38 citations · 75 across the 8 of their papers we have counts for
13 papers
"Microstructure Modes" -- Disentangling the Joint Dynamics of Prices & Order Flow
Salma Elomari-Kessab, Guillaume Maitrier, Julius Bonart +1
Understanding the micro-dynamics of asset prices in modern electronic order books is crucial for investors and regulators. In this paper, we use an order by order Eurostoxx databas…
Scaling behavior of the momentum distribution of a quantum Coulomb system in a confining potential
J. A. E. Bonart, W. H. Appelt, D. Vollhardt +1
We calculate the single-particle momentum distribution of a quantum many-particle system in the presence of the Coulomb interaction and a confining potential. The region of interme…
Order statistics of horse racing and the randomly broken stick
Peter A. Bebbington, Julius Bonart
We find a remarkable agreement between the statistics of a randomly divided interval and the observed statistical patterns and distributions found in horse racing betting markets.…
A continuous and efficient fundamental price on the discrete order book grid
Julius Bonart, Fabrizio Lillo
This paper develops a model of liquidity provision in financial markets by adapting the Madhavan, Richardson, and Roomans (1997) price formation model to realistic order books with…
Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book
Martin D. Gould, Julius Bonart
We investigate whether the bid/ask queue imbalance in a limit order book (LOB) provides significant predictive power for the direction of the next mid-price movement. We consider t…
Latency and liquidity provision in a limit order book
Julius Bonart, Martin Gould
We use a recent, high-quality data set from Nasdaq to perform an empirical analysis of order flow in a limit order book (LOB) before and after the arrival of a market order. For ea…
A Million Metaorder Analysis of Market Impact on the Bitcoin
Jonathan Donier, Julius Bonart
We present a thorough empirical analysis of market impact on the Bitcoin/USD exchange market using a complete dataset that allows us to reconstruct more than one million metaorders…
A fully consistent, minimal model for non-linear market impact
Jonathan Donier, Julius Bonart, Iacopo Mastromatteo +1
We propose a minimal theory of non-linear price impact based on a linear (latent) order book approximation, inspired by diffusion-reaction models and general arguments. Our framewo…
Instabilities in large economies: aggregate volatility without idiosyncratic shocks
Julius Bonart, Jean-Philippe Bouchaud, Augustin Landier +1
We study a dynamical model of interconnected firms which allows for certain market imperfections and frictions, restricted here to be myopic price forecasts and slow adjustment of…
Exact dynamics and thermalization of an open bosonic quantum system in presence of a quantum phase transition induced by the environment
A. Rancon, J. Bonart
We derive the exact out-of-equilibrium Wigner function of a bosonic mode linearly coupled to a bosonic bath of arbitrary spectral density. Our solution does not rely on any master…
The dissipative phase transition in a pair of coupled noisy two-level systems
Julius Bonart
We study the renormalization group (RG) equations of a pair of spin-boson systems coupled in the z-direction with each other. Each spin is coupled to a different bath of harmonic o…
From non equilibrium quantum Brownian motion to impurity dynamics in 1D quantum liquids
Julius Bonart, Leticia F. Cugliandolo
Impurity motion in one dimensional ultra cold quantum liquids confined in an optical trap has attracted much interest recently. As a step towards its full understanding, we constru…
Critical Langevin dynamics of the O(N)-Ginzburg-Landau model with correlated noise
Julius Bonart, Leticia F. Cugliandolo, Andrea Gambassi
We use the perturbative renormalization group to study classical stochastic processes with memory. We focus on the generalized Langevin dynamics of the ϕ^4 Ginzburg-Landau model wi…