arXiv subjects

Thomas Guhr

Publications and source records attributed to Thomas Guhr.

At least 73 records · Page 4Linked to original sources

arXiv2019

Grasping asymmetric information in market impacts

The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work out the price impacts across a correlated financial market. We quantify the asymmetries of the distributions and of the market structures of cross-impacts, and find that the impacts across the market are asymmetric and non-random. Using spectral statistics and Shannon entropy, we visualize the asymmetric information in price impacts. Also, we introduce an entropy of impacts to estimate the randomness between stocks. We show that the useful information is encoded in the impacts corresponding to small entropy. The stocks with large number of trades are more likely to impact others, while the less traded stocks have higher probability to be impacted by others.

q-fin.TR↗

arXiv2018

How spread changes affect the order book: Comparing the price responses of order deletions and placements to trades

We observe the effects of the three different events that cause spread changes in the order book, namely trades, deletions and placement of limit orders. By looking at the frequencies of the relative amounts of price changing events, we discover that deletions of orders open the bid-ask spread of a stock more often than trades do. We see that once the amount of spread changes due to deletions exceeds the amount of the ones due to trades, other observables in the order book change as well. We then look at how these spread changing events affect the prices of stocks, by means of the price response. We not only see that the self-response of stocks is positive for both spread changing trades and deletions and negative for order placements, but also cross-response to other stocks and therefore the market as a whole. In addition, the self-response function of spread-changing trades is similar to that of all trades. This leads to the conclusion that spread changing deletions and order placements have a similar effect on the order book and stock prices over time as trades.

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arXiv2018

Emergence of stylized facts during the opening of stock markets

Financial markets show a number of non-stationarities, ranging from volatility fluctuations over ever changing technical and regulatory market conditions to seasonalities. On the other hand, financial markets show various stylized facts which are remarkably stable. It is thus an intriguing question to find out how these stylized facts emerge. As a first example, we here investigate how the bid-ask-spread between best sell and best buy offer for stocks develops during the trading day. For rescaled and properly smoothed data we observe collapsing curves for many different NASDAQ stocks, with a slow power law decline of the spread during the whole trading day. This effect emerges robustly after a highly fluctuating opening period. Some so called large-tick stocks behave differently because of technical boundaries. Their spread closes to one tick shortly after the market opening. We use our findings for identifying the duration of the market opening which we find to vary largely from stock to stock.

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arXiv2018

Local fluctuations of the signed traded volumes and the dependencies of demands: a copula analysis

We investigate how the local fluctuations of the signed traded volumes affect the dependence of demands between stocks. We analyze the empirical dependence of demands using copulas and show that they are well described by a bivariate $\mathcal{K}$ copula density function. We find that large local fluctuations strongly increase the positive dependence but lower slightly the negative one in the copula density. This interesting feature is due to cross-correlations of volume imbalances between stocks. Also, we explore the asymmetries of tail dependencies of the copula density, which are moderate for the negative dependencies but strong for the positive ones. For the latter, we reveal that large local fluctuations of the signed traded volumes trigger stronger dependencies of demands than of supplies, probably indicating a bull market with persistent raising of prices.

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arXiv2018

Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations

We review recent progress in modeling credit risk for correlated assets. We start from the Merton model which default events and losses are derived from the asset values at maturity. To estimate the time development of the asset values, the stock prices are used whose correlations have a strong impact on the loss distribution, particularly on its tails. These correlations are non-stationary which also influences the tails. We account for the asset fluctuations by averaging over an ensemble of random matrices that models the truly existing set of measured correlation matrices. As a most welcome side effect, this approach drastically reduces the parameter dependence of the loss distribution, allowing us to obtain very explicit results which show quantitatively that the heavy tails prevail over diversification benefits even for small correlations. We calibrate our random matrix model with market data and show how it is capable of grasping different market situations. Furthermore, we present numerical simulations for concurrent portfolio risks, i.e., for the joint probability densities of losses for two portfolios. For the convenience of the reader, we give an introduction to the Wishart random matrix model.

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arXiv2017

Statistical properties of market collective responses

We empirically analyze the price and liquidity responses to trade signs, traded volumes and signed traded volumes. Utilizing the singular value decomposition, we explore the interconnections of price responses and of liquidity responses across the whole market. The statistical characteristics of their singular vectors are well described by the $t$ location-scale distribution. Furthermore, we discuss the relation between prices and liquidity with respect to their overlapping factors. The factors of price and liquidity changes are non-random when these factors are related to the traded volumes. This means that the traded volumes play a critical role in the price change induced by the liquidity change. In contrast, the two kinds of factors are weakly overlapping when they are related to the trade signs and signed traded volumes. Hence, an imbalance of liquidity is related to the price change.

