Study optimal liquidation strategies in lit and dark pools with and without regulation.
problem Optimal liquidation strategies in dark and lit pools with execution uncertainty.
method Design optimal make-take fee policies, solve HJB-Fokker-Planck systems, use BSDEs.
result Explicit solutions for optimal strategies in both competitive and regulated markets.
The study analyzes how large language models form and express investor risk profiles.
problem Understanding how large language models (LLMs) form and express investor risk profiles.
method Examined three LLMs (GPT, Gemini, and Llama) and assessed their responses to a standardized risk questionnaire under varying prompts.
result LLMs generally form long-term investment profiles, but they exhibit different risk tolerance levels.
Proves continuity of financial strategies in specific topologies for large investors.
problem Modeling price impact of large investors in illiquid markets.
method Proves continuity of SDE solutions in Skorokhod's M1 and J1 topologies.
result Ensures that proceeds and wealth processes are continuous extensions of continuous strategies.
Investor expectations shifted pessimistically during the 2020 stock market crash and recovery.
problem Analyzing changes in investor expectations during the 2020 stock market crash and recovery.
method Surveying Vanguard clients at three points: before, during, and after the crash.
result Investor pessimism increased following the crash, with significant disagreement about future outcomes.
The paper examines stability of shares in Proof of Stake protocol, identifying different investor behaviors and phase transitions.
problem Stability of shares in Proof of Stake protocol.
method Identification of large, medium, and small investors under various rewarding schemes; dynamical population model analysis.
result Phase transitions and thresholds for stability are characterized; chaotic centralization leads to concentration of shares.
Study uses LLMs to generate investor briefs from company reports and SEC filings.
problem Improving data analysis for individual investors.
method Preprocessed data, used gpt-4o model in RAG regime, evaluated by investors.
result LLMs can generate useful investor briefs from company reports and SEC filings.
We study a financial model with a non-trivial price impact effect. In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker who is quoting prices for this security. We assume that the market maker quotes the prices such that by taking the other side of the invest…
Approximations to utility indifference prices are provided for a contingent claim in the large position size limit. Results are valid for general utility functions on the real line and semi-martingale models. It is shown that as the position size approaches infinity, the utility function's decay rate for large negative…
Investor clusters analyzed in Helsinki Stock Exchange IPOs.
problem Lack of research on investor behavior in IPOs.
method Statistically validated network method to infer investor links based on trade timing.
result Large network structures form in IPO and mature companies, with evidence of institutional herding.
Study examines trading strategies against a disorderly liquidation of a large position.
problem Trading against a hedge fund's disorderly liquidation of a risky asset.
method Classified market participants into three types: fully informed, partially informed, and uninformed. Analyzed their optimal trading and wealth processes.
result Different types of investors have distinct optimal trading strategies and wealth processes.
Investors often miss out on early exercise of American options with dividends, volatility, and jumps.
problem Investors suboptimal exercise of American call options on dividend-paying stocks.
method Used a fast numerical technique to analyze a large database of investor decisions and incorporated stochastic volatility and jumps in pricing models.
result Pricing models with stochastic volatility and jumps reduce the loss from suboptimal exercise by a quarter.
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 study a financial model with a non-trivial price impact effect. In this model we consider the interaction of a large investor trading in an illiquid security, and a market maker who is quoting prices for this security. We assume that the market maker quotes the prices such that by taking the other side of the invest…
We develop from basic economic principles a continuous-time model for a large investor who trades with a finite number of market makers at their utility indifference prices. In this model, the market makers compete with their quotes for the investor's orders and trade among themselves to attain Pareto optimal allocatio…
Study investor sentiment and disagreement on StockTwits during COVID-19.
problem Understanding investor beliefs and sentiment during the pandemic.
method Analysis of social media data (StockTwits) for investor messages.
result Sentiment and disagreement sharply decreased in early March 2020, followed by a reversal.
Optimal investment strategy for a large, identical investor or pension fund.
problem Finding the best investment strategy for a large group of identical investors.
method Developed a numerical algorithm and derived an analytic formula for optimal consumption.
result Proved the model's validity for both large and small groups of investors.
Model shows how financial markets can decarbonize under climate uncertainty.
problem Decarbonization of financial markets under climate uncertainty.
method Mean-field game approach to model firm decisions and investor interactions.
result Climate uncertainty weakens the impact of green-minded investors on decarbonization.
Study examines AI's role in robo-investing, focusing on benefits for specific investors.
problem Understanding the benefits of robo-investing for different investor types.
method Used a unique data set of brokerage accounts, analyzed various robo-investing strategies, compared human vs. machine performance.
result AI can provide benefits to low-income and high-risk-averse investors.
Game theory models storage investment to balance market competition and profits.
problem Strategic storage investment impacts electricity market prices and revenues.
method Formulated a non-cooperative game between investors to model strategic storage decisions.
result Increasing storage capacity reduces individual profits but increases total investment.
Paper studies optimal execution in a multi-investor model with price impact.
problem Optimal execution in a multi-investor model with transient price impact.
method Established existence and uniqueness of Nash equilibrium under quadratic transaction costs. Derived closed-form representation for exponential decay kernels.
result Order anticipation strategies increase execution costs but do not cause price overshooting.
New approach for uninformed investors to optimize execution costs.
problem Optimizing execution costs for new investors with imperfect initial knowledge.
method Iterative derivation of OLS estimates of market parameters.
result Dynamic adjustment of trading strategies based on evolving market parameters.
