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 journalShort surveypeer-review


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 contributionA structural model of market dynamics, and why it matters
Original languageFrench
Pages (from-to)336-348
Number of pages13
Issue number4
Publication statusPublished - 1 May 2019


  • Generating functional analysis
  • Market risk
  • Phase transitions


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