Un modèle structurel de la dynamique des marchés

Jonathan Khedair; Reimer Kühn

doi:10.1016/j.crhy.2019.05.013

Un modèle structurel de la dynamique des marchés

Translated title of the contribution: A structural model of market dynamics, and why it matters

Jonathan Khedair, Reimer Kühn^*

^*Corresponding author for this work

Research output: Contribution to journal › Short survey › peer-review

Abstract

In this paper, we explore an approach to understanding price fluctuations within a market via considerations of functional dependencies between asset prices. Interestingly, this approach suggests a class of models of a type used earlier to describe the dynamics of real and artificial neural networks. Statistical physics approaches turn out to be suitable for an analysis of their collective properties. In this paper, we first motivate the basic phenomenology and modelling arguments before moving on to discussing some major issues with inference and empirical verification. In particular, we focus on the natural creation of market states through the inclusion of interactions and how these then interfere with inference. This is primarily addressed in a synthetic setting. Finally we investigate real data to test the ability of our approach to capture some key features of the behaviour of financial markets.

Translated title of the contribution	A structural model of market dynamics, and why it matters
Original language	French
Pages (from-to)	336-348
Number of pages	13
Journal	COMPTES RENDUS PHYSIQUE
Volume	20
Issue number	4
DOIs	https://doi.org/10.1016/j.crhy.2019.05.013
Publication status	Published - 1 May 2019

Keywords

Generating functional analysis
Market risk
Phase transitions

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10.1016/j.crhy.2019.05.013

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abstract = "In this paper, we explore an approach to understanding price fluctuations within a market via considerations of functional dependencies between asset prices. Interestingly, this approach suggests a class of models of a type used earlier to describe the dynamics of real and artificial neural networks. Statistical physics approaches turn out to be suitable for an analysis of their collective properties. In this paper, we first motivate the basic phenomenology and modelling arguments before moving on to discussing some major issues with inference and empirical verification. In particular, we focus on the natural creation of market states through the inclusion of interactions and how these then interfere with inference. This is primarily addressed in a synthetic setting. Finally we investigate real data to test the ability of our approach to capture some key features of the behaviour of financial markets.",

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AB - In this paper, we explore an approach to understanding price fluctuations within a market via considerations of functional dependencies between asset prices. Interestingly, this approach suggests a class of models of a type used earlier to describe the dynamics of real and artificial neural networks. Statistical physics approaches turn out to be suitable for an analysis of their collective properties. In this paper, we first motivate the basic phenomenology and modelling arguments before moving on to discussing some major issues with inference and empirical verification. In particular, we focus on the natural creation of market states through the inclusion of interactions and how these then interfere with inference. This is primarily addressed in a synthetic setting. Finally we investigate real data to test the ability of our approach to capture some key features of the behaviour of financial markets.

KW - Generating functional analysis

KW - Market risk

KW - Phase transitions

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M3 - Short survey

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JO - COMPTES RENDUS PHYSIQUE

JF - COMPTES RENDUS PHYSIQUE

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ER -

Un modèle structurel de la dynamique des marchés

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Keywords

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