2,679 research outputs found
Liquidity Shocks and Order Book Dynamics
We propose a dynamic competitive equilibrium model of limit order trading, based on the premise that investors cannot monitor markets continuously. We study how limit order markets absorb transient liquidity shocks, which occur when a significant fraction of investors lose their willingness and ability to hold assets. We characterize the equilibrium dynamics of market prices, bid-ask spreads, order submissions and cancelations, as well as the volume and limit order book depth they generate.
Impact and Recovery Process of Mini Flash Crashes: An Empirical Study
In an Ultrafast Extreme Event (or Mini Flash Crash), the price of a traded
stock increases or decreases strongly within milliseconds. We present a
detailed study of Ultrafast Extreme Events in stock market data. In contrast to
popular belief, our analysis suggests that most of the Ultrafast Extreme Events
are not primarily due to High Frequency Trading. In at least 60 percent of the
observed Ultrafast Extreme Events, the main cause for the events are large
market orders. In times of financial crisis, large market orders are more
likely which can be linked to the significant increase of Ultrafast Extreme
Events occurrences. Furthermore, we analyze the 100 trades following each
Ultrafast Extreme Events. While we observe a tendency of the prices to
partially recover, less than 40 percent recover completely. On the other hand
we find 25 percent of the Ultrafast Extreme Events to be almost recovered after
only one trade which differs from the usually found price impact of market
orders
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Preparing sparse solvers for exascale computing.
Sparse solvers provide essential functionality for a wide variety of scientific applications. Highly parallel sparse solvers are essential for continuing advances in high-fidelity, multi-physics and multi-scale simulations, especially as we target exascale platforms. This paper describes the challenges, strategies and progress of the US Department of Energy Exascale Computing project towards providing sparse solvers for exascale computing platforms. We address the demands of systems with thousands of high-performance node devices where exposing concurrency, hiding latency and creating alternative algorithms become essential. The efforts described here are works in progress, highlighting current success and upcoming challenges. This article is part of a discussion meeting issue 'Numerical algorithms for high-performance computational science'
The Total s-Energy of a Multiagent System
We introduce the "total s-energy" of a multiagent system with time-dependent
links. This provides a new analytical lens on bidirectional agreement dynamics,
which we use to bound the convergence rates of dynamical systems for
synchronization, flocking, opinion dynamics, and social epistemology
Ordinal Synchronization and Typical States in High-Frequency Digital Markets
In this paper we study Algorithmic High-Frequency Financial Markets as
dynamical networks. After an individual analysis of 24 stocks of the US market
during a trading year of fully automated transactions by means of ordinal
pattern series, we define an information-theoretic measure of pairwise
synchronization for time series which allows us to study this subset of the US
market as a dynamical network. We apply to the resulting network a couple of
clustering algorithms in order to detect collective market states,
characterized by their degree of centralized or descentralized synchronicity.
This collective analysis has shown to reproduce, classify and explain the
anomalous behavior previously observed at the individual level. We also find
two whole coherent seasons of highly centralized and descentralized
synchronicity, respectively. Finally, we model these states dynamics through a
simple Markov model.Comment: Two brief appendices have been added at the end of the paper to deal
with correlation coefficient-based dynamical networks and multi-scale
analysis. The paper was accepted for publication in "Physica A: Statistical
Mechanics and its Applications
Forecasting stock market returns over multiple time horizons
In this paper we seek to demonstrate the predictability of stock market
returns and explain the nature of this return predictability. To this end, we
introduce investors with different investment horizons into the news-driven,
analytic, agent-based market model developed in Gusev et al. (2015). This
heterogeneous framework enables us to capture dynamics at multiple timescales,
expanding the model's applications and improving precision. We study the
heterogeneous model theoretically and empirically to highlight essential
mechanisms underlying certain market behaviors, such as transitions between
bull- and bear markets and the self-similar behavior of price changes. Most
importantly, we apply this model to show that the stock market is nearly
efficient on intraday timescales, adjusting quickly to incoming news, but
becomes inefficient on longer timescales, where news may have a long-lasting
nonlinear impact on dynamics, attributable to a feedback mechanism acting over
these horizons. Then, using the model, we design algorithmic strategies that
utilize news flow, quantified and measured, as the only input to trade on
market return forecasts over multiple horizons, from days to months. The
backtested results suggest that the return is predictable to the extent that
successful trading strategies can be constructed to harness this
predictability.Comment: This is the version accepted for publication in a journal
Quantitative Finance. A draft was posted here on 18 August 2015. 50 page
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