38 citations · 90 across the 5 of their papers we have counts for
5 papers
Nonlinear price impact from linear models
Felix Patzelt, Jean-Philippe Bouchaud
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curve…
Universal scaling and nonlinearity of aggregate price impact in financial markets
Felix Patzelt, Jean-Philippe Bouchaud
How and why stock prices move is a centuries-old question still not answered conclusively. More recently, attention shifted to higher frequencies, where trades are processed piecew…
Instability and Information
Felix Patzelt
Many complex systems exhibit extreme events far more often than expected for a normal distribution. This work examines how self-similar bursts of activity across several orders of…
Bubbles, Jumps, and Scaling from Properly Anticipated Prices
Felix Patzelt, Klaus Pawelzik
Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. Th…
Unstable Price Dynamics as a Result of Information Absorption in Speculative Markets
Felix Patzelt, Klaus R. Pawelzik
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly remo…