A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Study analyzes price response and spread impact in foreign exchange markets.
There are non-vanishing price responses across different stocks in correlated financial markets. We further study this issue by performing different averages, which identify active and passive cross-responses. The two average cross-responses show different characteristic dependences on the time lag. The passive cross-r…
Previous studies of the stock price response to trades focused on the dynamics of single stocks, i.e. they addressed the self-response. We empirically investigate the price response of one stock to the trades of other stocks in a correlated market, i.e. the cross-responses. How large is the impact of one stock on other…
Study analyzes non-Markovian effects in financial markets over multiple years.
We demonstrate an application of risk-sensitive reinforcement learning to optimizing execution in limit order book markets. We represent taking order execution decisions based on limit order book knowledge by a Markov Decision Process; and train a trading agent in a market simulator, which emulates multi-agent interact…
Paper generalizes Hardy-Rogers maps for market equilibrium analysis in duopoly markets.
We solve the dynamics of large spherical Minority Games (MG) in the presence of non-negligible time dependent external contributions to the overall market bid. The latter represent the actions of market regulators, or other major natural or political events that impact on the market. In contrast to non-spherical MGs, t…
Using Trades and Quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delicate interplay between two opposite tendencies: long-range correlated market orders that lead to super-diffusion (or persistence), and mean reverting limit orders that lead to sub-diffu…
Previous studies of the stock price response to individual trades focused on single stocks. We empirically investigate the price response of one stock to the trades of other stocks. How large is the impact of one stock on others and vice versa? -- This impact of trades on the price change across stocks appears to be tr…
This study shows how monetary uncertainty affects stock market reactions to macroeconomic news.
New model uses symmetries and scaling laws to predict consumer advertising response.
Generative Adversarial Networks simulate realistic market interactions.
Study evaluates different price response definitions for NASDAQ stocks.
This paper extends a Kyle model to include price-responsive traders, revealing new dynamics and equilibria.
Recent studies have revealed a number of striking dependence patterns in high frequency stock price dynamics characterizing probabilistic interrelation between two consequent price increments x (push) and y (response) as described by the bivariate probability distribution P(x,y) [1,2,3,4]. There are two properties, the…
We study the market impact of a meta-order in the framework of the Minority Game. This amounts to studying the response of the market when introducing a trader who buys or sells a fixed amount h for a finite time T. This perturbation introduces statistical arbitrages that traders exploit by adapting their trading strat…
Study uses RL to simulate realistic market behavior.
We exploit a continuous time random walk description of stock prices to obtain a fast and accurate evaluation of their volatility from intraday data. We show that financial markets are usefully described as open physical systems. Indeed we find that the process determining market volatility is not stationary while the …
Statistical properties of order-driven double-auction markets with Bid-Ask spread are investigated through the dynamical quantities such as response function. We first attempt to utilize the so-called {\it Madhavan-Richardson-Roomans model} (MRR for short) to simulate the stochastic process of the price-change in empir…
We empirically analyze the price and liquidity responses to trade signs, traded volumes and signed traded volumes. Utilizing the singular value decomposition, we explore the interconnections of price responses and of liquidity responses across the whole market. The statistical characteristics of their singular vectors …
Study compares market microstructure between two South African exchanges.
An empirical study of joint bivariate probability distribution of two consecutive price increments for a set of stocks at time scales ranging from one minute to thirty minutes reveals asymmetric structures with respect to the axes y=0, y=x, x=0 and y=-x. All four asymmetry patterns remarkably resemble a four-blade mill…
The paper uncovers two key laws of market impact influenced by volume and participation rate.
Study examines market response to concentrated policy communication using entropy measures.
This paper deals with the stability properties of a closed market, where capital and labour force are acting like a predator-prey system in population-dynamics. The spatial movement of the capital and labour force are taken into account by cross-diffusion effect. First, we are showing two possible ways for modeling thi…
Enhances traditional MV model for socially responsible investors.
Study compares employers with and without anticipating strategic labor force responses.
Model analyzes trading frictions in cap-and-trade markets, showing how they interact to affect market effectiveness.
We study historical correlations and lead-lag relationships between individual stock risk (volatility of daily stock returns) and market risk (volatility of daily returns of a market-representative portfolio) in the US stock market. We consider the cross-correlation functions averaged over all stocks, using 71 stock pr…
A new uncertainty principle helps traders better understand market activity.
We focus on the influence of external sources of information upon financial markets. In particular, we develop a stochastic agent-based market model characterized by a certain herding behavior as well as allowing traders to be influenced by an external dynamic signal of information. This signal can be interpreted as a …
Using high frequency data, we have studied empirically the change of volatility, also called volatility derivative, for various time horizons. In particular, the correlation between the volatility derivative and the volatility realized in the next time period is a measure of the response function of the market particip…
Each market has its singular characteristic. Its inner structure is directly responsible for the observed distributions of returns though this fact is widely overlooked. Big orders lead to doubling the tails. The behavior of a market maker with many or few ``friends'' who can reliably loan money or stock to him is quit…
In this paper, we study the price responsiveness of electricity consumption from empirical commercial and industrial load data obtained from Texas. Employing a dynamical system perspective, we show that price responsive demand can be modeled as a hybrid of a Hammerstein model with delay following a price surge, and a l…
New method quantifies market shocks and their effects.
Study uses multi-kernel Hawkes models to analyze high-frequency price dynamics.
Statistical physics method analyzes minority game dynamics in financial markets.
Oil markets profoundly influence world economies through determination of prices of energy and transports. Using novel methodology devised in frequency domain, we study the information transmission mechanisms in oil-based commodity markets. Taking crude oil as a supply-side benchmark and heating oil and gasoline as dem…
Study examines how BRICS nations' economies respond to COVID-19.
We introduce an autoregressive-type model of prices in financial market taking into account the self-modulation effect. We find that traders are mainly using strategies with weighted feedbacks of past prices. These feedbacks are responsible for the slow diffusion in short times, apparent trends and power law distributi…
TRADES generates realistic market simulations for financial modeling.
Stock prices are observed to be random walks in time despite a strong, long term memory in the signs of trades (buys or sells). Lillo and Farmer have recently suggested that these correlations are compensated by opposite long ranged fluctuations in liquidity, with an otherwise permanent market impact, challenging the s…
Study finds no significant short-term impact on liquidity supply after protocol fees were reduced.
AI learns market manipulation through simulation, suggesting regulation.
Market research is generally performed by surveying a representative sample of customers with questions that includes contexts such as psycho-graphics, demographics, attitude and product preferences. Survey responses are used to segment the customers into various groups that are useful for targeted marketing and commun…
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 properties of P(x,y) such as Market Mill dependence patterns described in preced…
We present an analysis of the price impact associated with trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the instantaneous impact functions and in the time-dependent market response to trades by ind…
The paper analyzes performance criteria for competing fund managers in Ito-diffusion markets.