Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
From MaRDI portal
Publication:4610223
DOI10.1080/14697680400000022zbMath1405.91730arXivcond-mat/0307332OpenAlexW3125487688MaRDI QIDQ4610223
Matthieu Wyart, Jean-Philippe Bouchaud, Yuval Gefen, Marc Potters
Publication date: 15 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0307332
Sums of independent random variables; random walks (60G50) Actuarial science and mathematical finance (91G99)
Related Items (61)
Queueing Dynamics and State Space Collapse in Fragmented Limit Order Book Markets ⋮ Optimal allocation of trend following strategies ⋮ The inelastic market hypothesis: a microstructural interpretation ⋮ Why is equity order flow so persistent? ⋮ Adaptive basket liquidation ⋮ Optimal Trade Execution for Time-Inconsistent Mean-Variance Criteria and Risk Functions ⋮ A continuous and efficient fundamental price on the discrete order book grid ⋮ Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics ⋮ Optimal execution in Hong Kong given a market-on-close benchmark ⋮ Linear models for the impact of order flow on prices. I. History dependent impact models ⋮ Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model ⋮ Optimal execution with non-linear transient market impact ⋮ Low-latency liquidity inefficiency strategies ⋮ Liquidity fluctuations and the latent dynamics of price impact ⋮ Explicit solution for constrained optimal execution problem with general correlated market depth ⋮ Complexity Analysis and Systemic Risk in Finance: Some Methodological Issues ⋮ Optimal pair-trade execution with generalized cross-impact ⋮ Application of the cluster expansion to a mathematical model of the long memory phenomenon in a financial market ⋮ Strategic Execution Trajectories ⋮ Stochastic chaos in chemical Lorenz system: interplay of intrinsic noise and nonlinearity ⋮ Do fundamentals shape the price response? A critical assessment of linear impact models ⋮ A subdiffusive stochastic volatility jump model ⋮ Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book ⋮ Discrete homotopy analysis for optimal trading execution with nonlinear transient market impact ⋮ High-Frequency Limit of Nash Equilibria in a Market Impact Game with Transient Price Impact ⋮ What really causes large price changes? ⋮ Anomalous waiting times in high-frequency financial data ⋮ Market impact with multi-timescale liquidity ⋮ Regularized stochastic dual dynamic programming for convex nonlinear optimization problems ⋮ Cross-impact and no-dynamic-arbitrage ⋮ Order aggressiveness, pre-trade transparency, and long memory in an order-driven market ⋮ Nonlinear price impact from linear models ⋮ Optimal trading of algorithmic orders in a liquidity fragmented market place ⋮ Limit-order book resiliency after effective market orders: spread, depth and intensity ⋮ Trading volume in financial markets: an introductory review ⋮ Exploring the dynamics of financial markets: from stock prices to strategy returns ⋮ DISCRETE-TIME OPTIMAL EXECUTION UNDER A GENERALIZED PRICE IMPACT MODEL WITH MARKOVIAN EXOGENOUS ORDERS ⋮ On the origin of power-law tails in price fluctuations ⋮ On the origin of power-law fluctuations in stock prices ⋮ A class of optimal portfolio liquidation problems with a linear decreasing impact ⋮ Random-time isotropic fractional stable fields ⋮ Particle-scale modelling of financial price dynamics ⋮ A fully consistent, minimal model for non-linear market impact ⋮ Market impact as anticipation of the order flow imbalance ⋮ Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders ⋮ Following a trend with an exponential moving average: analytical results for a Gaussian model ⋮ The fine-structure of volatility feedback. I: Multi-scale self-reflexivity ⋮ High frequency trading strategies, market fragility and price spikes: an agent based model perspective ⋮ Exploring the financial risk of a temperature index: a fractional integrated approach ⋮ Analyzing order flows in limit order books with ratios of Cox-type intensities ⋮ A Market Impact Game Under Transient Price Impact ⋮ Order flow in the financial markets from the perspective of the fractional Lévy stable motion ⋮ A Few Simulation Results of Basic Models of Limit Order Books ⋮ Deep learning for limit order books ⋮ Universal features of price formation in financial markets: perspectives from deep learning ⋮ A stationary Kyle setup: microfounding propagator models ⋮ Trading strategy with stochastic volatility in a limit order book market ⋮ Variational time-fractional mean field games ⋮ Long-range memory test by the burst and inter-burst duration distribution ⋮ A Semi-Markovian Modeling of Limit Order Markets ⋮ Dynamic optimal execution in a mixed-market-impact Hawkes price model
Cites Work
- Unnamed Item
- Complexity in economic and financial markets
- Limit order market analysis and modelling: on a universal cause for over-diffusive prices
- Do supply and demand drive stock prices?
- Empirical properties of asset returns: stylized facts and statistical issues
- Statistical properties of stock order books: empirical results and models
- Theory of Financial Risk and Derivative Pricing
- Analyzing and modeling 1+1d markets
- Price fluctuations from the order book perspective - empirical facts and a simple model
- Quantifying economic fluctuations
This page was built for publication: Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes
