Investor flows in Korean equity market transmit shared information, not private signals.
problem Whether investor flows transmit private information or only public signals.
method Transfer Entropy networks constructed from investor-type flows over
umNDates{} trading days.
result Investor flows transmit shared information, not private signals.
Paper uses agent-based simulation to identify investor types in financial markets.
problem Identifying investor types in real financial markets.
method Computational adaptation of PCA with agent-based simulation.
result A reduced set of investor models can approximate financial time series.
This paper analyzes how multiple investors can exploit relative arbitrage opportunities.
problem Analyzing how multiple investors can exploit relative arbitrage opportunities.
method Constructing a well-posed market dynamical system of McKean-Vlasov type, deriving optimal strategies, and finding Nash equilibrium.
result The conditions for relative arbitrage opportunities among competitive investors are derived.
Study resolves the Korean LVRP puzzle by showing HVRP exists but is masked by investor heterogeneity and improper intensity normalization.
problem Puzzling Low Volume Return Premium (LVRP) in Korea, contradicting global High Volume Return Premium (HVRP) evidence.
method Used Korean market data (2020-2024) to demonstrate HVRP exists but is masked by investor heterogeneity and improper intensity normalization. Normalized institutional buying intensity by market capitalization rather than trading value.
result Demonstrated a perfect monotonic relationship between highest-conviction institutional buying and positive cumulative abnormal returns, while lowest-intensity trades yield modest returns.
New methods evaluate stock market anomalies for prospect investors.
problem Determining if new securities or investment changes improve prospect investors' opportunities.
method Developed and implemented a new testing procedure for prospect spanning using subsampling and Linear Programming.
result Many well-known anomalies expand prospect investors' opportunity sets, indicating real economic value.
Researchers adaptively analyze market regimes to reveal investor behavior shifts.
problem Market relationships shift across different regimes, affecting investor behavior.
method Combining Kalman filtering, Markov-switching, and asymmetric response estimation.
result Foreign investors' predictive power increases during crises, while individual investors react more strongly to positive shocks.
Study finds stocks with common firm fears earn lower returns.
problem Identifying and quantifying firm-level investor fears.
method Analysis of equity options to identify common firm-level fears and their impact on stock returns.
result Stocks with exposure to common bad fears earn lower returns and require higher compensation.
Study shows cognitive load impacts financial market efficiency, especially for less sophisticated investors.
problem Cognitive load's effect on financial market information processing.
method Developed a theoretical framework and tested it with exogenous disclosure complexity variation.
result Cognitive load significantly impairs price discovery, particularly for less sophisticated investors.
Optimizes portfolio growth rate for a behavioral investor considering terminal relative growth rate.
problem Optimizing a behavioral investor's portfolio growth rate under relative growth criterion.
method Martingale method, concavification, and quantile optimization techniques.
result Derives closed-form optimal growth rate and finds significant impact of benchmark growth rate.
Empirical evidence supports new financial market definitions.
problem Investor risk attitudes in financial markets.
method Developed a new method to analyze risk attitudes.
result Risk-averse behavior in equity investors, risk-loving behavior in risk-free asset investors.
Study uses FDA to analyze discount functions of different temperaments.
problem Traditional finance models fail to capture individual differences in investment choices.
method Functional Data Analysis (FDA) to investigate temporal discounting behaviors.
result Heterogeneity within each temperament revealed, suggesting diverse investor profiles.
This paper compares token and equity financing for startups.
problem Understanding differences in return rates between token and equity financing.
method Developed a three-period model to analyze liquidity and return differences.
result Entrepreneurs can achieve higher payoffs by issuing tokens, especially for risk-averse investors with liquidity needs.
The paper analyzes how ESG investors can prioritize green stocks without sacrificing overall wealth.
problem Balancing sustainability goals with financial returns.
method Multivariate utility analysis with a one-factor CAPM structure.
result Investors can allocate more to high-rated ESG stocks without reducing overall wealth.
Research tackles investor confusion in ESG rankings, offering tailored strategies.
problem Widespread confusion among investors regarding ESG rankings.
method Developed ESG ensemble strategies, integrated ESG scores into RL model, proposed Double-Mean-Variance model, introduced ESG-adjusted CAPMs.
result Optimized portfolios that balance financial returns and ESG-focused outcomes.
