Austin Gerig

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Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using a large collection of data from three different stock markets, we present evidence that a modification to the random(More)
NOTE: Staff working papers in the DERA Working Paper Series are preliminary materials circulated to stimulate discussion and critical comment. References in publications to the DERA Working Paper Series (other than acknowledgement) should be cleared with the author(s) in light of the tentative character of these papers. The Securities and Exchange(More)
Despite the idiosyncratic behavior of individuals, empirical regularities exist in social and economic systems. These regularities often arise from simple underlying mechanisms which, analogous to the natural sciences, can be expressed as universal principles or laws. In this essay, I discuss the similarities between economic and natural phenomena and argue(More)
  • J Doyne Farmer, Austin Gerig, Fabrizio Lillo, Henri Waelbroeck
  • 2008
We study the price change associated with the incremental execution of large trading orders. The heavy tails of large order sizes leads to persistence in the signs of transactions: Buyer initiated transactions tend to be followed by buyer initiated transactions and seller initiated transactions tend to be followed by seller initiated transactions. The(More)
  • J Doyne Farmer, Austin Gerig, Fabrizio Lillo, Henri Waelbroeck
  • 2007
Market impact is the change in price due to initiating a trade. In this paper we develop a new theory for average market impact based on properties of order flow, efficiency of price returns and other empirically testable assumptions. Our approach differs from previous efforts in that our results do not depend on assumptions about the functional form of(More)
We study the dynamical self–organization of conducting particles into ramified tree networks when subjected to strong electric fields. We find that for a general class of initial configurations of particles that the trees grow in three stages: (I) strand formation , (II) boundary connection, and (III) geometric expansion. We show that graph theoretical(More)
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