Related papers: Zooming In on Equity Factor Crowding
Flocking is a fascinating phenomenon observed across a wide range of living organisms. We investigate, based on a simple self-propelled particle model, how the emergence of ordered motion in a collectively moving group is influenced by the…
Factor analysis is a statistical technique employed to evaluate how observed variables correlate through common factors and unique variables. While it is often used to analyze price movement in the unstable stock market, it does not always…
Employing a recent technique which allows the representation of nonstationary data by means of a juxtaposition of locally stationary patches of different length, we introduce a comprehensive analysis of the key observables in a financial…
Financial organisations such as brokers face a significant challenge in servicing the investment needs of thousands of their traders worldwide. This task is further compounded since individual traders will have their own risk appetite and…
Routing choices of walking pedestrians in geometrically complex environments are regulated by the interplay of a multitude of factors such as local crowding, (estimated) time to destination, (perceived) comfort. As individual choices…
The Fama-French model is widely used in assessing the portfolio's performance compared to market returns. In Fama-French models, all factors are time-series data. The cross-sectional data are slightly different from the time series data. A…
Environments such as shopping malls, airports, or hospital emergency departments often experience crowding, with many people simultaneously requesting service. Crowding is highly noisy, with sudden overcrowding "spikes". Past research has…
Complex systems consist of many interacting elements which participate in some dynamical process. The activity of various elements is often different and the fluctuation in the activity of an element grows monotonically with the average…
We study the dynamics of the limit order book of liquid stocks after experiencing large intra-day price changes. In the data we find large variations in several microscopical measures, e.g., the volatility the bid-ask spread, the bid-ask…
Recent advances in modeling and control of crowds of pedestrians are briefly surveyed in this paper. Possibilities of applying fractional calculus in the modeling of crowd of pedestrians have been shortly reviewed and discussed from…
It is widely believed that fluctuations in transaction volume, as reflected in the number of transactions and to a lesser extent their size, are the main cause of clustered volatility. Under this view bursts of rapid or slow price diffusion…
We study the price dynamics of stocks traded in the NASDAQ market by considering the statistical properties of an ensemble of stocks traded simultaneously. For each trading day of our database, we study the ensemble return distribution by…
Maximum likelihood estimation applied to high-frequency data allows us to quantify intermittency in the fluctu- ations of asset prices. From time records as short as one month these methods permit extraction of a meaningful intermittency…
Trading volume movement prediction is the key in a variety of financial applications. Despite its importance, there is few research on this topic because of its requirement for comprehensive understanding of information from different…
--- the companies populating a Stock market, along with their connections, can be effectively modeled through a directed network, where the nodes represent the companies, and the links indicate the ownership. This paper deals with this…
We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns. In the model synchronization effects, which generate large fluctuations in returns, can arise either from an…
Understanding and modeling the dynamics of pedestrian crowds can help with designing and increasing the safety of civil facilities. A key feature of crowds is its intrinsic stochasticity, appearing even under very diluted conditions, due to…
Crowdwork often entails tackling cognitively-demanding and time-consuming tasks. Crowdsourcing can be used for complex annotation tasks, from medical imaging to geospatial data, and such data powers sensitive applications, such as health…
We identify and analyze statistical regularities and irregularities in the recent order flow of different NASDAQ stocks, focusing on the positions where orders are placed in the orderbook. This includes limit orders being placed outside of…
The time proximity of trades across stocks reveals interesting topological structures of the equity market in the United States. In this article, we investigate how such concurrent cross-stock trading behaviors, which we denote as…