Market Dynamics of Information Avalanches
Fuente:
arXiv
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| Format: | Preprint |
| Publié: |
2026
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| _version_ | 1866908857013370880 |
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| author | Meister, Bernhard K |
| author_facet | Meister, Bernhard K |
| contents | Financial markets convert the incremental arrival of information into asset price changes. In a sandpile model grains of sand represent bits of data, and the size of an avalanche, governed by a scaling law, is linked to price volatility. While this model of self-organized criticality reproduces stylized facts, it also identifies a structural tension between the non-arbitrage condition and price adjustments consistent with a constant Sharpe ratio. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2603_00361 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Market Dynamics of Information Avalanches Meister, Bernhard K Portfolio Management Financial markets convert the incremental arrival of information into asset price changes. In a sandpile model grains of sand represent bits of data, and the size of an avalanche, governed by a scaling law, is linked to price volatility. While this model of self-organized criticality reproduces stylized facts, it also identifies a structural tension between the non-arbitrage condition and price adjustments consistent with a constant Sharpe ratio. |
| title | Market Dynamics of Information Avalanches |
| topic | Portfolio Management |
| url | https://arxiv.org/abs/2603.00361 |