#stock market #Human behavior #Big Data

Financial markets as empirical labs to study the evolving ecology of human decision making

Human decision making strategies evolve through time based on past experience and they are influence by the spectrum of other strategies with which they come into contact. Financial markets provide the best empirical lab to understand how human decide under risk and uncertainty. They are complex systems which provide massive datasets of detail records of human decisions which constantly evolve and collide in centralized or social structures. Furthermore financial markets provide us with a very simple measure of performance (profits, ROI), thus enabling us to study the relationship between human decision making strategies and performance. ...

#Agents #Complexity #Finance #Stock Market #Market Impact

Agent-specific impact of single trades in financial markets

Authors: Alex Bladon, Esteban Moro y Tobias Galla Journal: Physical Review E 85, 036103 (2012) LINK | arXiv Abstract: We present an analysis of the price impact associated with single 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 individual members. ...

#Agents #Stock Market #Market Impact #Finance

Market impact and trading profile of large trading orders in stock markets

Authors: Esteban Moro, Javier Vicente, Luis G. Moyano, Austin Gerig, J. Doyne Farmer, Gabriella Vaglica, Fabrizio Lillo and Rosario N. Mantegna Journal: Phys. Rev. E 80, 066102 (2009) LINK | arXiv Abstract: We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. ...

#arxiv #finance #preprint #stock market

New section in the arXiv: Quantitative Finance

News from the arXiv: a new section has been created to host preprints about Quantitative Finance. The section (as stated in the press release) intends to fix a problem with existing pre-print repositories. One one hand, social sciences repositories like SSRN, RepEC/IDEAS and others are too academic for practitioners, while on the other hand sites like defaultrisk.com or wilmott.com have not attracted many academic contributors. The new category in the arXiv would be a gathering point for both practitioners and academic people working in this important research field ...

#Agents #Complexity #Simulation #Stock Market #Strategy

Specialization of strategies and herding behavior of trading firms in a financial market

Authors: Fabrizio Lillo, Esteban Moro, Gabriella Vaglica y Rosario Mantegna Journal: New Journal of Physics 10 (2008) 043019 LINK arXiv Abstract: Agent-based models of financial markets usually make assumptions about agent’s preferred stylized strategies. Empirical validations of these assumptions have not been performed so far on a full-market scale. Here we present a comprehensive study of the resulting strategies followed by the firms which are members of the Spanish Stock Exchange. ...

#Agents #Complexity #Stock Market #Strategy

Scaling laws of strategic behavior and size heterogeneity in agent dynamics

Authors: Gabriella Vaglica, Fabrizio Lillo, Esteban Moro y Rosario N. Mantegna Journal: Physical Review E 77, 036110 (2008). LINK | arXiv Abstract: The dynamics of many socioeconomic systems is determined by the decision making process of agents. The decision process depends on agent’s characteristics, such as preferences, risk aversion, behavioral biases, etc. In addition, in some systems the size of agents can be highly heterogeneous leading to very different impacts of agents on the system dynamics. ...