q-fin.ST↗

arXiv2017

Distribution of Off-Diagonal Cross Sections in Quantum Chaotic Scattering: Exact Results and Data Comparison

The recently derived distributions for the scattering-matrix elements in quantum chaotic systems are not accessible in the majority of experiments, whereas the cross sections are. We analytically compute distributions for the off-diagonal cross sections in the Heidelberg approach, which is ap- plicable to a wide range of quantum chaotic systems. We thus eventually fully solve a problem which already arose more than half a century ago in compound-nucleus scattering. We compare our results with data from microwave and compound-nucleus experiments, particularly addressing the transition from isolated resonances towards the Ericson regime of strongly overlapping ones.

quant-ph↗

arXiv2017

Collectivity and Periodic Orbits in a Chain of Interacting, Kicked Spins

The field of quantum chaos originated in the study of spectral statistics for interacting many-body systems, but this heritage was almost forgotten when single-particle systems moved into the focus. In recent years new interest emerged in many-body aspects of quantum chaos. We study a chain of interacting, kicked spins and carry out a semiclassical analysis that is capable of identifying all kinds of genuin many-body periodic orbits. We show that the collective many-body periodic orbits can fully dominate the spectra in certain cases.

nlin.CD↗

arXiv2017

Semiclassical Prediction of Large Spectral Fluctuations in Interacting Kicked Spin Chains

While plenty of results have been obtained for single-particle quantum systems with chaotic dynamics through a semiclassical theory, much less is known about quantum chaos in the many-body setting. We contribute to recent efforts to make a semiclassical analysis of many-body systems feasible. This is nontrivial due to both the enormous density of states and the exponential proliferation of periodic orbits with the number of particles. As a model system we study kicked interacting spin chains employing semiclassical methods supplemented by a newly developed duality approach. We show that for this model the line between integrability and chaos becomes blurred. Due to the interaction structure the system features (non-isolated) manifolds of periodic orbits possessing highly correlated, collective dynamics. As with the invariant tori in integrable systems, their presence lead to significantly enhanced spectral fluctuations, which by order of magnitude lie in-between integrable and chaotic cases.

nlin.CD↗

arXiv2017

Impact and Recovery Process of Mini Flash Crashes: An Empirical Study

In an Ultrafast Extreme Event (or Mini Flash Crash), the price of a traded stock increases or decreases strongly within milliseconds. We present a detailed study of Ultrafast Extreme Events in stock market data. In contrast to popular belief, our analysis suggests that most of the Ultrafast Extreme Events are not primarily due to High Frequency Trading. In at least 60 percent of the observed Ultrafast Extreme Events, the main cause for the events are large market orders. In times of financial crisis, large market orders are more likely which can be linked to the significant increase of Ultrafast Extreme Events occurrences. Furthermore, we analyze the 100 trades following each Ultrafast Extreme Events. While we observe a tendency of the prices to partially recover, less than 40 percent recover completely. On the other hand we find 25 percent of the Ultrafast Extreme Events to be almost recovered after only one trade which differs from the usually found price impact of market orders.

q-fin.TR↗

arXiv2017

Microscopic Understanding of Cross-Responses between Stocks: a Two-Component Price Impact Model

We construct a price impact model between stocks in a correlated market. For the price change of a given stock induced by the short-run liquidity of this stock itself and of the information about other stocks, we introduce a self- and a cross-impact function of the time lag. We model the average cross-response functions for individual stocks employing the impact functions of the time lag, the impact functions of traded volumes and the trade-sign correlators. To quantify the self- and cross-impacts, we propose a construction to fix the parameters in the impact functions. These parameters are further corroborated by a diffusion function that measures the correlated motion of prices from different stocks. This construction is mainly ad hoc and alternative ones are not excluded. It turns out that both the sign cross- and self-correlators are connected with the cross-responses. The self- and cross-impact functions are indispensable to compensate amplification effects which are due to the sign correlators integrated over time. We further quantify and interpret the price impacts of time lag in terms of temporary and permanent components. To support our model, we also analyze empirical data, in particular the memory properties of the sign self- and average cross-correlators. The relation between the average cross-responses and the traded volumes which are smaller than their average is of power-law form.

