Related papers: Zooming In on Equity Factor Crowding
The average portfolio structure of institutional investors is shown to have properties which account for transaction costs in an optimal way. This implies that financial institutions unknowingly display collective rationality, or Wisdom of…
In the standard equilibrium and/or arbitrage pricing framework, the value of any asset is uniquely specified from the belief that only the systematic risks need to be remunerated by the market. Here, we show that, even for arbitrary large…
In an emergency situation, imitation of strategies of neighbours can lead to an order-disorder phase transition, where spatial clusters of pedestrians adopt the same strategy. We assume that there are two strategies, cooperating and…
Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are…
As crowdsourcing emerges as an efficient and cost-effective method for obtaining labels for machine learning datasets, it is important to assess the quality of crowd-provided data, so as to improve analysis performance and reduce biases in…
Increasingly, crowdfunding is transforming financing for many people worldwide. Yet we know relatively little about how, why, and when funding outcomes are impacted by signaling between funders. We conduct two studies of N=500 and N=750…
The waiting time needed for a stock market index to undergo a given percentage change in its value is found to have an up-down asymmetry, which, surprisingly, is not observed for the individual stocks composing that index. To explain this,…
We argue that an important contributing factor into market inefficiency is the lack of a robust mechanism for the stock price to rise if a company has good earnings, e.g., via buybacks/dividends. Instead, the stock price is prone to…
Socioeconomic inequalities in cities are embedded in space and result in neighborhood effects, whose harmful consequences have proved very hard to counterbalance efficiently by planning policies alone. Considering redistribution of money…
In this paper we study the price dynamics in a simple model of financial markets with heterogeneous agents. We concentrate on how increases in the total number of active traders influences fluctuations of asset prices. We find that a…
An exact solution is presented to a model that mimics the crowding effect in financial markets which arises when groups of agents share information. We show that the size distribution of groups of agents has a power law tail with an…
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…
Factor models characterize the joint behavior of large sets of financial assets through a smaller number of underlying drivers. We develop a network-based framework in which factors emerge naturally from the structure of interactions among…
Is the large influence that mutual funds assert on the U.S. financial system spread across many funds, or is it is concentrated in only a few? We argue that the dominant economic factor that determines this is market efficiency, which…
By incorporating market impact and momentum traders into an agent-based model, we investigate the conditions for the occurrence of self-reinforcing feedback loops and the coevolutionary mechanism of prices and strategies. For low market…
The purpose of this paper is to advance the understanding of the conditions that give rise to flash crash contagion, particularly with respect to overlapping asset portfolio crowding. To this end, we designed, implemented, and assessed a…
The most conspicuous trait of collective animal behaviour is the emergence of highly ordered structures. Less obvious to the eye, but perhaps more profound a signature of self-organization, is the presence of long-range spatial…
In this paper, we investigate disparities in pedestrian crossing behaviors within static and dynamic crowds through experimental analysis. First, qualitative trajectory observations revealed significant behavioral differences in static and…
Natural flocks (aligned) and swarms (non-aligned) both exhibit features of near-criticality, challenging their treatment as two ends of the same phase transition. We present a model for the aggregation of active individuals, in which their…
The role of portfolio construction in the implementation of equity market neutral factors is often underestimated. Taking the classical momentum strategy as an example, we show that one can significantly improve the main strategy's features…