arXiv research

Paper uses bond pricing and convexity adjustments to explain herd immunity paradox.

A time-dependent SIR model predicts COVID-19 spread and herd immunity.

Many immunization strategies have been proposed to prevent infectious viruses from spreading through a network. In this study, we propose efficient immunization strategies to prevent a default contagion that might occur in a financial network. An essential difference from the previous studies on immunization strategy i…

Study on the probability of immunity and its bounds.

Entropic herding generates smooth distributions for probabilistic modeling.

Herd behavior is an important economic phenomenon, especially in the context of the recent financial crises. In this paper, herd behavior in global stock markets is investigated with a focus on intercontinental comparison. Since most existing herd behavior indices do not provide a comparative method, we propose a new h…

The Gibbs sampler is one of the most popular algorithms for inference in statistical models. In this paper, we introduce a herding variant of this algorithm, called herded Gibbs, that is entirely deterministic. We prove that herded Gibbs has an $O(1/T)$ convergence rate for models with independent variables and for ful…

Study examines herding behavior in stocks, US ETFs, and cryptocurrencies.

A new algorithm for sampling from complex distributions.

Herding and kernel herding are deterministic methods of choosing samples which summarise a probability distribution. A related task is choosing samples for estimating integrals using Bayesian quadrature. We show that the criterion minimised when selecting samples in kernel herding is equivalent to the posterior varianc…

Herding and kernel herding are deterministic methods of choosing samples which summarise a probability distribution. A related task is choosing samples for estimating integrals using Bayesian quadrature. We show that the criterion minimised when selecting samples in kernel herding is equivalent to the posterior varianc…

We extend the herding algorithm to continuous spaces by using the kernel trick. The resulting "kernel herding" algorithm is an infinite memory deterministic process that learns to approximate a PDF with a collection of samples. We show that kernel herding decreases the error of expectations of functions in the Hilbert …

AdvImmune improves certifiable robustness of GNNs against adversarial attacks.

Investment herding can reduce household consumption, a phenomenon called crowding-out effect.

New foundation for Shapley value immune to coalitional manipulations.

In their seminal work Carr and Lee (2008) show how to robustly price and replicate a variety of claims written on the quadratic variation of a risky asset under the assumption that the asset's volatility process is independent of the Brownian motion that drives the asset's price. Additionally, they propose a correlatio…

Generative AI reduces herd behavior in trading, but can also lead to optimal herding.

We show that the herding procedure of Welling (2009) takes exactly the form of a standard convex optimization algorithm--namely a conditional gradient algorithm minimizing a quadratic moment discrepancy. This link enables us to invoke convergence results from convex optimization and to consider faster alternatives for …

Collective behavior of the complex socio-economic systems is heavily influenced by the herding, group, behavior of individuals. The importance of the herding behavior may enable the control of the collective behavior of the individuals. In this contribution we consider a simple agent-based herding model modified to inc…

Estimates vaccine effectiveness and immune correlates in TND studies with missing data.

In this paper, we study the herding phenomena in financial markets arising from the combined effect of (1) non-coordinated collective interactions between the market players and (2) concurrent reactions of market players to dynamic market signals. By interpreting the expected rate of return of an asset and the favorabi…

New mechanism designs regulate herding in financial markets.

There are no solid arguments to sustain that digital currencies are the future of online payments or the disruptive technology that some of its former participants declared when used to face critiques. This paper aims to solve the cryptocurrency puzzle from a behavioral finance perspective by finding the parallelism be…

DeepRC uses Hopfield networks and attention to classify immune repertoires.

Herding defines a deterministic dynamical system at the edge of chaos. It generates a sequence of model states and parameters by alternating parameter perturbations with state maximizations, where the sequence of states can be interpreted as "samples" from an associated MRF model. Herding differs from maximum likelihoo…

Study reveals how investor flows impact stock prices, especially during herding episodes.

We investigate the herd behavior of returns for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution $P(R)$ of returns $R$ satisfies the power-law behavior $P(R) \simeq R^{-β}$ with the exponents $β=3.11$(the time interval $τ=$ one minute) and 3.36($τ=$ one da…

We derive a system of stochastic differential equations simulating the dynamics of the three agent groups with herding interaction. Proposed approach can be valuable in the modeling of the complex socio-economic systems with similar composition of the agents. We demonstrate how the sophisticated statistical features of…

Study optimal investment with herd behavior using rational decision decomposition.

As adversarial attacks pose a serious threat to the security of AI system in practice, such attacks have been extensively studied in the context of computer vision applications. However, few attentions have been paid to the adversarial research on automatic path finding. In this paper, we show dominant adversarial exam…

The herd behavior of returns is investigated in Korean futures exchange market. It is obtained that the probability distribution of returns for three types of herding parameter scales as a power law $R^{-β}$ with the exponents $β=3.6$(KTB203) and 2.9(KTB209) in two kinds of Korean treasury bond. For our case since the…

Feature selection predicts immune state changes in RA mouse model.

Improved kernel herding algorithm for faster quadrature rule convergence.

GeomHerd predicts herding behavior before market prices move, using Ricci curvature of agent interaction graphs.

In complex financial systems, the sector structure and volatility clustering are respectively important features of the spatial and temporal correlations. However, the microscopic generation mechanism of the sector structure is not yet understood. Especially, how to produce these two features in one model remains chall…

This paper analyses the Chinese Sovereign bond yield to find out the principal factors affecting the term structure of interest rate changes. We apply Principal Component Analysis (PCA) on our data consisting of the Chinese Sovereign bond from January 2002 till May 2018 with the different yield to maturity. Then we wil…

Background. In Italy, in recent years, vaccination coverage for key immunizations as MMR has been declining to worryingly low levels. In 2017, the Italian Gov't expanded the number of mandatory immunizations introducing penalties to unvaccinated children's families. During the 2018 general elections campaign, immunizat…

Bayesian optimization of antibodies learns from immune system evolution.

The study categorizes Korean Exchange member firms into three types and analyzes their trading behavior.

We study the phase transition of dynamical herd behaviors for the yen-dollar exchange rate in the Japanese financial market. It is obtained that the probability distribution of returns satisfies the power-law behavior with three different values of the scaling exponent 3.11 (one time lag $τ$ = 1 minute), 2.81 (30 minut…

Agent-based market shows herding cycles with square-root price impact.

We study the statistics of earning forecasts of US, EU, UK and JP stocks during the period 1987-2004. We confirm, on this large data set, that financial analysts are on average over-optimistic and show a pronounced herding behavior. These effects are time dependent, and were particularly strong in the early nineties an…

A new method compresses conditional distributions of labelled data.

In this work, we propose an order book model with herd behavior. The proposed model is built upon two distinct approaches: a recent empirical study of the detailed order book records by Kanazawa et al. [Phys. Rev. Lett. 120, 138301] and financial herd behavior model. Combining these approaches allows us to propose a mo…

Analyzed a generalized voter model with power-law herding intensity, revealing anomalous diffusion and long-range memory.

The herd behaviors of returns for the won-dollar exchange rate and the KOSPI are analyzed in Korean financial markets. It is shown that the probability distribution $P(R)$ of price returns $R$ for three values of the herding parameter tends to a power-law behavior $P(R) \simeq R^{-β}$ with the exponents $β=2.2$(the wo…

Model explains herding and volatility in urban housing prices.

In this paper we outline initial concepts for an immune inspired algorithm to evaluate price time series data. The proposed solution evolves a short term pool of trackers dynamically through a process of proliferation and mutation, with each member attempting to map to trends in price movements. Successful trackers fee…