A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
The paper introduces a new volatility model for state heterogeneous financial markets using high-frequency data.
Study shows how diverse investors' learning and preferences shape financial markets.
This study analyzes cryptocurrencies to reveal their homogeneity and heterogeneity.
Entropy measure assesses market volatility and price heterogeneity.
The paper explains stock market predictability through a model of heterogeneous beliefs.
The aim of this paper is to propose a heterogeneous agent model of stock markets that develop complicated endogenous price fluctuations. We find occurrences of non-stationary chaos, or speculative bubble, are caused by the heterogeneity of traders' strategies. Furthermore, we show that the distributions of returns gene…
Model shows how heterogeneity in strategies and risk tolerance affects financial market stability.
In market modeling, one often treats buyers as a homogeneous group. In this paper we consider buyers with heterogeneous preferences and products available in many variants. Such a framework allows us to successfully model various market phenomena. In particular, we investigate how is the vendor's behavior influenced by…
Study shows informed traders harm market makers but price discovery benefits outweigh costs.
We present an analysis of the price impact associated with trades effected by different financial firms. Using data from the Spanish Stock Market, we find a high degree of heterogeneity across different market members, both in the instantaneous impact functions and in the time-dependent market response to trades by ind…
Evology models US equity mutual funds interactions for investment strategies.
The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model using the Brock and Hommes (1998) framework. Behavioural patterns are injected into an asset pricing framework through the so-called `Break Point Date', which allows us to examine their direct impact.…
The dynamics of a stock market with heterogeneous agents is discussed in the framework of a recently proposed spin model for the emergence of bubbles and crashes. We relate the log returns of stock prices to magnetization in the model and find that it is closely related to trading volume as observed in real markets. Th…
When investors have heterogeneous attitudes towards risk, it is reasonable to assume that each investor has a pricing kernel, and that these individual pricing kernels are aggregated to form a market pricing kernel. The various investors are then buyers or sellers depending on how their individual pricing kernels compa…
TradeFM learns market microstructure from trade events, improving financial model accuracy.
Study on risk sharing in capital requirements for diverse security markets.
We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within peer groups and individually heterogeneous fundamentalist trading decisions which take into account t…
Game-theoretic model captures investor interactions for stock price forecasting.
Study models Indian stock market using hyperbolic geometry for market stability and volatility analysis.
Trading strategies evolve in a simulated market to outperform real data.
New methods estimate heterogeneous causal effects at various levels.
The paper develops a hybrid model for optimal order execution in markets with heterogeneous market makers.
We study the market selection hypothesis in complete financial markets, populated by heterogeneous agents. We allow for a rich structure of heterogeneity: individuals may differ in their beliefs concerning the economy, information and learning mechanism, risk aversion, impatience and 'catching up with Joneses' preferen…
Study identifies key trades predicting market movements.
Study Nash equilibrium in market with relative wealth concerns under partial information and heterogeneous priors.
Develops asset pricing models with mean field game theory for heterogeneous agents.
Introduces a new system for modeling bank solvency contagion with heterogeneous impacts and exposures.
In this paper we study the price dynamics in a simple model of financial markets with heterogeneous agents. We concentrate on how increases in the total number of active traders influences fluctuations of asset prices. We find that a curious route to chaos is observed when the total number of [active traders] increases…
The LLS stock market model is a model of heterogeneous quasi-rational investors operating in a complex environment about which they have incomplete information. We review the main features of this model and several of its extensions. We study the effects of investor heterogeneity and show that predation, competition, o…
In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian agents who process information from the market with different time delays. Each …
Unified survey of treatment effect heterogeneity and uplift modeling methods.
Modeling asset trading strategies with noisy information.
Meta-analysis of USDA forecasts and market reactions studies.
New method identifies informed traders in prediction markets.
Novel method CHPCA simplifies complex market dynamics.
Financial markets provide an ideal frame for studying decision making in crowded environments. Both the amount and accuracy of the data allows to apply tools and concepts coming from physics that studies collective and emergent phenomena or self-organised and highly heterogeneous systems. We analyse the activity of 29,…
We study the relation between serial correlation of financial returns and volatility at intraday level for the S&P500 stock index. At daily and weekly level, serial correlation and volatility are known to be negatively correlated (LeBaron effect). While confirming that the LeBaron effect holds also at intraday level, w…
The use of kinetic modelling based on partial differential equations for the dynamics of stock price formation in financial markets is briefly reviewed. The importance of behavioral aspects in market booms and crashes and the role of agents' heterogeneity in emerging power laws for price distributions is emphasized and…
A new model for heterogeneous populations optimizes consumption and investment over short horizons.
Proposes a hybrid model for stock market report classification using graph neural networks.
Paper develops framework for AI agents in financial markets.
Financial economic models often assume that investors know (or agree on) the fundamental value of the shares of the firm, easing the passage from the individual to the collective dimension of the financial system generated by the Share Exchange over time. Our model relaxes that heroic assumption of one unique "true val…
We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market participants and study how their b…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of the system is grounded upon a heterogeneous interacting agent model for a singl…
Using high frequency data, we have studied empirically the change of volatility, also called volatility derivative, for various time horizons. In particular, the correlation between the volatility derivative and the volatility realized in the next time period is a measure of the response function of the market particip…
SHHK Stock Connect increases A-H share price premium, more for less efficient markets.
A new model decomposes market variability into interpretable components.
Study shows how wealth distribution leads to volatility clustering in speculative markets.