Pith Number

pith:6PKA5DXG

pith:2026:6PKA5DXGL63Y2GRGWZ7MLQRNWN

not attested not anchored not stored refs resolved

Market Makers and Risk Aversion: A Hamiltonian Approach to the Excess Volatility Puzzle

Will Hicks

Market makers' risk appetite sets the level of chaos in prices, generating unpredictability without external shocks.

arxiv:2605.15767 v1 · 2026-05-15 · q-fin.ST · q-fin.MF

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\pithnumber{6PKA5DXGL63Y2GRGWZ7MLQRNWN}

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2 Internet Archive

3 Author claim open · sign in to claim

4 Citations open

5 Replications open

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The bundle contains the canonical record plus signed events. A mirror can host it anywhere and recompute the same current state with the deterministic merge algorithm.

Claims

C1strongest claim

The market makers' risk appetite is the key parameter that determines the degree of chaos in the system, and external shocks and random noise are not necessary in order to generate unpredictable price changes.

C2weakest assumption

That the market price and market makers' inventory can be treated as anharmonic oscillators with a nonlinear coupling so that Hamiltonian dynamics apply and produce the claimed chaotic behavior.

C3one line summary

Applies Hamiltonian mechanics to coupled anharmonic oscillators representing price and inventory, showing risk aversion as the driver of chaotic dynamics that explain excess volatility without external drivers.

References

19 extracted · 19 resolved · 0 Pith anchors

[1] Vasicek, O: An Equilibrium characterization of the term structure.Journal of Financial Economics, 5:177-178, 1977 1977

[2] Cambridge University Press, 2018, ISBN:978-1- 107-15605-0 2018

[3] What Moves Stock Prices?

[4] What Moves Stock Prices? Another Look 2013

[5] Arnold:Mathematical Methods of Classical Mechanics, Springer Graduate Texts in Mathematics, 1988 17 1988

Formal links

2 machine-checked theorem links

Receipt and verification

First computed	2026-05-20T00:01:17.244694Z
Builder	pith-number-builder-2026-05-17-v1
Signature	Pith Ed25519 (`pith-v1-2026-05`) · public key
Schema	pith-number/v1.0

Canonical hash

f3d40e8ee65fb78d1a26b67ec5c22db36474a93aaa8ebb3d1f51c1da6b5c8941

Aliases

arxiv: 2605.15767 · arxiv_version: 2605.15767v1 · doi: 10.48550/arxiv.2605.15767 · pith_short_12: 6PKA5DXGL63Y · pith_short_16: 6PKA5DXGL63Y2GRG · pith_short_8: 6PKA5DXG

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Verify this Pith Number yourself

curl -sH 'Accept: application/ld+json' https://pith.science/pith/6PKA5DXGL63Y2GRGWZ7MLQRNWN \
  | jq -c '.canonical_record' \
  | python3 -c "import sys,json,hashlib; b=json.dumps(json.loads(sys.stdin.read()), sort_keys=True, separators=(',',':'), ensure_ascii=False).encode(); print(hashlib.sha256(b).hexdigest())"
# expect: f3d40e8ee65fb78d1a26b67ec5c22db36474a93aaa8ebb3d1f51c1da6b5c8941

Canonical record JSON

{
  "metadata": {
    "abstract_canon_sha256": "630e270250f4e1f60093681c2edf5f5fae37e2db9ca0844a21c8c6cfdf6ad699",
    "cross_cats_sorted": [
      "q-fin.MF"
    ],
    "license": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
    "primary_cat": "q-fin.ST",
    "submitted_at": "2026-05-15T09:25:13Z",
    "title_canon_sha256": "e9844018617f88386b9977d541dfab850c3a4c29b725dad9eac09ba9a7fc3e63"
  },
  "schema_version": "1.0",
  "source": {
    "id": "2605.15767",
    "kind": "arxiv",
    "version": 1
  }
}