Related papers: High Frequency Lead/lag Relationships - Empirical …
We examine the long-term behavior of a Bayesian agent who has a misspecified belief about the time lag between actions and feedback, and learns about the payoff consequences of his actions over time. Misspecified beliefs about time lags…
We numerically study the statistical fluctuations of photonic band gaps in ensembles of stealthy hyperuniform disordered patterns. We find that at low stealthiness, where correlations are weak, band gaps of different system realizations…
Lord's Paradox occurs when a continuous covariate is statistically controlled for and the relationship between a continuous outcome and group status indicator changes in both magnitude and direction. This phenomenon poses a challenge to the…
A chain of coupled chaotic elements with different time scales is studied. In contrast with the adiabatic approximation, we find correlations between faster and slower elements when the differences in the time scales of the elements lie…
Traded corporations are required by law to have a majority of outside directors on their board. This requirement allows the existence of directors who sit on the board of two or more corporations at the same time, generating what is…
We present the symmetric thermal optimal path (TOPS) method to determine the time-dependent lead-lag relationship between two stochastic time series. This novel version of the previously introduced TOP method alleviates some inconsistencies…
Synchronous federated learning (FL) scales poorly with the number of clients due to the straggler effect. Algorithms like FedAsync and GeneralizedFedAsync address this limitation by enabling asynchronous communication between clients and…
Characterization of real-world complex systems increasingly involves the study of their topological structure using graph theory. Among global network properties, small-world property, consisting in existence of relatively short paths…
This paper characterises dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature.…
The paper examines the learning mechanism of adaptive agents over weakly-connected graphs and reveals an interesting behavior on how information flows through such topologies. The results clarify how asymmetries in the exchange of data can…
In previous work, our results suggested that some cities tend to be ahead of others in their musical preferences. We concluded that work by noting that to properly test this claim, we would try to exploit the leader-follower relationships…
Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at half-hour intervals that are exact multiples…
The leverage effect-- the correlation between an asset's return and its volatility-- has played a key role in forecasting and understanding volatility and risk. While it is a long standing consensus that leverage effects exist and improve…
Trading styles can be classified into either trend-following or mean-reverting. If the net trading style is trend-following the traded asset is more likely to move in the same direction it moved previously (the opposite is true if the net…
A day in the life of a person involves a broad range of activities which are common across many people. Going beyond diurnal cycles, a central question is: to what extent do individuals act according to patterns shared across an entire…
Financial markets provide an ideal frame for studying decision making in crowded environments. Both the amount and accuracy of the data allows to apply tools and concepts coming from physics that studies collective and emergent phenomena or…
Temporal networks come with a wide variety of heterogeneities, from burstiness of event sequences to correlations between timings of node and link activations. In this paper, we set to explore the latter by using greedy walks as probes of…
The phenomenology of the forward rate curve (FRC) can be accurately understood by the fluctuations of a stiff elastic string (Le Coz and Bouchaud, 2024). By relating the exogenous shocks driving such fluctuations to the surprises in the…
The quasi-symmetric shape of the lightcurves, as seen in the X-rays and in the optical, together with the fast variations of the flux observed, suggest that the cooling time for the highest energy electrons may be shorter than the light…
Due to the increasing popularity of collaborative tagging systems, the research on tagged networks, hypergraphs, ontologies, folksonomies and other related concepts is becoming an important interdisciplinary topic with great actuality and…