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In this work, we propose an order book model with herd behavior. The proposed model is built upon two distinct approaches: a recent empirical study of the detailed order book records by Kanazawa et al. [Phys. Rev. Lett. 120, 138301] and…
Record linkage is an essential part of nearly all real-world systems that consume structured and unstructured data coming from different sources. Typically no common key is available for connecting records. Massive data cleaning and data…
We present a methodology to extract the backbone of complex networks based on the weight and direction of links, as well as on nontopological properties of nodes. We show how the methodology can be applied in general to networks in which…
Portfolio selection is one of the most important and vital decisions that a real or legal person, who invests in stock market should make. The main purpose of this paper is the determination of the optimal portfolio with regard to stock…
We perform a comparative analysis of the Chinese stock market around the occurrence of the 2008 crisis based on the random matrix analysis of high-frequency stock returns of 1228 stocks listed on the Shanghai and Shenzhen stock exchanges.…
Small-to-medium size enterprises (SMEs), including many startup firms, need to manage interrelated flows of cash and inventories of goods. In this paper, we model a firm that can finance its inventory (ordered or manufactured) with loans in…
Industrial ranking systems, such as advertising systems, rank items by aggregating multiple objectives into one final objective to satisfy user demand and commercial intent. Cascade architecture, composed of retrieval, pre-ranking, and…
We investigate the probability distributions of the recurrence intervals $\tau$ between consecutive 1-min returns above a positive threshold $q>0$ or below a negative threshold $q<0$ of two indices and 20 individual stocks in China's stock…
Search engine ranking pipelines are commonly based on large ensembles of machine-learned decision trees. The tight constraints on query response time recently motivated researchers to investigate algorithms to make faster the traversal of…
This paper provides a holistic study of how stock prices vary in their response to financial disclosures across different topics. Thereby, we specifically shed light into the extensive amount of filings for which no a priori categorization…
Listwise reranking with large language models (LLMs) enhances top-ranked results in retrieval-based applications. Due to the limit in context size and high inference cost of long context, reranking is typically performed over a fixed size…
Public organizations need innovative approaches for managing common goods and to explain the dynamics linking the (re)generation of common goods and organizational performance. Although system dynamics is recognised as a useful approach for…
Financial markets are inherently non-stationary: structural breaks and macroeconomic regime shifts often cause forecasting models to fail when deployed out of distribution (OOD). Conventional multimodal approaches that simply fuse numerical…
This paper analyzes the relation between bank profit performance and business models. Using a machine learning-based approach, we propose a methodological strategy in which balance sheet components' contributions to profitability are the…
A wide range of natural and engineered phenomena rely on large networks of interacting units to reach a dynamical consensus state where the system collectively operates. Here we study the dynamics of self-organizing systems and show that…
We introduce an innovative framework that leverages advanced big data techniques to analyze dynamic co-movement between stocks and their underlying fundamentals using high-frequency stock market data. Our method identifies leading…
Web-scale search systems typically tackle the scalability challenge with a two-step paradigm: retrieval and ranking. The retrieval step, also known as candidate selection, often involves extracting standardized entities, creating an…
Our research investigates the relationship between eco-innovation and earnings management among 567 firms listed on the FTSE All-Share Index from 2014 to 2022. By examining how sustainability-driven innovation influences financial reporting…
In the preceding paper we presented empirical results describing the growth of publicly-traded United States manufacturing firms within the years 1974--1993. Our results suggest that the data can be described by a scaling approach. Here, we…
When firms want to buy back their own shares, they have a choice between several alternatives. If they often carry out open market repurchase, they also increasingly rely on banks through complex buyback contracts involving option…