Search results for "relaxation phenomena"
showing 3 items of 3 documents
Market reaction to a bid-ask spread change: a power-law relaxation dynamics.
2009
We study the relaxation dynamics of the bid-ask spread and of the midprice after a sudden variation of the spread in a double auction financial market. We find that the spread decays as a power law to its normal value. We measure the price reversion dynamics and the permanent impact, i.e., the long-time effect on price, of a generic event altering the spread and we find an approximately linear relation between immediate and permanent impact. We hypothesize that the power-law decay of the spread is a consequence of the strategic limit order placement of liquidity providers. We support this hypothesis by investigating several quantities, such as order placement rates and distribution of price…
Size effect in phase transition kinetics
1988
The growth of a spontaneous lattice average magnetization in a magnetic system which is suddenly brought below the transition temperature is a stochastic process in which the very small fluctuations of the initial magnetization are amplified to a macroscopic size. The initial magnetization fluctuates in time around the zero average value because of the finite size of the system. As a consequence of the fluctuation-amplification phenomenon the nonlinear relaxation of the finite system is qualitatively different from that of the infinite one. The present paper studies this feature of phase-transition kinetics in the framework of a very simple model: the dynamical generalization of the spheric…