Related papers: Zooming In on Equity Factor Crowding
Investment herding, a phenomenon where households mimic the decisions of others rather than relying on their own analysis, has significant effects on financial markets and household behavior. Excessive investment herding may reduce…
We study self-organized models for information transmission and herd behavior in financial markets. Existing models are generalized to take into account the effect of size-dependent fragmentation and coagulation probabilities of groups of…
Scale invariance, collective behaviours and structural reorganization are crucial for portfolio management (portfolio composition, hedging, alternative definition of risk, etc.). This lack of any characteristic scale and such elaborated…
In nature and human societies, the effects of homogeneous and heterogeneous characteristics on the evolution of collective behaviors are quite different from each other. It is of great importance to understand the underlying mechanisms of…
We discover the mechanism for the transition from self-segregation (into opposing groups) to clustering (towards cautious behaviors) in the evolutionary minority game (EMG). The mechanism is illustrated with a statistical mechanics analysis…
Macroeconomic variables are known to significantly impact equity markets, but their predictive power for price fluctuations has been underexplored due to challenges such as infrequency and variability in timing of announcements, changing…
Using more than 6.7 billions of trades, we explore how the tick-by-tick dynamics of limit order books depends on the aggregate actions of large investment funds on a much larger (quarterly) timescale. In particular, we find that the…
We review some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and…
Recent investigations have provided important insights into the complex structure and dynamics of collectively moving flocks of living organisms. Two intriguing observations are, scale-free correlations in the velocity fluctuations, in the…
We investigate the tendency for financial instruments to form clusters when there are multiple factors influencing the correlation structure. Specifically, we consider a stock portfolio which contains companies from different industrial…
In this paper we present a mathematical model for collaborative filtering implementation in stock market predictions. In popular literature collaborative filtering, also known as Wisdom of Crowds, assumes that group has a greater knowledge…
Crowdfunding, which is the act of raising funds from a large number of people's contributions, is among the most popular research topics in economic theory. Due to the fact that crowdfunding platforms (CFPs) have facilitated the process of…
Financial markets have been extensively studied as highly complex evolving systems. In this paper, we quantify financial price fluctuations through a coupled dynamical system composed of phase oscillators. We find a Financial Coherence and…
We study the price dynamics of stocks traded in a financial market by considering the statistical properties both of a single time series and of an ensemble of stocks traded simultaneously. We use the $n$ stocks traded in the New York Stock…
Financial markets provide an ideal frame for studying decision making in crowded environments. Both the amount and accuracy of the data allows to apply tools and concepts coming from physics that studies collective and emergent phenomena or…
Crowdsourcing offers unprecedented potential for solving tasks efficiently by tapping into the skills of large groups of people. A salient feature of crowdsourcing---its openness of entry---makes it vulnerable to malicious behavior. Such…
Although the traits emerged in a mass gathering are often non-deliberative, the act of mass impulse may lead to irre- vocable crowd disasters. The two-fold increase of carnage in crowd since the past two decades has spurred significant…
Using Random Matrix Theory, we propose a universal and versatile tool to reveal the existence of "fleeting modes", i.e. portfolios that carry statistically significant excess risk, signalling ex-post a change in the correlation structure in…
This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders-large orders that are split into smaller…
We present a strategy capable of describing basic features of the dynamics of crowds. The behaviour of the crowd is considered from a twofold perspective. We examine both the large scale behaviour of the crowd, and phenomena happening at…