Related papers: Co-impact: Crowding effects in institutional tradi…
Many-to-one matching markets exist in numerous different forms, such as college admissions, matching medical interns to hospitals for residencies, assigning housing to college students, and the classic firms and workers market. In all these…
In this paper we explore optimal liquidation in a market populated by a number of heterogeneous market makers that have limited inventory-carrying and risk-bearing capacity. We derive a reduced form model for the dynamic of their aggregated…
This paper provides a simple theoretical framework to evaluate the effect of key parameters of ranking algorithms, namely popularity and personalization parameters, on measures of platform engagement, misinformation and polarization. The…
We study the relaxation dynamics of the bid-ask spread and of the midprice after a sudden, large variation of the spread, corresponding to a temporary crisis of liquidity in a double auction financial market. We find that the spread decays…
A non-parametric method for ranking stock indices according to their mutual causal influences is presented. Under the assumption that indices reflect the underlying economy of a country, such a ranking indicates which countries exert the…
The measured correlations of financial time series in subsequent epochs change considerably as a function of time. When studying the whole correlation matrices, quasi-stationary patterns, referred to as market states, are seen by applying…
Sequential measurements of non-commuting observables produce order effects that are well-known in quantum physics. But their conceptual basis, a significant measurement interaction, is relevant for far more general situations. We argue that…
Machine learning systems increasingly depend on pipelines of multiple algorithms to provide high quality and well structured predictions. This paper argues interaction effects between clustering and prediction (e.g. classification,…
Macromolecular crowding affects biophysical processes as diverse as diffusion, gene expression, cell growth, and senescence. Yet, there is no comprehensive understanding of how crowding affects reactions, particularly multivalent binding.…
Online social networks offer a new way to investigate financial markets' dynamics by enabling the large-scale analysis of investors' collective behavior. We provide empirical evidence that suggests social media and stock markets have a…
We propose a general framework to describe the impact of different events in the order book, that generalizes previous work on the impact of market orders. Two different modeling routes can be considered, which are equivalent when only…
When network products and services become more valuable as their userbase grows (network effects), this tendency can become a major determinant of how they compete with each other in the market and how the market is structured. Network…
In the present work we introduce a novel multi-agent model with the aim to reproduce the dynamics of a double auction market at microscopic time scale through a faithful simulation of the matching mechanics in the limit order book. The…
This paper analyzes correlations in patterns of trading of different members of the London Stock Exchange. The collection of strategies associated with a member institution is defined by the sequence of signs of net volume traded by that…
We study a continuous time economy where throughout time, insiders receive private signals regarding the risky assets' terminal payoff. We prove existence of a partial communication equilibrium where, at each private signal time, the public…
We present analytic and numerical results for two models, namely the minority model and the bar-attendance model, which offer simple paradigms for a competitive marketplace. Both models feature heterogeneous agents with bounded rationality…
In type-and-coeffect systems, contexts are enriched by coeffects modeling how they are actually used, typically through annotations on single variables. Coeffects are computed bottom-up, combining, for each term, the coeffects of its…
We study a policy evaluation problem in centralized markets. We show that the aggregate impact of any marginal reform, the Marginal Policy Effect (MPE), is nonparametrically identified using data from a baseline equilibrium, without…
Market-order flow in financial markets exhibits long-range correlations. This is a widely known stylised fact of financial markets. A popular hypothesis for this stylised fact comes from the Lillo-Mike-Farmer (LMF) order-splitting theory.…
Interdisciplinary research increasingly fuels innovation, and is considered to be a key to tomorrow breakthrough. Yet little is known about whether interdisciplinary research manifests delayed impact. Here, we use the time to reach the…