We propose a modelling framework for the optimal selection of crypto assets. Crypto assets differ by two essential features: security (technological) and stability (governance). Investors make choices over crypto assets similarly to how they make choices by using a recommender app: the app presents each investor with a…
Study reveals investor heterogeneity in Korean equity market cash flows.
problem Investor heterogeneity and its impact on market dynamics.
method Detrended fluctuation analysis (DFA) on aggregated cash flows.
result Persistence in cash flows varies by investor type, with retail flows showing strong persistence.
This article considers a model for alternative processes for securities prices and compares this model with actual return data of several securities. The distributions of returns that appear in the model can be Gaussian as well as non-Gaussian; in particular they may have two peaks. We consider a discrete Markov chain …
In this paper, optimal consumption and investment decisions are studied for an investor who can invest in a fixed interest rate bank account and a stock whose price is a log normal diffusion. We present the method of the HJB equation in order to explicitly solve problems of this type with modifications such as a fixed …
We consider trading against a hedge fund or large trader that must liquidate a large position in a risky asset if the market price of the asset crosses a certain threshold. Liquidation occurs in a disorderly manner and negatively impacts the market price of the asset. We consider the perspective of small investors whos…
We consider the problem of optimal investment and consumption in a class of multidimensional jump-diffusion models in which asset prices are subject to mutually exciting jump processes. This captures a type of contagion where each downward jump in an asset's price results in increased likelihood of further jumps, both …
We consider a continuous-time financial market that consists of securities available for dynamic trading, and securities only available for static trading. We work in a robust framework where a set of non-dominated models is given. The concept of semi-static completeness is introduced: it corresponds to having exact re…
Matched filters reveal optimal normalization methods for different market participants.
problem Optimizing signal extraction from order flow for market microstructure analysis.
method General matched filter principle applied to normalization strategies.
result Optimal normalization methods (e.g., SMC and STV) differ based on trader types. We propose an extended public goods interaction model to study the evolution of cooperation in heterogeneous population. The investors are arranged on the well known scale-free type network, the Barabási-Albert model. Each investor is supposed to preferentially distribute capital to pools in its portfolio based on the …
We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a permanent price impact. The volatility, the volume of different types of orders, the b…
We derive properties of the cdf of random variables defined as saddle-type points of real valued continuous stochastic processes. This facilitates the derivation of the first-order asymptotic properties of tests for stochastic spanning given some stochastic dominance relation. We define the concept of Markowitz stochas…
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" is seen in the data obtained from our model that incorporates the investors' swar…
The paper analyzes game theory in convertible contracts during liquidity events.
problem Optimizing payments in convertible contracts during liquidity events.
method Defined a general model for games, showed non-existence of pure strategy Nash equilibria, developed algorithms for computing equilibria.
result Optimum pure strategy Nash equilibria exist when all contracts are of the same type (SAFE).
Interpretable AI model boosts investment confidence and profitability.
problem Challenges in financial forecasting and interpretability in decision-making models.
method SHAP-based explainability technique for interpretable AI models.
result Notable enhancement in investor's portfolio value.
Study on stock portfolio concentration among Finnish households and investors.
problem Understanding the concentration of stock portfolios owned by Finnish households and investors.
method Analysis of stock portfolios using Herfindahl-Hirschman index over 20 years.
result High portfolio concentration observed in Finnish retail investors, similar to institutional investors.
Investor skill levels affect optimal portfolio size, study shows.
problem Optimal portfolio size for different skill levels of investors.
method Mathematical methods to study annual and continuous portfolio diversification, regression analysis.
result Strong investors should hold concentrated portfolios, poor investors should hold diversified portfolios.
The question of optimal portfolio is addressed. The conventional Markowitz portfolio optimisation is discussed and the shortcomings due to non-Gaussian security returns are outlined. A method is proposed to minimise the likelihood of extreme non-Gaussian drawdowns of the portfolio value. The theory is called Leptokurti…
Study extends wealth tax neutrality framework to heterogeneous investors.
problem Analyzing wealth tax neutrality in populations with varying return-generating ability.
method Extended Fokker-Planck framework to heterogeneous investors, deriving extended Fokker-Planck equation.
result Proportional wealth tax no longer neutral due to varying return-generating ability, leading to different real incidence and wealth distribution changes.
