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This book is in copyright. Subject to statutory exception and to the provisions of relevant collective licensing agreements, no reproduction of any part may take place without the written permission of Cambridge University Press. A catalogue record for this book is available from the British Library Library of Congress Cataloguing in Publication data(More)
We investigate several statistical properties of the order book of three liquid stocks of the Paris Bourse. The results are to a large degree independent of the stock studied. The most interesting features concern (i) the statistics of incoming limit order prices, which follows a power-law around the current price with a diverging mean; and (ii) the humped(More)
We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical correlation matrices appearing in the study of multivariate time series. The central result of the present study, which focuses on the case of financial price fluctuations, is the remarkable agreement between the(More)
Using Trades and Quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delicate interplay between two opposite tendencies: strongly correlated market orders that lead to super-diffusion (or persistence), and mean reverting limit orders that lead to sub-diffusion (or anti-persistence). We define and(More)
We present a theory of excess stock market volatility, in which market movements are due to trades by very large institutional investors in relatively illiquid markets. Such trades generate significant spikes in returns and volume, even in the absence of important news about fundamentals. We derive the optimal trading behavior of these investors, which(More)
A novel member of the low density lipoprotein (LDL) receptor family was identified, which is expressed in locust oocytes, fat body, brain, and midgut. This receptor appeared to be a homolog of the mammalian very low density lipoprotein receptor as it contains eight cysteine-rich repeats in its putative ligand-binding domain. When transiently expressed in(More)
We introduce a covariance matrix estimator that both takes into account the heteroskedasticity of financial returns (by using an exponentially weighted moving average) and reduces the effective dimensionality of the estimation (and hence measurement noise) via techniques borrowed from random matrix theory. We calculate the spectrum of large exponentially(More)
BACKGROUND The nodular sclerosis and mixed cellularity subtypes of Hodgkin's disease are histologically characterised by a small population of neoplastic cells, the so-called Reed-Sternberg cells and their mononuclear variants (RS cells) and an extensive admixture of other cell types including lymphocytes, plasma cells, eosinophils, and histiocytes. The(More)
We present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be present in financial data. Although our model is asymptotically ‘monofractal’ by construction, it shows apparent multiscaling as a result of a slow crossover phenomenon on finite time scales. Our results suggest that it might be hard(More)