Exogenous and endogenous price jumps belong to different dynamical classes

DOI10.1088/1742-5468/AC498CMaRDI QIDQ5032079OpenAlexFDO

Authors Riccardo Marcaccioli, Jean-Philippe Bouchaud, Michael Benzaquen

Publication date 16 February 2022

Published in Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2106.07040

zbMATH Keywords

market microstructuremarket impactquantitative financecritical phenomena of socio-economic systems

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

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Cited in

(4)

• Multivariate quadratic Hawkes processes—part I: theoretical analysis
• Fat tails arise endogenously from supply/demand, with or without jump processes
• Using interpolated implied volatility for analysing exogenous market changes
• The inelastic market hypothesis: a microstructural interpretation

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