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Found 37 papers, 8 papers with code
Riding Wavelets: A Method to Discover New Classes of Price Jumps
Cascades of events and extreme occurrences have garnered significant attention across diverse domains such as financial markets, seismology, and social physics.
Revisiting Granular Models of Firm Growth
As predicted by the model, the distribution of growth rate volatilities is to a good approximation {independent of firm size}, once rescaled by the average size-conditioned volatility.
Revisiting Elastic String Models of Forward Interest Rates
Twenty five years ago, several authors proposed to model the forward interest rate curve (FRC) as an elastic string along which idiosyncratic shocks propagate, accounting for the peculiar structure of the return correlation across different maturities.
Path Shadowing Monte-Carlo
We introduce a Path Shadowing Monte-Carlo method, which provides prediction of future paths, given any generative model.
Post-COVID Inflation & the Monetary Policy Dilemma: An Agent-Based Scenario Analysis
We include a mechanism through which trust of economic agents in the Central Bank can de-anchor.
The Cost of Misspecifying Price Impact
Portfolio managers' orders trade off return and trading cost predictions.
Multivariate Quadratic Hawkes Processes -- Part I: Theoretical Analysis
Quadratic Hawkes (QHawkes) processes have proved effective at reproducing the statistics of price changes, capturing many of the stylised facts of financial markets.
Bounded Rationality and Animal Spirits: A Fluctuation-Response Approach to Slutsky Matrices
The Slutsky equation, central in consumer choice theory, is derived from the usual hypotheses underlying most standard models in Economics, such as full rationality, homogeneity, and absence of interactions.
Excess Out-of-Sample Risk and Fleeting Modes
Using Random Matrix Theory, we propose a universal and versatile tool to reveal the existence of "fleeting modes", i. e. portfolios that carry statistically significant excess risk, signalling ex-post a change in the correlation structure in the underlying asset space.
Scale Dependencies and Self-Similar Models with Wavelet Scattering Spectra
We introduce the wavelet scattering spectra which provide non-Gaussian models of time-series having stationary increments.
On Hawkes Processes with Infinite Mean Intensity
The stability condition for Hawkes processes and their non-linear extensions usually relies on the condition that the mean intensity is a finite constant.
Exploration of the Parameter Space in Macroeconomic Agent-Based Models
Inspired by ideas coming from systems biology, we show that for multiple macroeconomic models, including an agent-based model and several Dynamic Stochastic General Equilibrium (DSGE) models, there are only a few stiff parameter combinations that have strong effects, while the other sloppy directions are irrelevant.
Economic Crises in a Model with Capital Scarcity and Self-Reflexive Confidence
In the General Theory, Keynes remarked that the economy's state depends on expectations, and that these expectations can be subject to sudden swings.
The Inelastic Market Hypothesis: A Microstructural Interpretation
We attempt to reconcile Gabaix and Koijen's (GK) recent Inelastic Market Hypothesis (IMH) with the order-driven view of markets that emerged within the microstructure literature in the past 20 years.
Exogenous and Endogenous Price Jumps Belong to Different Dynamical Classes
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 spontaneously (endogenous).
Radical Complexity
This is an informal and sketchy review of six topical, somewhat unrelated subjects in quantitative finance: rough volatility models; random covariance matrix theory; copulas; crowded trades; high-frequency trading & market stability; and "radical complexity" & scenario based (macro)economics.
Matrix Kesten Recursion, Inverse-Wishart Ensemble and Fermions in a Morse Potential
In the continuum limit of this recursion, we show that the matrix distribution converges to the inverse-Wishart ensemble of random matrices.
Statistical Mechanics Disordered Systems and Neural Networks Mathematical Physics Mathematical Physics Probability
Crisis Propagation in a Heterogeneous Self-Reflexive DSGE Model
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.
Statistical Mechanics General Finance
Amorphous Order & Non-linear Susceptibilities in Glassy Materials
We review 15 years of theoretical and experimental work on the non-linear response of glassy systems.
Disordered Systems and Neural Networks Soft Condensed Matter Statistical Mechanics
Self-Fulfilling Prophecies, Quasi Non-Ergodicity and Wealth Inequality
We construct a model of an exchange economy in which agents trade assets contingent on an observable signal, the probability of which depends on public opinion.
Out-of-Equilibrium Dynamics and Excess Volatility in Firm Networks
We show that the time needed to reach equilibrium diverges to infinity as the system approaches an instability point beyond which the Hawkins-Simons condition is violated and competitive equilibrium is no longer admissible.
V-, U-, L-, or W-shaped economic recovery after COVID: Insights from an Agent Based Model
We discuss the impact of a Covid-19--like shock on a simple model economy, described by the previously developed Mark-0 Agent-Based Model.
General Economics Physics and Society Economics
Good speciation and endogenous business cycles in a constraint satisfaction macroeconomic model
More generally, our model shows that constraints at the individual scale can generate highly complex patterns at the aggregate level.
Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events
We find that the Zumbach kernel is a power-law of time, as are all other feedback kernels.
Equity Factors: To Short Or Not To Short, That Is The Question
What is the best market-neutral implementation of classical Equity Factors?
Zooming In on Equity Factor Crowding
Crowding is most likely an important factor in the deterioration of strategy performance, the increase of trading costs and the development of systemic risk.
Conditional Correlations and Principal Regression Analysis for Futures
We explore the effect of past market movements on the instantaneous correlations between assets within the futures market.
Endogenous Liquidity Crises
Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes.
Optimal multi-asset trading with linear costs: a mean-field approach
Optimal multi-asset trading with Markovian predictors is well understood in the case of quadratic transaction costs, but remains intractable when these costs are $L_1$.
Crossover from linear to square-Root market impact
Using a large database of 8 million institutional trades executed in the U. S. equity market, we establish a clear crossover between a linear market impact regime and a square-root regime as a function of the volume of the order.
Trading and Market Microstructure Statistical Mechanics
Nonlinear price impact from linear models
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike.
Universal scaling and nonlinearity of aggregate price impact in financial markets
Prices move only when there is sufficient balance in the local order flow.
Explore or exploit? A generic model and an exactly solvable case
Finding a good compromise between the exploitation of known resources and the exploration of unknown, but potentially more profitable choices, is a general problem, which arises in many different scientific disciplines.
Critical reflexivity in financial markets: a Hawkes process analysis
We model the arrival of mid-price changes in the E-Mini S&P futures contract as a self-exciting Hawkes process.
Statistical Finance Statistical Mechanics
How markets slowly digest changes in supply and demand
In this article we revisit the classic problem of tatonnement in price formation from a microstructure point of view, reviewing a recent body of theoretical and empirical work explaining how fluctuations in supply and demand are slowly incorporated into prices.
Trading and Market Microstructure Statistical Mechanics Physics and Society
Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
We propose a new `hedged' Monte-Carlo (HMC) method to price financial derivatives, which allows to determine simultaneously the optimal hedge.
cond-mat
Noise Dressing of Financial Correlation Matrices
We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical correlation matrices appearing in the study of price fluctuations.
cond-mat
