This short review presents a selected history of the mutual fertilization between physics and
economics—from Isaac Newton and Adam Smith to the present. The fundamentally different …

Financial markets (share markets, foreign exchange markets and others) are all
characterized by a number of universal power laws. The most prominent example is the …

We study the price impact of order book events—limit orders, market orders, and
cancellations—using the NYSE Trades and Quotes data for fifty US stocks. We show that …

Using the eigenvalues and eigenvectors of correlations matrices of some of the main
financial market indices in the world, we show that high volatility of markets is directly linked …

Publisher Summary This chapter discusses the new approach to the classic problem of
tâtonnement—the dynamic process through which markets seek to reach equilibrium. The …

We study the cause of large fluctuations in prices on the London Stock Exchange. This is
done at the microscopic level of individual events, where an event is the placement or …

We develop a behavioral model for liquidity and volatility based on empirical regularities in
trading order flow in the London Stock Exchange. This can be viewed as a very simple agent …

Buying and selling stocks causes price changes, which are described by the price impact
function. To explain the shape of this function, we study the Island ECN orderbook. In …

Stock prices are observed to be random walks in time despite a strong, long-term memory in
the signs of trades (buys or sells). Lillo and Farmer have recently suggested that these …

We analyze whether the prediction of the fractal markets hypothesis about a dominance of
specific investment horizons during turbulent times holds. To do so, we utilize the continuous …