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Crossover from linear to square-Root market impact
Frédéric Bucci, Michael Benzaquen, Fabrizio Lillo +1
Using a large database of 8 million institutional trades executed in the U.S. equity market, we establish a clear crossover between a linear market impact regime and a square-root…
Two short pieces around the Wigner problem
J. P. Bouchaud, M. Potters
We revisit the classic Wigner semi-circle from two different angles. One consists in studying the Stieltjes transform directly on the real axis, which does not converge to a fixed…
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…
Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model
Adam Majewski, Stefano Ciliberti, Jean-Philippe Bouchaud
Trend and Value are pervasive anomalies, common to all financial markets. We address the problem of their co-existence and interaction within the framework of Heterogeneous Agent B…
The Multivariate Kyle model: More is different
Luis Carlos García del Molino, Iacopo Mastromatteo, Michael Benzaquen +1
We reconsider the multivariate Kyle model in a risk-neutral setting with a single, perfectly informed rational insider and a rational competitive market maker, setting the price of…
Can the glass transition be explained without a growing static length scale?
Ludovic Berthier, Giulio Biroli, Jean-Philippe Bouchaud +1
It was recently discovered that SWAP, a Monte Carlo algorithm that involves the exchange of pairs of particles of differing diameters, can dramatically accelerate the equilibration…