6 papers
From Ants to Fishing Vessels: A Simple Model for Herding and Exploitation of Finite Resources
José Moran, Antoine Fosset, Alan Kirman +1
We analyse the dynamics of fishing vessels with different home ports in an area where these vessels, in choosing where to fish, are influenced by their own experience in the past a…
Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events
Antoine Fosset, Jean-Philippe Bouchaud, Michael Benzaquen
We propose an actionable calibration procedure for general Quadratic Hawkes models of order book events (market orders, limit orders, cancellations). One of the main features of su…
Schrödinger's ants: A continuous description of Kirman's recruitment model
José Moran, Antoine Fosset, Michael Benzaquen +1
We show how the approach to equilibrium in Kirman's ants model can be fully characterized in terms of the spectrum of a Schrödinger equation with a Pöschl-Teller () potenti…
By Force of Habit: Self-Trapping in a Dynamical Utility Landscape
José Moran, Antoine Fosset, Davide Luzzati +2
Historically, rational choice theory has focused on the utility maximization principle to describe how individuals make choices. In reality, there is a computational cost related t…
Endogenous Liquidity Crises
Antoine Fosset, Jean-Philippe Bouchaud, Michael Benzaquen
Empirical data reveals that the liquidity flow into the order book (depositions, cancellations andmarket orders) is influenced by past price changes. In particular, we show that li…
How does latent liquidity get revealed in the limit order book?
Lorenzo Dall'Amico, Antoine Fosset, Jean-Philippe Bouchaud +1
Latent order book models have allowed for significant progress in our understanding of price formation in financial markets. In particular they are able to reproduce a number of st…