The availability of high-frequency data on transactions, quotes and order flow in electronic order-driven markets has revolutionized data processing and statistical modeling techniques in finance and brought up new theoretical and computational challenges. Market dynamics at the transaction...

Time series of financial asset returns often exhibit the volatility clustering property: large changes in prices tend to cluster together, resulting in persistence of the amplitudes of price changes. After recalling various methods for quantifying and modeling this phenomenon, we discuss several...

The empirical finding that market movements in stock prices may be correlated with the order flow of other stocks has led to the notion of "cross-impact" and has prompted the development of multivariate models of market impact. These models are parametrized by a matrix of impact coefficients...

We propose a simple multi-period model of price impact in a market with multiple assets, which illustrates how feedback effects due to distressed selling and short selling lead to endogenous correlations between asset classes. We show that distressed selling by investors exiting a fund and short...