Related papers: What drives mutual fund asset concentration?
Modern mainstream financial theory is underpinned by the efficient market hypothesis, which posits the rapid incorporation of relevant information into asset pricing. Limited prior studies in the operational research literature have…
Search frictions can impede the formation of optimal matches between consumer and supplier, or employee and employer, and lead to inefficiencies. This paper revisits the effect of search frictions on the firm size distribution when…
A perspective is taken on the intangible complexity of economic and social systems by investigating the underlying dynamical processes that produce, store and transmit information in financial time series in terms of the \textit{moving…
We analyze actively managed mutual funds in China from 2005 to 2017. We develop performance measures for asset allocation and selection. We find that stock selection ability from holding-based model is positively correlated with selection…
A cluster theory based mathematical model was developed and used to simulate the dynamics of a system composed of a large number of interacting agents-clusters with different size. The case of a system formed by a constant total number of…
We consider a simple model of firm/city/etc. growth based on a multi-item criterion: whenever entity B fares better that entity A on a subset of $M$ items out of $K$, the agent originally in A moves to B. We solve the model analytically in…
The Efficient Market Hypothesis has been a staple of economics research for decades. In particular, weak-form market efficiency -- the notion that past prices cannot predict future performance -- is strongly supported by econometric…
We demonstrate that minority mechanisms arise in the dynamics of markets because of effects of price impact; accordingly the relative importance of minority and delayed majority mechanisms depends on the frequency of trading. We then use…
In the seminal work [9], several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite the crucial importance of such observables for investment…
In this work, it is pointed out that in the mean-field version of majority-rule opinion dynamics, the dependence of the consensus time on the population size exhibits two regimes. This is determined by the size distribution of the groups…
We study market-to-book ratios of stocks in the context of Stochastic Portfolio Theory. Functionally generated portfolios that depend on auxiliary economic variables other than relative capitalizations ("sizes") are developed in two ways,…
Using more than 6.7 billions of trades, we explore how the tick-by-tick dynamics of limit order books depends on the aggregate actions of large investment funds on a much larger (quarterly) timescale. In particular, we find that the…
We model systemic risk using a common factor that accounts for market-wide shocks and a tail dependence factor that accounts for linkages among extreme stock returns. Specifically, our theoretical model allows for firm-specific impacts of…
We introduce a new measure for the capital market efficiency. The measure takes into consideration the correlation structure of the returns (long-term and short-term memory) and local herding behavior (fractal dimension). The efficiency…
The global decline in the labor income share has challenged the classical Kaldor facts; however, the macroeconomic aggregation mechanism -- namely, how aggregate factor shares emerge from firm-level heterogeneity -- remains underexplored.…
Publicly traded companies are fundamental units of contemporary economies and markets and are important mechanisms through which humans interact with their environments. Understanding the general properties that underlie the processes of…
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
Significant differences in the evolution of firm size distribution for various industries in the United States have been revealed and documented. For theoretical considerations, this finding puts major constraints on the modelling of firm…
Many large cities are found at locations with certain first nature advantages. Yet, those exogenous locational features may not be the most potent forces governing the spatial pattern of cities. In particular, population size, spacing and…
The domain of hedge fund investments is undergoing significant transformation, influenced by the rapid expansion of data availability and the advancement of analytical technologies. This study explores the enhancement of hedge fund…