Austin Gerig

Learn More
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price fluctuations (called intraday returns) and verify the model using a large database for several stocks traded on the London(More)
We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are statistically reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. We find that market impact(More)
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)
Newton’s second law describes the motion of the center of mass of most objects that we encounter in everyday life, including the complex motion of a spoon when we eat, the acceleration of a car, and even the trajectories of planets and stars. Only if objects move extremely fast, do we need to replace Newton’s second law with Einstein’s theory of relativity,(More)
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)
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)
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 dynamics of a one-dimensional discrete flow with open boundaries--a series of moving point particles connected by ideal springs. These particles flow towards an inlet at constant velocity, pass into a region where they are free to move according to their nearest neighbor interactions, and then pass an outlet where they travel with a(More)
  • 1