Related papers: Zooming In on Equity Factor Crowding
Stock prices move as piece-wise trending fluctuation rather than a purely random walk. Traditionally, the prediction of future stock movements is based on the historical trading record. Nowadays, with the development of social media, many…
It has been widely observed that capitalization-weighted indexes can be beaten by surprisingly simple, systematic investment strategies. Indeed, in the U.S. stock market, equal-weighted portfolios, random-weighted portfolios, and other…
A combination of a priority queueing model and mean field theory shows the emergence of traders' swarm behavior, even when each has a subjective prediction of the market driven by a limit order book. Using a nonlinear Markov model, we…
High-frequency quantitative investment is a crucial aspect of stock investment. Notably, order flow data plays a critical role as it provides the most detailed level of information among high-frequency trading data, including comprehensive…
On a capital market the social group is formed from traders. Individual behaviour of agents is influenced by the need to associate with other agents and to obtain the approval of other agents in the group. Making decisions an individual…
We investigate the relative information efficiency of financial markets by measuring the entropy of the time series of high frequency data. Our tool to measure efficiency is the Shannon entropy, applied to 2-symbol and 3-symbol…
The price clustering phenomenon manifesting itself as an increased occurrence of specific prices is widely observed and well-documented for various financial instruments and markets. In the literature, however, it is rarely incorporated…
On a periodic basis, publicly traded companies are required to report fundamentals: financial data such as revenue, operating income, debt, among others. These data points provide some insight into the financial health of a company.…
There are many benefits and costs that come from people and firms clustering together in space. Agglomeration economies, in particular, are the manifestation of centripetal forces that make larger cities disproportionately more wealthy than…
In this study, we present a simple stochastic order-book model for investors' swarm behaviors seen in the continuous double auction mechanism, which is employed by major global exchanges. Our study shows a characteristic called "fat tail"…
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and…
A characteristic feature of complex systems in general is a tight coupling between their constituent parts. In complex socio-economic systems this kind of behavior leads to self-organization, which may be both desirable (e.g. social…
A recent study [D. Helbing, A. Johansson and H. Z. Al-Abideen, {\it Phys. Rev. E} 75, 046109 (2007)] has revealed a "turbulent" state of pedestrian flows, which is characterized by sudden displacements and causes the falling and trampling…
Decades of research suggest that information exchange in groups and organizations can reliably improve judgment accuracy in tasks such as financial forecasting, market research, and medical decision-making. However, we show that improving…
The basis of arbitrage methods depends on the circulation of information within the framework of the financial market. Following the work of Modigliani and Miller, it has become a vital part of discussions related to the study of financial…
We propose and document the evidence for an analogy between the dynamics of granular counter-flows in the presence of bottlenecks or restrictions and financial price formation processes. Using extensive simulations, we find that the…
Collective motion in animal groups, such as swarms of insects, flocks of birds, and schools of fish, are some of the most visually striking examples of emergent behavior. Empirical analysis of these behaviors in experiment or computational…
We establish several new stylised facts concerning the intra-day seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the volatility, we find that the average correlation between stocks increases throughout the day,…
In order to emphasize cross-correlations for fluctuations in major market places, series of up and down spins are built from financial data. Patterns frequencies are measured, and statistical tests performed. Strong cross-correlations are…
We study the problem of frequent itemset mining in domains where data is not recorded in a conventional database but only exists in human knowledge. We provide examples of such scenarios, and present a crowdsourcing model for them. The…