Publications associées à Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior

Publications associées (31)

Stochastic pairwise preference convergence in Bayesian agents

Beliefs inform the behaviour of forward-thinking agents in complex environments. Recently, sequential Bayesian inference has emerged as a mechanism to study belief formation among agents adapting to dynamical conditions. However, we lack critical theory to ...

2024

Portfolio Construction with Hierarchical Momentum

Urban Ulrych

This article presents a portfolio construction approach that combines the hierarchical clustering of a large asset universe with the stock price momentum. On one hand, investing in high-momentum stocks enhances returns by capturing the momentum premium. On ...

Pageant Media Ltd2024

Network-based kinetic models: Emergence of a statistical description of the graph topology

Matteo Raviola

In this paper, we propose a novel approach that employs kinetic equations to describe the collective dynamics emerging from graph-mediated pairwise interactions in multi-agent systems. We formally show that for large graphs and specific classes of interact ...

Cambridge Univ Press2024

Machine Learning for Modeling Stock Returns

Teng Andrea Xu

Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...

EPFL2024

Social-Transmotion: Promptable Human Trajectory Prediction

Alexandre Massoud Alahi, Saeed Saadatnejad, Yang Gao, Kaouther Messaoud Ben Amor

Accurate human trajectory prediction is crucial for applications such as autonomous vehicles, robotics, and surveillance systems. Yet, existing models often fail to fully leverage the non-verbal social cues human subconsciously communicate when navigating ...

2024

Augmenting large language models with chemistry tools

Andres Camilo Marulanda Bran, Carlo Baldassari, Philippe Schwaller, Oliver Tobias Schilter

Large language models (LLMs) have shown strong performance in tasks across domains but struggle with chemistry-related problems. These models also lack access to external knowledge sources, limiting their usefulness in scientific applications. We introduce ...

Nature Portfolio2024

Networked Signal and Information Processing: Learning by multiagent systems

Ali H. Sayed, Stefan Vlaski

This article reviews significant advances in networked signal and information processing (SIP), which have enabled in the last 25 years extending decision making and inference, optimization, control, and learning to the increasingly ubiquitous environments ...

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC2023

Multi-agent Learning with Privacy Guarantees

Elsa Rizk

A multi-agent system consists of a collection of decision-making or learning agents subjected to streaming observations from some real-world phenomenon. The goal of the system is to solve some global learning or optimization problem in a distributed or dec ...

EPFL2023

A subcellular biochemical model for T6SS dynamics reveals winning competitive strategies

Yuexia Luna Lin

The type VI secretion system (T6SS) is a broadly distributed interbacterial weapon that can be used to eliminate competing bacterial populations. Although unarmed target populations are typically used to study T6SS function in vitro, bacteria most likely e ...

OXFORD UNIV PRESS2023

Human-Robot Swarm Interaction: An Explorative Path to Foster Complex Systems Understanding

Hala Khodr

Order, regularities, and patterns are ubiquitous around us. A flock of birds maneuvering in the sky, the self-organization of social insects, a global pandemic or a traffic jam are examples of complex systems where the macroscopic patterns arise from the m ...

EPFL2023

Closed form approximation methods for portfolio valuation and risk management

Lotfi Boudabsa

In this thesis we present three closed form approximation methods for portfolio valuation and risk management. The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and ...

EPFL2023

Multi-agent actor-critic with time dynamical opponent model

Olga Fink

In multi-agent reinforcement learning, multiple agents learn simultaneously while interacting with a common environment and each other. Since the agents adapt their policies during learning, not only the behavior of a single agent becomes non-stationary, b ...

2023

Learning Robust and Adaptive Representations: from Interactions, for Interactions

Yuejiang Liu

Interactions are ubiquitous in our world, spanning from social interactions between human individuals to physical interactions between robots and objects to mechanistic interactions among different components of an intelligent system. Despite their prevale ...

EPFL2023

Generalizing Bulk-Synchronous Parallel Processing for Data Science: From Data to Threads and Agent-Based Simulations

Christoph Koch, Zilu Tian, Peter Lindner

We generalize the bulk-synchronous parallel (BSP) processing model to make it better support agent-based simulations. Such simulations frequently exhibit hierarchical structure in their communication patterns which can be exploited to improve performance. ...

2023

International Portfolio Choice with Frictions: Evidence from Mutual Funds

Simon Tièche

Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month a ...

OXFORD UNIV PRESS INC2023

Generalizing Bulk-Synchronous Parallel Processing for Data Science: From Data to Threads and Agent-Based Simulations

Zilu Tian

Agent-based simulations have been widely applied in many disciplines, by scientists and engineers alike. Scientists use agent-based simulations to tackle global problems, including alleviating poverty, reducing violence, and predicting the impact of pandem ...

EPFL2023

Partial Information Sharing Over Social Learning Networks

Ali H. Sayed, Virginia Bordignon

This work addresses the problem of sharing partial information within social learning strategies. In social learning, agents solve a distributed multiple hypothesis testing problem by performing two operations at each instant: first, agents incorporate inf ...

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC2023

Impact of Redundancy on Resilience in Distributed Optimization and Learning

Nirupam Gupta, Shuo Liu

This paper considers the problem of resilient distributed optimization and stochastic learning in a server-based architecture. The system comprises a server and multiple agents, where each agent has its own local cost function. The agents collaborate with ...

Assoc Computing Machinery2023

Model Predictive Control for Multi-Agent Systems under Limited Communication and Time-Varying Network Topology

Melanie Nicole Zeilinger, Danilo Saccani

In control system networks, reconfiguration of the controller when agents are leaving or joining the network is still an open challenge, in particular when operation constraints that depend on each agent's behavior must be met. Drawing our motivation from ...

IEEE2023

Automated Design Appraisal: Estimating Real Estate Price Growth and Value at Risk Due to Local Development

Adam Robert Swietek

Financial criteria in architectural design evaluation are limited to cost performance. Here, I introduce a method – Automated Design Appraisal (ADA) – to predict the market price of a generated building design concept within a local urban context. Integrat ...

2023