Related papers: Not All Factors Crowd Equally: Modeling, Measuring…
Crowding is most likely an important factor in the deterioration of strategy performance, the increase of trading costs and the development of systemic risk. We study the imprints of \emph{crowding} on both anonymous market data and a large…
This paper investigates the time-varying structure of Fama and French's (1993; 2015) multi-factor models using Fama and MacBeth's (1973) two-step estimation based on the rolling window method. In particular, we employ the generalized GRS…
This paper studies conditional allocation between a growth/technology ETF basket, denoted by $G$, and a defensive income/value-oriented ETF basket, denoted by $D$. The objective is not to discover a new standalone alpha factor, but to…
We study the large-time behavior of hydrodynamic model which describes the collective behavior of continuum of agents, driven by pairwise alignment interactions with additional external potential forcing. The external force tends to compete…
The Fama-French three factor models are commonly used in the description of asset returns in finance. Statistically speaking, the Fama-French three factor models imply that the return of an asset can be accounted for directly by the…
We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) constituted of the assets whose returns it is (they are)…
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…
We find that the CAPM fails to explain the small firm effect even if its non-parametric form is used which allows time-varying risk and non-linearity in the pricing function. Furthermore, the linearity of the CAPM can be rejected, thus the…
Pervasive cross-section dependence is increasingly recognized as a characteristic of economic data and the approximate factor model provides a useful framework for analysis. Assuming a strong factor structure where $\Lop\Lo/N^\alpha$ is…
The number of pension funds has multiplied exponentially over the last decade. Active portfolio management requires a precise analysis of the performance drivers. Several risk and performance attribution metrics have been developed since…
Low-level "adaptive" and higher-level "sophisticated" human reasoning processes have been proposed to play opposing roles in the emergence of unpredictable collective behaviors like crowd panics, traffic jams, and market bubbles. While…
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…
Numerous error estimates have been carried out on various numerical schemes for subdiffusion equations. Unfortunately most error bounds suffer from a factor $1/(1-\alpha)$ or $\Gamma(1-\alpha)$, which blows up as the fractional order…
Experiments and theories have shown that when steric interactions between crowding particles and proteins are dominant, which give rise to Asakura-Oosawa depletion forces, then the stabilities of the proteins increase compared to the…
This paper investigates the intrinsic group structures within the framework of large-dimensional approximate factor models, which portrays homogeneous effects of the common factors on the individuals that fall into the same group. To this…
In light of the power problems of statistical tests and undisciplined use of alpha-based statistics to compare models, this paper proposes a unified set of distance-based performance metrics, derived as the square root of the sum of squared…
I present a simple numerical model based on iteratively updating subgroups of a population, individually modeled by nonnegative real numbers, by a constant decay factor; however, at each iteration, one group is selected to instead be…
We propose a framework for constructing factor models for alpha streams. Our motivation is threefold. 1) When the number of alphas is large, the sample covariance matrix is singular. 2) Its out-of-sample stability is challenging. 3)…
We study the (hydro-)dynamics of multi-species driven by alignment. What distinguishes the different species is the protocol of their interaction with the rest of the crowd: the collective motion is described by different communication…
In the time-decay model for data streams, elements of an underlying data set arrive sequentially with the recently arrived elements being more important. A common approach for handling large data sets is to maintain a \emph{coreset}, a…