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arXiv2017

Extreme portfolio loss correlations in credit risk

The stability of the financial system is associated with systemic risk factors such as the concurrent default of numerous small obligors. Hence it is of utmost importance to study the mutual dependence of losses for different creditors in the case of large, overlapping credit portfolios. We analytically calculate the multivariate joint loss distribution of several credit portfolios on a non-stationary market. To take fluctuating asset correlations into account we use an random matrix approach which preserves, as a much appreciated side effect, analytical tractability and drastically reduces the number of parameters. We show that for two disjoint credit portfolios diversification does not work in a correlated market. Additionally we find large concurrent portfolio losses to be rather likely. We show that significant correlations of the losses emerge not only for large portfolios with thousands of credit contracts but also for small portfolios consisting of a few credit contracts only. Furthermore we include subordination levels, which were established in collateralized debt obligations to protect the more senior tranches from high losses. We analytically corroborate the observation that an extreme loss of the subordinated creditor is likely to also yield a large loss of the senior creditor.

q-fin.RM↗

arXiv2017

The Importance of Antipersistence for Traffic Jams

Universal characteristics of road networks and traffic patterns can help to forecast and control traffic congestion. The antipersistence of traffic flow time series has been found for many data sets, but its relevance for congestion has been overseen. Based on empirical data from motorways in Germany, we study how antipersistence of traffic flow time-series impacts the duration of traffic congestion on a wide range of time scales. We find a large number of short lasting traffic jams, which implies a large risk for rear-end collisions.

physics.soc-ph↗

arXiv2017

Asymptotic Coincidence of the Statistics for Degenerate and Non-Degenerate Correlated Real Wishart Ensembles

The correlated Wishart model provides the standard benchmark when analyzing time series of any kind. Unfortunately, the real case, which is the most relevant one in applications, poses serious challenges for analytical calculations. Often these challenges are due to square root singularities which cannot be handled using common random matrix techniques. We present a new way to tackle this issue. Using supersymmetry, we carry out an anlaytical study which we support by numerical simulations. For large but finite matrix dimensions, we show that statistical properties of the fully correlated real Wishart model generically approach those of a correlated real Wishart model with doubled matrix dimensions and doubly degenerate empirical eigenvalues. This holds for the local and global spectral statistics. With Monte Carlo simulations we show that this is even approximately true for small matrix dimensions. We explicitly investigate the $k$-point correlation function as well as the distribution of the largest eigenvalue for which we find a surprisingly compact formula in the doubly degenerate case. Moreover we show that on the local scale the $k$-point correlation function exhibits the sine and the Airy kernel in the bulk and at the soft edges, respectively. We also address the positions and the fluctuations of the possible outliers in the data.

math-ph↗

arXiv2017

Regularities and Irregularities in Order Flow Data

We identify and analyze statistical regularities and irregularities in the recent order flow of different NASDAQ stocks, focusing on the positions where orders are placed in the orderbook. This includes limit orders being placed outside of the spread, inside the spread and (effective) market orders. We find that limit order placement inside the spread is strongly determined by the dynamics of the spread size. Most orders, however, arrive outside of the spread. While for some stocks order placement on or next to the quotes is dominating, deeper price levels are more important for other stocks. As market orders are usually adjusted to the quote volume, the impact of market orders depends on the orderbook structure, which we find to be quite diverse among the analyzed stocks as a result of the way limit order placement takes place.

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arXiv2017

Concurrent Credit Portfolio Losses

We consider the problem of concurrent portfolio losses in two non-overlapping credit portfolios. In order to explore the full statistical dependence structure of such portfolio losses, we estimate their empirical pairwise copulas. Instead of a Gaussian dependence, we typically find a strong asymmetry in the copulas. Concurrent large portfolio losses are much more likely than small ones. Studying the dependences of these losses as a function of portfolio size, we moreover reveal that not only large portfolios of thousands of contracts, but also medium-sized and small ones with only a few dozens of contracts exhibit notable portfolio loss correlations. Anticipated idiosyncratic effects turn out to be negligible. These are troublesome insights not only for investors in structured fixed-income products, but particularly for the stability of the financial sector.

q-fin.MF↗

arXiv2016

Semiclassical Identification of Periodic Orbits in a Quantum Many-Body System

While a wealth of results has been obtained for chaos in single-particle quantum systems, much less is known about chaos in quantum many-body systems. We contribute to recent efforts to make a semiclassical analysis of such systems feasible, which is nontrivial due to the exponential proliferation of orbits with increasing particle number. Employing a recently discovered duality relation, we focus on the collective, coherent motion that together with the also present incoherent one typically leads to a mixture of regular and chaotic dynamics. We investigate a kicked spin chain as an example of a presently experimentally and theoretically much studied class of systems.

nlin.CD↗

arXiv2016

Average cross-responses in correlated financial market

There are non-vanishing price responses across different stocks in correlated financial markets. We further study this issue by performing different averages, which identify active and passive cross-responses. The two average cross-responses show different characteristic dependences on the time lag. The passive cross-response exhibits a shorter response period with sizeable volatilities, while the corresponding period for the active cross-response is longer. The average cross-responses for a given stock are evaluated either with respect to the whole market or to different sectors. Using the response strength, the influences of individual stocks are identified and discussed. Moreover, the various cross-responses as well as the average cross-responses are compared with the self-responses. In contrast, the short memory of trade sign cross-correlation for stock pairs, the sign cross-correlation has long memory when averaged over different pairs of stocks.

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