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Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…
We examine the crossover from classical to non-classical critical behaviour in two-dimensional systems with a one-component order parameter. Since the degree of universality of the corresponding crossover functions is still subject to…
We develop a theory for the market impact of large trading orders, which we call metaorders because they are typically split into small pieces and executed incrementally. Market impact is empirically observed to be a concave function of…
In order to use the advanced inference techniques available for Ising models, we transform complex data (real vectors) into binary strings, by local averaging and thresholding. This transformation introduces parameters, which must be varied…
Nowadays, financial data analysis is becoming increasingly important in the business market. As companies collect more and more data from daily operations, they expect to extract useful knowledge from existing collected data to help make…
A fundamental challenge in causal inference with observational data is correct specification of a causal model. When there is model uncertainty, analysts may seek to use estimates from multiple candidate models that rely on distinct, and…
The effect of correlations between model parameters and nuisance parameters is discussed, in the context of fitting model parameters to data. Modifications to the usual $\chi^2$ method are required. Fake data studies, as used at present,…
Regression models are essential for a wide range of real-world applications. However, in practice, target values are not always precisely known; instead, they may be represented as intervals of acceptable values. This challenge has led to…
Functions or 'functionings' enable to give a structure to any activity and their combinations constitute the capabilities which characterize economic assets such as work utility. The basic law of supply and demand naturally emerges from…
We propose factor models for the cross-section of daily cryptoasset returns and provide source code for data downloads, computing risk factors and backtesting them out-of-sample. In "cryptoassets" we include all cryptocurrencies and a host…
Trading frictions are stochastic. They are, moreover, in many instances fast-mean reverting. Here, we study how to optimally trade in a market with stochastic price impact and study approximations to the resulting optimal control problem…
Growing dimensionality of data calls for beyond-pairwise interactions quantification. Measures of multidimensional interactions quantification are hindered, among others, by two issues: 1. Interpretation difficulties, 2. the curse of…
Statistical and structural modeling represent two distinct approaches to data analysis. In this paper, we propose a set of novel methods for combining statistical and structural models for improved prediction and causal inference. Our first…
Transfer learning methods endeavor to leverage relevant knowledge from existing source pre-trained models or datasets to solve downstream target tasks. With the increase in the scale and quantity of available pre-trained models nowadays, it…
In social and economic studies many of the collected variables are measured on a nominal scale, often with a large number of categories. The definition of categories is usually not unambiguous and different classification schemes using…
We investigate the impact of order flow imbalance (OFI) on price movements in equity markets in a multi-asset setting. First, we propose a systematic approach for combining OFIs at the top levels of the limit order book into an integrated…
We introduce a first theory of price impact in presence of an interest-rates term structure. We explain how one can formulate instantaneous and transient price impact on bonds with different maturities, including a cross price impact that…
We consider the problem of maximizing portfolio value when an agent has a subjective view on asset value which differs from the traded market price. The agent's trades will have a price impact which affect the price at which the asset is…
This paper addresses a key challenge in CDO modeling: achieving a perfect fit to market prices across all tranches using a single, consistent model. The existence of such a perfect-fit model implies the absence of arbitrage among CDO…
This work suggests modifications to a previously introduced class of heterogeneous agent models that allow for the inclusion of different types of agent motivations and behaviours in a unified way. The agents operate within a highly…