Related papers: Zooming In on Equity Factor Crowding
Pedestrians are often encountered walking in the company of some social relations, rather than alone. The social groups thus formed, in variable proportions depending on the context, are not randomly organised but exhibit distinct features,…
Financial markets, being spectacular examples of complex systems, display rich correlation structures among price returns of different assets. The correlation structures change drastically, akin to phase transitions in physical phenomena,…
In this article, we present a discrete time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). We use the proposed modeling…
In this work, we aim to reconcile several apparently contradictory observations in market microstructure: is the famous "square-root law" of metaorder impact, which decays with time, compatible with the random-walk nature of prices and the…
How do we design and deploy crowdsourced prediction platforms for real-world applications where risk is an important dimension of prediction performance? To answer this question, we conducted a large online Wisdom of the Crowd study where…
We study the statistics of earning forecasts of US, EU, UK and JP stocks during the period 1987-2004. We confirm, on this large data set, that financial analysts are on average over-optimistic and show a pronounced herding behavior. These…
Detailed study of the financial empirical correlation matrix of the 30 companies comprised by DAX within the period of the last 11 years, using the time-window of 30 trading days, is presented. This allows to clearly identify a nontrivial…
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies. Despite its popularity, little attention has been paid to the statistical properties of the procedure. We…
This study is a detailed analysis of Speculation Game, a minimal agent-based model of financial markets, in which the round-trip trading and the dynamic wealth evolution with variable trading volumes are implemented. Instead of herding…
We study the cross-correlation matrix $C_{ij}$ of inventory variations of the most active individual and institutional investors in an emerging market to understand the dynamics of inventory variations. We find that the distribution of…
We show that the higher-order terms and interactions of the common sparse linear factors are significantly priced in the cross-section of equity returns. A higher-order model with only a small number of selected higher-order terms from six…
Concerts, protests, and sporting events are occurring with increasing frequency and magnitude. The extreme physical conditions common to these events are known to cause injuries and loss-of-life due to the emergence of collective motion…
We describe and document three mechanisms by which corporations can influence or even control stock prices. (i) Parent and holding companies wield control over other publicly traded companies. (ii) Through clever management of treasury…
In a system of noisy self-propelled particles with interactions that favor directional alignment, collective motion will appear if the density of particles increases beyond a certain threshold. In this paper, we argue that such a threshold…
We present SmartCrowd, a framework for optimizing collaborative knowledge-intensive crowdsourcing. SmartCrowd distinguishes itself by accounting for human factors in the process of assigning tasks to workers. Human factors designate…
In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained…
Social scientists have long sought to understand why certain people, items, or options become more popular than others. One seemingly intuitive theory is that inherent value drives popularity. An alternative theory claims that popularity is…
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…
Scramble intersections stand as compelling examples of complex systems, shedding light on the pressing challenge of urban mobility. In this paper, we introduce a model aimed at unraveling the statistical intricacies of pedestrian crossing…
We study the daily trading volume volatility of 17,197 stocks in the U.S. stock markets during the period 1989--2008 and analyze the time return intervals $\tau$ between volume volatilities above a given threshold q. For different…