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Found 21 papers, 4 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.
When is cross impact relevant?
Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact.
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.
Microfounding GARCH Models and Beyond: A Kyle-inspired Model with Adaptive Agents
We relax the strong rationality assumption for the agents in the paradigmatic Kyle model of price formation, thereby reconciling the framework of asymmetrically informed traders with the Adaptive Market Hypothesis, where agents use inductive rather than deductive reasoning.
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.
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.
Do fundamentals shape the price response? A critical assessment of linear impact models
We compare the predictions of the stationary Kyle model, a microfounded multi-step linear price impact model in which market prices forecast fundamentals through information encoded in the order flow, with those of the propagator model, a purely data-driven model in which trades mechanically impact prices with a time-decaying kernel.
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.
Capital Demand Driven Business Cycles: Mechanism and Effects
We develop a tractable macroeconomic model that captures dynamic behaviors across multiple timescales, including business cycles.
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.
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).
Cross impact in derivative markets
Trading a financial asset pushes its price as well as the prices of other assets, a phenomenon known as cross-impact.
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
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.
A Stationary Kyle Setup: Microfounding propagator models
We provide an economically sound micro-foundation to linear price impact models, by deriving them as the equilibrium of a suitable agent-based system.
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.
How to build a cross-impact model from first principles: Theoretical requirements and empirical results
Trading a financial instrument pushes its price and those of other assets, a phenomenon known as cross-impact.
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.
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
