Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Phases of MANES: Multi-Asset Non-Equilibrium Skew Model of a Strongly
  Non-Linear Market with Phase Transitions   This paper presents an analytically tractable and practically-oriented model
of non-linear dynamics of a multi-asset market in the limit of a large number
of assets. The asset price dynamics are driven by money flows into the market
from external investors, and their price impact. This leads to a model of a
market as an ensemble of interacting non-linear oscillators with the Langevin
dynamics. In a homogeneous portfolio approximation, the mean field treatment of
the resulting Langevin dynamics produces the McKean-Vlasov equation as a
dynamic equation for market returns. Due to the strong non-linearity of the
McKean-Vlasov equation, the resulting dynamics give rise to ergodicity breaking
and first- or second-order phase transitions under variations of model
parameters. Using a tractable potential of the Non-Equilibrium Skew (NES) model
previously suggested by the author for a single-stock case, the new Multi-Asset
NES (MANES) model enables an analytically tractable framework for a multi-asset
market. The equilibrium expected market log-return is obtained as a
self-consistent mean field of the McKean-Vlasov equation, and derived in closed
form in terms of parameters that are inferred from market prices of S&P 500
index options. The model is able to accurately fit the market data for either a
benign or distressed market environments, while using only a single volatility
parameter.

16
The categories of this paper are: stat
35
The categories of this paper are: mtrl-th
5
The categories of this paper are: gr-qc
13
The categories of this paper are: quant-ph
7
The categories of this paper are: hep-th
6
The categories of this paper are: astro-ph
20
The categories of this paper are: acc-phys
27
The categories of this paper are: comp-gas
22
The categories of this paper are: chao-dyn
0
The categories of this paper are: hep-ph
33
The categories of this paper are: plasm-ph
14
The categories of this paper are: math-ph
15
The categories of this paper are: nucl-ex
12
The categories of this paper are: nucl-th
8
The categories of this paper are: hep-ex
30
The categories of this paper are: q-alg