Related papers: Zooming In on Equity Factor Crowding
We derive a specific functional form for factor alpha decay -- hyperbolic decay alpha(t) = K/(1+lambda*t) -- from a game-theoretic equilibrium model, and test it against linear and exponential alternatives. Using eight Fama-French factors…
Crowded trades by similarly trading peers influence the dynamics of asset prices, possibly creating systemic risk. We propose a market clustering measure using granular trading data. For each stock the clustering measure captures the degree…
This paper is devoted to the important yet unexplored subject of crowding effects on market impact, that we call "co-impact". Our analysis is based on a large database of metaorders by institutional investors in the U.S. equity market. We…
Collective motion - or flocking - is an emergent phenomena that underlies many biological processes of relevance, from cellular migrations to animal groups movement. In this work, we derive scaling relations for the fluctuations of the mean…
Crowding is widely regarded as one of the most important risk factors in designing portfolio strategies. In this paper, we analyze stock crowding using network analysis of fund holdings, which is used to compute crowding scores for stocks.…
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…
This paper proposes a general model for synchronized crowding behavior. An order parameter is introduced to quantify the level of synchronization which is shown a function of percentage of agents in reactive state. Further, synchronization…
Social learning is a fundamental mechanism shaping decision-making across numerous social networks, including social trading platforms. In those platforms, investors combine traditional investing with copying the behavior of others.…
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…
It has been long that literature in financial academics focuses mainly on price and return but much less on trading volume. In the past twenty years, it has already linked both price and trading volume to economic fundamentals, and explored…
The growing popularity of online fundraising (aka "crowdfunding") has attracted significant research on the subject. In contrast to previous studies that attempt to predict the success of crowdfunded projects based on specific…
We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a…
In recent years, multi-factor strategies have gained increasing popularity in the financial industry, as they allow investors to have a better understanding of the risk drivers underlying their portfolios. Moreover, such strategies promise…
Over the past few decades, the research community has been interested in the study of multi-agent systems and their emerging collective dynamics. These systems are all around us in nature, like bacterial colonies, fish schools, bird flocks,…
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…
In this work, we present typical challenges encountered when developing methods for controlling crowds of people (or animal swarms). We discuss which elements shall be considered and the role they play to achieve a robust control in a…
Financial price changes obey two universal properties: they follow a power law and they tend to be clustered in time. The second regularity, known as volatility clustering, entails some predictability in the price changes: while their sign…
By incorporating market impact and asymmetric sensitivity into the evolutionary minority game, we study the coevolutionary dynamics of stock prices and investment strategies in financial markets. Both the stock price movement and the…
Financial market is an example of complex system, which is characterized by a highly intricate organization and the emergence of collective behavior. In this paper, we quantify this emergent dynamics in the financial market by using…
A statistical mechanical theory is presented to predict the effects of macromolecular crowding on protein association equilibria, accounting for both excluded volume and attractive interactions between proteins and crowding molecules.…