Search results for " microstructure."
showing 10 items of 101 documents
Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices
2006
I consider the problem of the optimal limit order price of a financial asset in the framework of the maximization of the utility function of the investor. The analytical solution of the problem gives insight on the origin of the recently empirically observed power law distribution of limit order prices. In the framework of the model, the most likely proximate cause of this power law is a power law heterogeneity of traders' investment time horizons .
How does the market react to your order flow?
2012
We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market participants and study how their behaviour is interconnected. We find evidence that (1) brokers are very heterogeneous in liquidity provision -- some are consistently liquidity providers while others are consistently liquidity takers. (2) The behaviour of brokers is strongly conditioned on the actions of {\it other} brokers. In contrast brokers are only weakly influenced by the impact of their own previous ord…
A theory for long-memory in supply and demand
2004
Recent empirical studies have demonstrated long-memory in the signs of orders to buy or sell in financial markets [2, 19]. We show how this can be caused by delays in market clearing. Under the common practice of order splitting, large orders are broken up into pieces and executed incrementally. If the size of such large orders is power law distributed, this gives rise to power law decaying autocorrelations in the signs of executed orders. More specifically, we show that if the cumulative distribution of large orders of volume v is proportional to v to the power -alpha and the size of executed orders is constant, the autocorrelation of order signs as a function of the lag tau is asymptotica…
Stock markets and quantum dynamics: A second quantized description
2009
In this paper we continue our description of stock markets in terms of some non-abelian operators which are used to describe the portfolio of the various traders and other observable quantities. After a first prototype model with only two traders, we discuss a more realistic model of market involving an arbitrary number of traders. For both models we find approximated solutions for the time evolution of the portfolio of each trader. In particular, for the more realistic model, we use the stochastic limit approach and a fixed point like approximation. © 2007 Elsevier B.V. All rights reserved
A cohesive boundary element approach to material degradation in three-dimensional polycrystalline aggregates
2013
A new three-dimensional grain-level formulation for intergranular degradation and failure in polycrystalline materials is presented. The polycrystalline microstructure is represented as a Voronoi tessellation and the boundary element method is used to express the elastic problem for each crystal of the aggregate. The continuity of the aggregate is enforced through suitable conditions at the intergranular interfaces. The grain-boundary model takes into account the onset and evolution of damage by means of an irreversible linear cohesive law, able to address mixed-mode failure conditions. Upon interface failure, a non-linear frictional contact analysis is introduced for addressing the contact…
A three-dimensional boundary element model for the analysis of polycrystalline materials at the microscale
2012
A three-dimensional multi-domain anisotropic boundary element formulation is presented for the analysis of polycrystalline microstructures. The formulation is naturally expressed in terms of intergranular displacements and tractions that play an important role in polycrystalline micromechanics, micro-damage and micro-cracking. The artificial morphology is generated by Hardcore Voronoi tessellation, which embodies the main statistical features of polycrystalline microstructures. Each crystal is modeled as an anisotropic elastic region and the integrity of the aggregate is restored by enforcing interface continuity and equilibrium between contiguous grains. The developed technique has been ap…
THE STATE OF FRACTIONAL HEREDITARY MATERIALS (FHM)
2014
The widespread interest on the hereditary behavior of biological and bioinspired materials motivates deeper studies on their macroscopic ``minimal" state. The resulting integral equations for the detected relaxation and creep power-laws, of exponent $\beta$, are characterized by fractional operators. Here strains in $SBV_{loc}$ are considered to account for time-like jumps. Consistently, starting from stresses in $L_{loc}^{r}$, $r\in [1,\beta^{-1}], \, \, \beta\in(0,1)$ we reconstruct the corresponding strain by extending a result in [42]. The ``minimal" state is explored by showing that different histories delivering the same response are such that the fractional derivative of their differ…
Mollusk carbonate thermal behaviour and its implications in understanding prehistoric fire events in shell middens
2018
Abstract Archaeological shell middens are particularly important for reconstructing prehistoric human subsistence strategies. However, very little is known about shellfish processing, especially when related to the use of fire for dietary and disposal purposes. To shed light on prehistoric food processing techniques, an experimental study was undertaken on modern gastropod shells (Phorcus lineatus). The shells were exposed to high temperatures (200–700 °C) to investigate subsequent mineralogy and macro- and microstructural changes. Afterwards, the three-pronged approach was applied to archaeological shells from Haua Fteah cave, Libya (Phorcus turbinatus) and from shell midden sites in the U…
Statistical identification with hidden Markov models of large order splitting strategies in an equity market
2010
Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify and characterize hidden orders we fit hidden Markov models to the time series of the sign of the tick by tick inventory variation of market members of the Spanish Stock Exchange. Our methodology probabilistically detects trading sequences, which are characterized by a net majority of buy or sell transactions. We interpret these patches of sequential buying or selling transactions as proxies of the traded hidden orders. We find that the time, volume and number of transactions size distributions of …
Multiscale Model Selection for High-Frequency Financial Data of a Large Tick Stock by Means of the Jensen–Shannon Metric
2014
Modeling financial time series at different time scales is still an open challenge. The choice of a suitable indicator quantifying the distance between the model and the data is therefore of fundamental importance for selecting models. In this paper, we propose a multiscale model selection method based on the Jensen–Shannon distance in order to select the model that is able to better reproduce the distribution of price changes at different time scales. Specifically, we consider the problem of modeling the ultra high frequency dynamics of an asset with a large tick-to-price ratio. We study the price process at different time scales and compute the Jensen–Shannon distance between the original…