We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Δ, the time to fill (TTF) for executed limit orders and the time to cancel (TTC) for canceled orders in a double auction market. We find that the distribution of all...

The paper contains a phenomenological description of the whole US forward rate curve (FRC), based on data in the period 1990-1996. It is found that the average deviation of the FRC from the spot rate grows as the square-root of the maturity, with a prefactor which is comparable to the spot rate...

Stock prices are observed to be random walks in time despite a strong, long-term memory in the signs of trades (buys or sells). Lillo and Farmer have recently suggested that these correlations are compensated by opposite long-ranged fluctuations in liquidity, with an otherwise permanent market...

We show that the cost of market orders and the profit of infinitesimal market-making or -taking strategies can be expressed in terms of directly observable quantities, namely the spread and the lag-dependent impact function. Imposing that any market taking or liquidity providing strategies is at...

We reconsider the problem of the optimal time to sell a stock studied by Shiryaev et al. (2008) (following in this issue of Quantitative Finance) using path integral methods. These methods allow us to confirm the results obtained by these authors and extend them to the entire parameter region....

The aim of this work is to explore the possible types of phenomena that simple macroeconomic Agent-Based models (ABMs) can reproduce. We propose a methodology, inspired by statistical physics, that characterizes a model through its “phase diagram” in the space of parameters. Our first...

Trust is a collective, self-fulfilling phenomenon that suggests analogies with phase transitions. We introduce a stylized model for the build-up and collapse of trust in networks, which generically displays a first order transition. The basic assumption of our model is that whereas...