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In the seminal work [9], several macroscopic market observables have beenintroduced, in an attempt to find characteristics capturing the diversity of afinancial market. Despite the crucial importance of such observables forinvestment decisions, a concise mathematical description of their dynamics hasbeen missing. We fill this gap in the setting of rank-based models and expectour ideas to extend to other models of large financial markets as well. Theresults are then used to study the performance of multiplicatively andadditively functionally generated portfolios, in particular, over short-termand medium-term horizons.

Dynamics of observables in rank-based models and performance of functionally generated portfolios