Study shows investor sentiment boosts intraday trading in Chinese markets.
problem Impact of investor sentiment on intraday overtrading in Chinese A-share markets.
method High-frequency sentiment indices from social media analyzed for intraday overtrading in CSI 300 and CSI 500 constituents.
result Investor sentiment significantly increases intraday overtrading, especially among institutional investors.
Paper proposes a GRU model to detect spoofing in retail investors.
problem Spoofing in unregulated markets with retail investors.
method GRU-based detection model using market variables.
result Model performs well in early detection of spoofing attempts.
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 study the cross-correlation matrix Cij of inventory variations of the most active individual and institutional investors in an emerging market to understand the dynamics of inventory variations. We find that the distribution of cross-correlation coefficient Cij has a power-law form in the bulk followed by …
Statistical fields model explains capital allocation and accumulation among firms and investors.
problem Understanding capital allocation and accumulation dynamics among firms and investors.
method Applied statistical fields formalism to heterogeneous agents divided into firms and investors.
result Capital accumulation depends on various factors including long-term returns, competition, and stock price volatility.
The paper analyzes arbitrage opportunities in a large investor market with common stock noises.
problem Identifying arbitrage opportunities in a market with many competitive investors.
method Stochastic differential games and mean-field systems to study market dynamics and optimal arbitrage.
result Optimal arbitrage is characterized by a solution to a Cauchy PDE involving volatility terms.
Investor optimizes portfolio under market sentiment control with partial information.
problem Maximizing utility in a risky asset with unobservable market sentiment.
method Combining classical filtering theory and control theory for PDMPs.
result Derives optimality equation and unique viscosity solution for value function.
A new portfolio model considers investor aversion to loss and risk.
problem Constructing a robust portfolio under uncertain asset returns and investor aversion.
method Distributional robust optimization (DRP) with a Wasserstein ball centered on empirical distribution, mixed-integer quadratic programming, and hybrid algorithm.
result Empirical testing shows superior performance in asset allocation compared to common strategies.
Optimal portfolios are formed by combining momentum, size, and volatility characteristics, enhancing utility for all investors.
problem Estimation error in forming optimal portfolios from characteristics.
method Maximizing an in-sample loss function that is more concave than the utility function, linking weights to characteristics.
result Optimal portfolios with significantly higher certainty equivalents than benchmarks for all investors.
Investors' strategic trading affects asset prices, modeled as a game.
problem Investors' trading rates influence asset prices in dynamic markets.
method Model as a non-zero sum singular stochastic differential game, establishing equivalence between best-response and auxiliary control problems.
result Unique Nash equilibrium is deterministic with a closed-form solution.
Investor optimizes utility in a market with endogenous pricing.
problem Maximizing utility in an incomplete market with endogenous pricing.
method Characterized optimality via FBSDEs and BSPDEs using generalized subgradients.
result Existence and smoothness of solutions for optimal investment and FBSDEs.
A new law of large numbers for single catastrophic risks.
problem Insurance risks from a single catastrophic event.
method Large diversification effect through optimal allocation to many reinsurers or investors.
result Derives a strong law of large numbers for insurance risks.
Study reveals how investor flows impact stock prices, especially during herding episodes.
problem Understanding how information transmits through prices and why it breaks down.
method Combining regularized deconvolution with Hawkes process analysis.
result Institutional price impact deteriorates sharply during herding episodes in small-cap stocks, while large-cap stocks maintain resilience.
Study on price formation among investors with exponential utility and liabilities.
problem Equilibrium price formation among investors with heterogeneous risk-averseness and liabilities.
method Mean-field game theory and mean-field backward stochastic differential equations (BSDE).
result Existence of equilibrium risk-premium process and market clearing in the large population limit.
We develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. A key role is played by a pair of conjugate saddle functions associated with the description of Pareto optimal allocations in terms of the utility function of a representative market maker.
Method detects insider trading using trading data and dimensionality reduction.
problem Identifying insider trading in large datasets.
method Unsupervised machine learning, principal component analysis, autoencoders.
result Identifies suspicious trading behavior based on reconstruction errors.
We test the price momentum effect in the Korean stock markets under the momentum universe shrinkage to subuniverses of the KOSPI 200. Performance of the momentum strategy is not homogeneous with respect to change of the momentum universe. It is found that some submarkets generate the higher momentum returns than other …
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.
Model shows how heterogeneity in strategies and risk tolerance affects financial market stability.
problem Understanding how heterogeneity impacts financial market dynamics.
method Agent-based model incorporating heterogeneous investment strategies and risk tolerance.
result Heterogeneity in strategies and risk tolerance suppresses price fluctuations.
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.
StockAgent uses AI to simulate real-world stock trading, analyzing external factors and profitability.
problem Investors need to understand how external factors affect stock trading.
method Developed StockAgent, a multi-agent system driven by large language models.
result Identified how external factors impact trading behavior and profitability.
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.
Study shows institutional investments significantly impact cryptocurrency market evolution.
problem Limited understanding of institutional investments' role in cryptocurrency market evolution.
method Quantitative analysis of 1324 cryptocurrencies' investments from 2014-2022.
result Institutional investments correlate with cryptocurrency market capitalization.
Study evaluates if LLMs have company-specific biases in financial sentiment analysis.
problem Evaluating if large language models exhibit company-specific biases in financial sentiment analysis.
method Comparing sentiment scores with and without company names, constructing economic models, and empirical analysis.
result LLMs show company-specific biases in sentiment analysis, impacting investor behavior and stock prices.
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.