Related papers: Zooming In on Equity Factor Crowding
We consider a Kyle-type model where insider trading takes place among a potentially large population of liquidity traders and is subject to legal penalties. Insiders exploit the liquidity provided by the trading masses to "camouflage" their…
Large distributed multiagent systems are characterized by vast numbers of agents trying to gain access to limited resources in an unpredictable environment. Agents in these system continuously switch strategies in order to opportunistically…
The crowd panic and its contagion play non-negligible roles at the time of the stock crash, especially for China where inexperienced investors dominate the market. However, existing models rarely consider investors in networking stocks and…
We study the properties of macroeconomic survey forecast response averages as the number of survey respondents grows. Such averages are ``portfolios" of forecasts. We characterize the speed and pattern of the gains from diversification as a…
We live in a computerized and networked society where many of our actions leave a digital trace and affect other people's actions. This has lead to the emergence of a new data-driven research field: mathematical methods of computer science,…
Elucidating emergent regularities in intriguing crowd dynamics is a fundamental scientific problem arising in multiple fields. In this work, based on the social force model, we simulate the typical scenario of collective escape towards a…
The interior of cells is crowded thus making it important to assess the effects of macromolecules on the folding of proteins. Using the Self-Organized Polymer (SOP) model, which is a coarse-grained representation of polypeptide chains, we…
Crowdsourcing systems aggregate decisions of many people to help users quickly identify high-quality options, such as the best answers to questions or interesting news stories. A long-standing issue in crowdsourcing is how option quality…
This paper investigates the time-varying structure of Fama and French's (1993; 2015) multi-factor models using Fama and MacBeth's (1973) two-step estimation based on the rolling window method. In particular, we employ the generalized GRS…
Diffusion in the crowded environments of the biological membranes or materials interfaces often involves intermittent binding to surface proteins or defects. To account for this situation we study a 2-dimensional lattice gas in a field of…
Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…
Pedestrian crowds can very realistically be simulated with a social force model which describes the different influences affecting individual pedestrian motion by a few simple force terms. The model is able to reproduce the emergence of…
In this research, we have empirically investigated the key drivers affecting liquidity in equity markets. We illustrated how theoretical models, such as Kyle's model, of agents' interplay in the financial markets, are aligned with the…
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…
Portfolio diversification and active risk management are essential parts of financial analysis which became even more crucial (and questioned) during and after the years of the Global Financial Crisis. We propose a novel approach to…
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…
Using Trades and Quotes data from the Paris stock market, we show that the random walk nature of traded prices results from a very delicate interplay between two opposite tendencies: long-range correlated market orders that lead to…
Summarized by the efficient market hypothesis, the idea that stock prices fully reflect all available information is always confronted with the behavior of real-world markets. While there is plenty of evidence indicating and quantifying the…
The number of pension funds has multiplied exponentially over the last decade. Active portfolio management requires a precise analysis of the performance drivers. Several risk and performance attribution metrics have been developed since…
The minority model was introduced to study the competition between agents with limited information. It has the remarkable feature that, as the amount of information available increases, the collective gain made by the agents is reduced.…