Felix Patzelt

• Dr. rer. nat.
• Analyst at MOIA

Speculative markets are often described as "informationally efficient" such that predictable price changes are eliminated by traders exploiting them, leaving only residual unpredictable fluctuations. This classical view of markets operating close to an equilibrium is challenged by extreme price fluctuations which occur far more frequently than can...

We show, that stabilization of a dynamical system can annihilate observable information about its structure. This mechanism induces critical points as attractors in locally adaptive control. It also reveals, that previously reported criticality in simple controllers is caused by adaptation and not by other controller details. We apply these results...

This simple yet challenging game is based on scientific models for speculative markets, hearding behavior, and extreme events. At the same time, the seesaw game is a public experiment. How good are you at finding the hidden patterns?

The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all intra-day scales [1]. Here we investigate how well these curves, their scaling, and the underlying return dynamics are...

The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all intra-day scales [1]. Here we investigate how well these curves, their scaling, and the underlying return dynamics are...

How and why stock prices move is a centuries-old question still not answered conclusively. More recently, attention shifted to higher frequencies, where trades are processed piecewise across different timescales. Here we reveal that price impact has a universal non-linear shape for trades aggregated on any intra-day scale. Its shape varies little a...

How and why stock prices move is a centuries-old question still not answered conclusively. More recently, attention shifted to higher frequencies, where trades are processed piecewise across different timescales. Here we reveal that price impact has a universal non-linear shape for trades aggregated on any intra-day scale. Its shape varies little a...

Many complex systems exhibit extreme events far more often than expected for a normal distribution. This work examines how self-similar bursts of activity across several orders of magnitude can emerge from first principles in systems that adapt to information. Surprising connections are found between two apparently unrelated research topics: hand-e...

Supplementary Materials for: An Inherent Instability of Efficient Markets Felix Patzelt & Klaus Pawelzik Scientific Reports 3, Article number: 2784, doi:10.1038/srep02784 Contains all model equations, formal proofs, and supplementary figures.

Peer reviewed encyclopedia article. FP wrote the section on virtual stick balancing, JLC the sections on stick balancing on the fingertip and Levy flights. Full text available online. "Synonyms: Human stick balancing; Virtual stick balancing; Balance control dynamics; Lévy flights to improve balance control; Skill acquisition in stick balancing; Ch...

Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. These so called stylized facts are quantified by scaling laws similar to, for example, turbulent fluids. They are believed to reflect the complex interactions of heterogeno...

Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. These so called stylized facts are quantified by scaling laws similar to, for example, turbulent fluids. They are believed to reflect the complex interactions of heterogeno...

When humans perform closed loop control tasks like in upright standing or while balancing a stick, their behavior exhibits non-Gaussian fluctuations with long-tailed distributions. The origin of these fluctuations is not known. Here, we investigate if they are caused by self-organized critical noise amplification which emerges in control systems wh...

In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual unpredictable fluctuations. This classical view of markets absorbing information and otherwise operating close t...