Uncovering the dynamics of correlation structures relative to the collective market motion
The measured correlations of financial time series in subsequent epochs change
considerably as a function of time. When studying the whole correlation matrices, quasi …
considerably as a function of time. When studying the whole correlation matrices, quasi …
Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets
The time proximity of trades across stocks reveals interesting topological structures of the
equity market in the United States. In this article, we investigate how such concurrent cross …
equity market in the United States. In this article, we investigate how such concurrent cross …
Cross-impact and no-dynamic-arbitrage
M Schneider, F Lillo - Quantitative Finance, 2019 - Taylor & Francis
We extend the 'No-dynamic-arbitrage and market impact'-framework of Gatheral [Quant.
Finance, 2010, 10 (7), 749–759] to the multi-dimensional case where trading in one asset …
Finance, 2010, 10 (7), 749–759] to the multi-dimensional case where trading in one asset …
Graph-based methods for forecasting realized covariances
We forecast the realized covariance matrix of asset returns in the US equity market by
exploiting the predictive information of graphs in volatility and correlation. Specifically, we …
exploiting the predictive information of graphs in volatility and correlation. Specifically, we …
Cross-impact of order flow imbalance in equity markets
We investigate the impact of order flow imbalance (OFI) on price movements in equity
markets in a multi-asset setting. First, we propose a systematic approach for combining OFIs …
markets in a multi-asset setting. First, we propose a systematic approach for combining OFIs …
The inelastic market hypothesis: a microstructural interpretation
JP Bouchaud - Quantitative Finance, 2022 - Taylor & Francis
Full article: The inelastic market hypothesis: a microstructural interpretation Skip to Main Content
Taylor and Francis Online homepage Taylor and Francis Online homepage Log in | Register Cart …
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Quasi-stationary states in temporal correlations for traffic systems: Cologne orbital motorway as an example
S Wang, S Gartzke, M Schreckenberg… - Journal of Statistical …, 2020 - iopscience.iop.org
Traffic systems are complex systems that exhibit non-stationary characteristics. Therefore,
the identification of temporary traffic states is significant. In contrast to the usual correlations …
the identification of temporary traffic states is significant. In contrast to the usual correlations …
How to build a cross-impact model from first principles: Theoretical requirements and empirical results
Full article: How to build a cross-impact model from first principles: theoretical requirements
and empirical results Skip to Main Content Taylor and Francis Online homepage Taylor and …
and empirical results Skip to Main Content Taylor and Francis Online homepage Taylor and …
A mean field game of portfolio trading and its consequences on perceived correlations
CA Lehalle, C Mouzouni - arXiv preprint arXiv:1902.09606, 2019 - arxiv.org
This paper goes beyond the optimal trading Mean Field Game model introduced by Pierre
Cardaliaguet and Charles-Albert Lehalle in [Cardaliaguet, P. and Lehalle, C.-A., Mean field …
Cardaliaguet and Charles-Albert Lehalle in [Cardaliaguet, P. and Lehalle, C.-A., Mean field …
A new attempt to identify long-term precursors for endogenous financial crises in the market correlation structures
AJ Heckens, T Guhr - Journal of Statistical Mechanics: Theory …, 2022 - iopscience.iop.org
Prediction of events in financial markets is every investor's dream and, usually, wishful
thinking. From a more general, economic and societal viewpoint, the identification of …
thinking. From a more general, economic and societal viewpoint, the identification of …