Related papers: Co-impact: Crowding effects in institutional tradi…
In financial market microstructure, there are two enigmatic empirical laws: (i) the market-order flow has predictable persistence due to metaorder splitters by institutional investors, well formulated as the Lillo-Mike-Farmer model.…
The notion of market impact is subtle and sometimes misinterpreted. Here we argue that impact should not be misconstrued as volatility. In particular, the so-called ``square-root impact law'', which states that impact grows as the…
In the last years efforts in econophysics have been shifted to study how network theory can facilitate understanding of complex financial markets. Main part of these efforts is the study of correlation-based hierarchical networks. This is…
We propose a static equilibrium model for limit order book where profit-maximizing investors receive an information signal regarding the liquidation value of the asset and execute via a competitive dealer with random initial inventory, who…
In financial markets, the market order sign exhibits strong persistence, widely known as the long-range correlation (LRC) of order flow; specifically, the sign correlation function displays long memory with power-law exponent $\gamma$, such…
This study employs an event study methodology to investigate the market impact of the U.S. Securities and Exchange Commission's (SEC) classification of crypto assets as securities. It explores how SEC interventions influence asset returns…
Constant price impact functions, much used in financial literature, are shown to give rise to paradoxical outcomes since they do not allow for proper predictability removal: for instance the exploitation of a single large trade whose size…
Complex systems are usually non-stationary and their dynamics is often dominated by collective effects. Collectivity, defined as coherent motion of the whole system or of some of its parts, manifests itself in the time-dependent structures…
Imitation is a basic updating mechanism for strategy evolution in structured populations, determining how individuals sample social information and translate it into behavioral changes. Higher-order networks, such as hypergraphs, generalize…
Traders in a stock market exchange stock shares and form a stock trading network. Trades at different positions of the stock trading network may contain different information. We construct stock trading networks based on the limit order…
We study association between macroeconomic news and stock market returns using the statistical theory of copulas, and a new comprehensive measure of news based on the indexing of news wires. We find the impact of economic news on equity…
A computational model of the construction of word meaning through exposure to texts is built in order to simulate the effects of co-occurrence values on word semantic similarities, paragraph by paragraph. Semantic similarity is here viewed…
We study the effects of inhomogeneous influence of individuals on collective phenomena. We focus analytically on a typical model of the majority rule, applied to the completely connected agents. Two types of individuals $A$ and $B$ with…
Multivariate Distributions are needed to capture the correlation structure of complex systems. In previous works, we developed a Random Matrix Model for such correlated multivariate joint probability density functions that accounts for the…
We look at discovering the impact of market microstructure on equitability for market participants at public exchanges such as the New York Stock Exchange or NASDAQ. Are these environments equitable venues for low-frequency participants…
The price impact for a single trade is estimated by the immediate response on an event time scale, i.e., the immediate change of midpoint prices before and after a trade. We work out the price impacts across a correlated financial market.…
We study the problem of what causes prices to change. We define the mechanical impact of a trading order as the change in future prices in the absence of any future changes in decision making, and its it informational impact as the…
Previous studies of the stock price response to individual trades focused on single stocks. We empirically investigate the price response of one stock to the trades of other stocks. How large is the impact of one stock on others and vice…
We consider a network of interacting agents and we model the process of choice on the adoption of a given innovative product by means of statistical-mechanics tools. The modelization allows us to focus on the effects of direct interactions…
Citation networks have fed numerous works in scientific evaluation, science mapping (and more recently large-scale network studies) for decades. The variety of citation behavior across scientific fields is both a research topic in sociology…