Related papers: Zooming In on Equity Factor Crowding
In human crowds as well as in many animal societies, local interactions among individuals often give rise to self-organized collective organizations that offer functional benefits to the group. For instance, flows of pedestrians moving in…
Understanding self-organization in natural collectives such as bird flocks inspires swarm robotics, yet most flocking models remain reactive, overlooking anticipatory cues that enhance coordination. Motivated by avian postural and wingbeat…
Spearheaded by retail traders on the website reddit, the GameStop short squeeze of early 2021 shows that social media embeds information that correlates with market movements. This paper seeks to examine this relationship by using daily…
Firm foundation theory estimates a security's firm fundamental value based on four determinants: expected growth rate, expected dividend payout, the market interest rate and the degree of risk. In contrast, other views of decision-making in…
The growth of the number of people in the monitoring scene may increase the probability of security threat, which makes crowd counting more and more important. Most of the existing approaches estimate the number of pedestrians within one…
In the Cont-Bouchaud model [cond-mat/9712318] of stock markets, percolation clusters act as buying or selling investors and their statistics controls that of the price variations. Rather than fixing the concentration controlling each…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…
We explore various extensions of Challet and Zhang's Minority Game in an attempt to gain insight into the dynamics underlying financial markets. First we consider a heterogeneous population where individual traders employ differing `time…
We study how to assess the potential benefit of diversifying an equity portfolio by investing within and across equity sectors. We analyse 20 years of US stock price data, which includes the global financial crisis (GFC) and the COVID-19…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
The imbalance of buying and selling functions profoundly in the formation of market trends, however, a fine-granularity investigation of the imbalance is still missing. This paper investigates a unique transaction dataset that enables us to…
Financial stock returns correlations have been studied in the prism of random matrix theory, to distinguish the signal from the "noise". Eigenvalues of the matrix that are above the rescaled Marchenko Pastur distribution can be interpreted…
It is now well established that the cell is a highly crowded environment. Yet, the effects of crowding on the dynamics of signaling pathways, gene regulation networks and metabolic networks are still largely unknown. Crowding can alter both…
Crowd analysis and management is a challenging problem to ensure public safety and security. For this purpose, many techniques have been proposed to cope with various problems. However, the generalization capabilities of these techniques is…
We present an experimental and simulated model of a multi-agent stock market driven by a double auction order matching mechanism. Studying the effect of cumulative information on the performance of traders, we find a non monotonic…
We focus on robot navigation in crowded environments. The challenge of predicting the motion of a crowd around a robot makes it hard to ensure human safety and comfort. Recent approaches often employ end-to-end techniques for robot control…
The collection of active agents often exhibits intriguing statistical and dynamical properties, particularly when considering human crowds. In this study, we have developed a computational model to simulate the recent experiment on real…
We present a simple model of a stock market where a random communication structure between agents gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to…
Margin trading in which investors purchase shares with money borrowed from brokers is blamed to be a major cause of the 2015 Chinese stock market crash. We propose a cascading failure model and examine how an increase in margin trading…
The decision process requires information about the present state of the system, but in economy acquiring data and processing them is an expensive and time consuming process. Therefore the state of the system is measured and announced at…