information is revealed so to des...

Nathan Noiry
(Oct 8, 2020)

Thesis

This thesis consists of several works related to the theory of random matrices and the theory of random graphs. In the context of random matrices, a first work concerns the spectrum of Wishart matrices whose size tends to infinity and whose entries have exploding moments. In this setting, we compute...

Antoine Fosset
(Sep 29, 2020)

Thesis

Recent empirical analyses have revealed the existence of the Zumbach effect. This discovery has led to the development of quadratic Hawkes processes, which are suitable for reproducing this effect. Since this model is not linked with the price formation process, we extended it to order book modeling...

Emilio Said
(Jun 23, 2020)

Thesis

The main objective of this thesis is to understand the various aspects of market impact. It consists of four chapters in which the market impact is studied in different contexts and at different scales. The first chapter presents an empirical study of the market impact of limit orders on European eq...

Sylvain Mignot
et al. (Jun 1, 2020)

Articles

This paper presents an overview of how agent-based computational economics can contribute to the study of economic systems. It highlights the way these models can improve our understanding of social interactions and coordination mechanisms and bring to light the complex dependencies between the micr...

Mehdi Tomas
et al. (May 7, 2020)

Preprint

Cross-impact, namely the fact that on average buy (sell) trades on a financial instrument induce positive (negative) price changes in other correlated assets, can be measured from abundant, although noisy, market data. In this paper we propose a principled approach that allows to perform model selec...

L. C. Garcia del Molino
et al. (2020)

Articles

We reconsider the multivariate Kyle model in a risk-neutral setting with a single, perfectly informed rational insider and a rational competitive market maker, setting the price of n correlated securities. We prove the unicity of a symmetric, positive definite solution for the impact matrix and prov...

Christian Bongiorno
et al. (Oct 28, 2019)

Preprint

We introduce a method to predict which correlation matrix coefficients are likely to change their signs in the future in the high-dimensional regime, i.e. when the number of features is larger than the number of samples per feature. The stability of correlation signs, two-by-two relationships, is fo...

A. Hazan
(Aug 27, 2019)

Preprint

Pamela Saliba
(Jul 18, 2019)

Thesis

This thesis is made of two related parts. In the first one, we study the empirical behaviour of high-frequency traders on European financial markets. We use the obtained results to build in the second part new agent-based models for market dynamics. The main purpose of these models is to provide inn...

Clément Cosco
(Jun 28, 2019)

Thesis

This thesis is dedicated to the study of the links between directed polymers in random environment, the stochastic heat equation with multiplicative noise (SHE) and the Kardar-Parisi-Zhang equation (KPZ), under different space dimensions. In dimension d= 1, the KPZ equation and the SHE equation belo...

Thesis

Assaf Shapira
(Jun 27, 2019)

Thesis

This thesis concerns with Kinetically Constrained Models and Bootstrap Percolation, two topics in the intersection between probability, combinatorics and statistical mechanics. Kinetically constrained models were introduced by physicists in the 1980's to model the liquid-glass transition, whose unde...

Lucas Benigni
(Jun 20, 2019)

Thesis

This thesis consists in two independent parts. The first part pertains to the study of eigenvectors of random matrices of Wigner-type. Firstly, we analyze the distribution of eigenvectors of deformed Wigner matrices which consist in a perturbation of a Wigner matrix by a deterministic diagonal matri...