Young investors, especially students, dominate Indonesian stock exchanges.
problem Investment behavior of young and rookie investors in the stock market.
method Qualitative approach with descriptive analysis and interviews.
result Perception of behavioral control influences investment decisions.
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate. This agent-based viewpoint in finance goes back at least to the work of Garman (1…
Modeling investor behavior from financial advisor notes using NLP.
problem Identifying behavioral coaching opportunities for financial advisors.
method Topic modeling and supervised classification model.
result Predicting investor needs during adverse market conditions.
Study finds investor sentiment has a significant positive relationship with stock returns in Moroccan and Tunisian markets.
problem Investor sentiment and stock returns relationship in Moroccan and Tunisian markets.
method Used indirect measures of investor sentiment (SENT and ARMS) and Granger causality tests.
result Sentiment has a significant positive relationship with stock returns, but not the other way around.
Investment strategy in uncertain markets improved by learning and risk-ambiguity preferences.
problem Investment in financial markets with unknown drift coefficients.
method Optimization under KMM approach, considering risk and ambiguity preferences.
result Optimal investment strategy can be adjusted based on prior drift distribution.
Blockchain-based exchanges adopt based on token pair volatility and personal use.
problem Token value loss and arbitrage issues in decentralized exchanges.
method Investigation of Automated Market Makers (AMMs) using transaction-level data.
result AMMs are adopted for high personal use or highly correlated token price movements.
Social media reduces individual investors' disposition effect through negative information.
problem The disposition effect in individual investors selling profitable assets too early and holding onto losing assets for too long.
method Analysis of post data and trading data from Xueqiu.com.
result Social media information significantly reduces the disposition effect.
Although the understanding of and motivation behind individual trading behavior is an important puzzle in finance, little is known about the connection between an investor's portfolio structure and her trading behavior in practice. In this paper, we investigate the relation between what stocks investors hold, and what …
We introduce a reinforcement learning framework for retail robo-advising. The robo-advisor does not know the investor's risk preference, but learns it over time by observing her portfolio choices in different market environments. We develop an exploration-exploitation algorithm which trades off costly solicitations of …
The increasing richness in volume, and especially types of data in the financial domain provides unprecedented opportunities to understand the stock market more comprehensively and makes the price prediction more accurate than before. However, they also bring challenges to classic statistic approaches since those model…
Investment disputes increase stock volatility, especially for companies with negative outcomes.
problem Investment disputes affect stock market volatility and investor uncertainty.
method Analysis of abnormal share fluctuations and various explanatory variables.
result Investment disputes lead to increased stock volatility, particularly for companies with negative outcomes.
We show that the last few components in principal component analysis of the correlation matrix of a group of stocks may contain useful financial information by identifying highly correlated pairs or larger groups of stocks. The results of this type of analysis can easily be included in the information an investor uses …
Research identifies four motivational groups for crypto-metaverse landowners.
problem Understanding motivations of retail investors in the crypto-metaverse.
method Detailed financial behavior survey and principal components analysis.
result Four distinct motivational groups identified: Aesthetics, Social, Speculation, Innovation.
Study shows adding similar investors can either increase or decrease profits, depending on their strategy.
problem Investors argue conflictingly about the impact of adding similar investors on their profits.
method Built an agent-based financial market model with additional agents and investigated their earnings.
result Adding similar fundamental agents stabilizes market prices and decreases profits, while adding similar technical agents makes prices unstable and increases profits.
Study shows cryptocurrency investor base affects volatility.
problem Investor base changes impact cryptocurrency volatility.
method Proxying investor base with subreddit follower changes, analyzed idiosyncratic volatility.
result Changes in cryptocurrency investor base significantly increase idiosyncratic volatility.
Investors suffer welfare loss despite having better information.
problem Welfare loss among investors with absolute information advantages.
method Examined financial markets with heterogenous investors and objective measures of welfare.
result Investors incur welfare loss even with better information, revealing a double loss phenomenon.