Study shows mutual funds add little value for uninformed investors.
problem Understanding the performance of actively managed equity mutual funds for uninformed investors.
method Constructed a reference portfolio using prices and supply information, analyzed various subsets of funds, and compared to market index.
result Mutual funds provide insignificant alpha for uninformed investors, with negative and significant alpha when compared to the market index.
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.
We extend the theory of asymmetric information in mispricing models for stocks following geometric Brownian motion to constant relative risk averse investors. Mispricing follows a continuous mean--reverting Ornstein--Uhlenbeck process. Optimal portfolios and maximum expected log--linear utilities from terminal wealth f…
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 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…
We implement a market microstructure model including informed, uninformed and heuristic-driven investors, which latter behave in line with loss-aversion and mental accounting. We show that the probability of informed trading (PIN) varies significantly during 2008. In contrast, the probability of heuristic-driven tradin…
This paper investigates the equilibrium interactions between trading targets and private information in a multi-period Kyle (1985) market. There are two investors who each follow dynamic trading strategies: A strategic portfolio rebalancer who engages in order splitting to reach a cumulative trading target and an uncon…
New model explains volatility after extreme stock market events.
problem Understanding volatility dynamics after extreme stock market events.
method Proposed a new dynamical model using high frequency minute data.
result Volatility after extreme events follows a stretched exponential decay initially and a power law decay later.
Study examines insider trading in short-selling restricted markets.
problem Analyzing insider trading opportunities in short-selling prohibited markets.
method Introducing minimal supermartingale measure and analyzing its properties in relation to minimal martingale measure.
result Conditions under which both measures fail to exist, indicating insider information affecting market perception.
The paper sets bounds on how much regret is unavoidable in adaptive LQR with unknown B-matrix.
problem Understanding the limits of adaptive LQR with unknown B-matrix.
method Local asymptotic minimax regret lower bounds using van Trees' inequality and Bellman error representation.
result Logarithmic regret is impossible if the parametrization induces an uninformative optimal policy.
Modeling market dynamics with informed and uninformed traders and fads.
problem Optimizing market making in a market with fads, informed, and uninformed traders.
method Characterizing the optimal liquidity provision problem in a market with fads, informed, and uninformed traders, considering both complete and partial information.
result The price of liquidity is a function of the proportion of informed traders, and strategies ignoring fads underperform.
Adding uninformative labels improves tumor segmentation in low-data mammography.
problem Improving tumor segmentation in mammography with limited data.
method Used seemingly uninformative labels from non-expert annotators to turn a multi-label task into a multi-class problem.
result Performance gains in tumor segmentation are achieved in low-data settings with additional uninformative labels.
The estimation of probabilities of default (PDs) for low default portfolios by means of upper confidence bounds is a well established procedure in many financial institutions. However, there are often discussions within the institutions or between institutions and supervisors about which confidence level to use for the…
Informed traders strategically reveal noisier signals, making prices less responsive to public information.
problem How informed traders strategically reveal signals impacts market prices and utility.
method Modeling a market with an informed trader, an uninformed trader, and liquidity providers, proving equilibrium existence.
result In equilibrium, the insider strategically reveals a noisier signal, making prices less responsive to public information.
Study dynamic equilibrium with insider and general uninformed agent preferences.
problem Analyzing asymmetric information and general utility functions in a continuous-time economy.
method Introducing a new method to prove existence of a partial communication equilibrium (PCE) for agents with general utility functions.
result Identify the equilibrium price in the small and large risk aversion limits for agents with power utility.
New method speeds up Bayesian inference for complex simulators.
problem Challenges in Bayesian inference for complex stochastic simulators with intractable likelihood functions.
method Optimization Monte Carlo framework reformulated as deterministic optimization problems with gradient-based methods.
result Accurate posterior inference with reduced runtimes compared to existing methods.
This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double auction market. We describe the behavior when some uninformed agents, who we call switchers, decide whether or not to pay for information before they trade. By paying for the information they behave as …
In this paper, we study the convergence of generative adversarial networks (GANs) from the perspective of the informativeness of the gradient of the optimal discriminative function. We show that GANs without restriction on the discriminative function space commonly suffer from the problem that the gradient produced by …
A simple strategy optimizes broker-client trading, reducing price discounts for informed traders.
problem Optimizing broker-client trading to balance client flow and informed trader losses.
method Modelled as a stochastic control problem, derived optimal strategy in closed form, introduced algorithm.
result Optimal strategy reduces price discounts for informed traders, balancing client flow and informed trader losses.
Reconstruction-based learning produces uninformative features for perception tasks.
problem Misalignment between reconstruction-based learning and perception tasks.
method Investigated the impact of input space reconstruction on feature learning for perception tasks.
result Reconstruction-based learning allocates model capacity to a subspace with uninformative features for perception tasks.
Conventional financial models fail to explain the economic and monetary properties of cryptocurrencies due to the latter's dual nature: their usage as financial assets on the one side and their tight connection to the underlying blockchain structure on the other. In an effort to examine both components via a unified ap…
This study analyzes cryptocurrency market crashes using complex network analysis.
problem Identifying and understanding dynamics of cryptocurrency market crashes.
method Complex network analysis of cryptocurrency market during pre-crash, crash, and post-crash periods.
result Network density and clustering coefficient spike during crashes, indicating uninformed panic sell-off.
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.
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.
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.
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.
Neural networks compress uninformative input directions, improving test error.
problem Data lie in a high-dimensional space but labels vary along a lower-dimensional manifold.
method One-hidden layer network trained with gradient descent, analyzing weight evolution and compression.
result Compression factor λ ∼ √p improves test error, with β Feature > β Lazy.
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.
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 …
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.
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.
Study reveals investor behavior in NFT bubbles.
problem Understanding retail investor behavior in asset bubbles.
method Systematic study of NFTs using public blockchain data.
result Sophisticated investors outperform others in NFT bubbles.
Multilayer networks are attracting growing attention in many fields, including finance. In this paper, we develop a new tractable procedure for multilayer aggregation based on statistical validation, which we apply to investor networks. Moreover, we propose two other improvements to their analysis: transaction bootstra…
This paper studies how AMMs can minimize losses from arbitrage while retaining uninformed trading activity.
problem Minimizing losses from arbitrage in AMMs while retaining uninformed trading activity.
method Modeling arbitrage dynamics and sensitivity to fee choices, mapping to a random walk with a reward scheme.
result AMMs can maximize value retention by optimizing fee structures.
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.
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.
Covid lockdown increased interest in Italian stock market, leading to new investors.
problem Impact of Covid lockdown on Italian stock market investors.
method Analysis of trading activity and investor demographics before and during lockdown.
result New investors during lockdown were more skilled traders than pre-lockdown investors.
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.
Geometric approach combines asset returns and investor views for better portfolio optimization.
problem Optimizing portfolios with investor-specific views.
method Generalized Wasserstein barycenter (GWB) to integrate statistical asset returns and investor views.
result The geometric approach offers more flexibility and rewards for correct investor views.
Simulation reveals relationships in stock market pyramid schemes.
problem Understanding pyramid scheme behavior in stock markets.
method Agent-based simulation with four investor types and parameters.
result Relationships between main fund's rate of return and trend investors' proportion.
Study investor attention using search volume data before and after mobile device popularity.
problem Accurately measure investor attention in a fast-paced market.
method Compare investor attention using search volume data before and after mobile device popularization.
result Investor attention measured using search volume data is more accurate and faster after mobile device popularization.
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.