Publications
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Scaling of inefficiencies in the U.S. equity markets: Evidence from three market indices and more than 2900 securities
Preprint, 2019
Status: In review
Citations:
Cite: [bibtex]
Abstract: Using the most comprehensive, commercially-available dataset of trading activity in U.S. equity markets, we catalog and analyze latency arbitrage opportunities and realized opportunity costs (ROC) incurred by market participants. We find that latency arbitrage opportunities are common, observing a total of over 3.1 billion latency arbitrage opportunities in the Russell 3000 during trading in 2016, or roughly 525 per second of trading. Up to 23% of observed trades may have contributed the the measured inefficiencies, leading to a ROC greater than $2 billion USD. A subset of the constituents of the S&P 500 index experience the greatest amount of ROC and may drive inefficiencies in other stocks. In addition, we identify fine structure and self-similarity in the intra-day distribution of latency arbitrage opportunity start times. These results point to universal underlying market mechanisms arising from the physical structure of the U.S. National Market System.
Most recent press:
Bongard's work focuses on understanding the general nature of cognition, regardless of whether it is found in humans, animals or robots. This unique approach focuses on the role that morphology and evolution plays in cognition. Addressing these questions has taken him into the fields of biology, psychology, engineering and computer science.
- Josh Bongard, Victor Zykov, Hod Lipson. Resilient Machines Through
Continuous Self-Modeling. Science 314, 1118 (2006). [Journal Page] - Joey Anetsberger and Josh Bongard. Robots can ground crowd-proposed symbols by forming theories of group mind. Proceedings of the Artificial Life Conference 2016. [Link to Proceedings]
- Sam Kriegman, Nick Cheney, and Josh Bongard. How morphological development can guide evolution. arXiv 2017. [arXiv]
Danforth is an applied mathematician interested in modeling a variety of physical, biological, and social phenomenon. He has applied principles of chaos theory to improve weather forecasts as a member of the Mathematics and Climate Research Network, and developed a real-time remote sensor of global happiness using messages from Twitter: the Hedonometer. Danforth co-runs the Computational Story Lab with Peter Dodds, and helps run UVM's reading group on complexity.
- Peter Sheridan Dodds , Kameron Decker Harris, Isabel M. Kloumann, Catherine A. Bliss, Christopher M. Danforth. Temporal Patterns of Happiness and Information in a Global Social Network: Hedonometrics and Twitter. PLoS ONE 2011. [Journal Page].
- Lewis Mitchell , Morgan R. Frank, Kameron Decker Harris, Peter Sheridan Dodds, Christopher M. Danforth. The Geography of Happiness: Connecting Twitter Sentiment and Expression, Demographics, and Objective Characteristics of Place. PLoS ONE 2013. [Journal Page].
- Andrew G Reece and Christopher M Danforth. Instagram photos reveal predictive markers of depression. EPJ Data Science 2017. [Journal Page].
Laurent studies the interaction of structure and dynamics. His research involves network theory, statistical physics and nonlinear dynamics along with their applications in epidemiology, ecology, biology, and sociology. Recent projects include comparing complex networks of different nature, the coevolution of human behavior and infectious diseases, understanding the role of forest shape in determining stability of tropical forests, as well as the impact of echo chambers in political discussions.
- Laurent Hébert‐Dufresne Adam F. A. Pellegrini Uttam Bhat Sidney Redner Stephen W. Pacala Andrew M. Berdahl. Edge fires drive the shape and stability of tropical forests. Ecology Letters 2018. [Journal Page]
- Samuel V. Scarpino, Antoine Allard, Laurent Hébert-Dufresne. The effect of a prudent adaptive behaviour on disease transmission. Nature Physics 2016. [Journal Page]
- Laurent Hébert-Dufresne, Joshua A. Grochow, Antoine Allard. Multi-scale structure and topological anomaly detection via a new network statistic: The onion decomposition. Nature Scientific Reports 2016. [Journal Page]
Hines' work broadly focuses on finding ways to make electric energy more reliable, more affordable, with less environmental impact. Particular topics of interest include understanding the mechanisms by which small problems in the power grid become large blackouts, identifying and mitigating the stresses caused by large amounts of electric vehicle charging, and quantifying the impact of high penetrations of wind/solar on electricity systems.
- Paul D. H. Hines, Ian Dobson, Pooya Rezaei. Cascading Power Outages Propagate Locally in an Influence Graph That is Not the Actual Grid Topology. IEEE Transactions on Power Systems ( Volume: 32, Issue: 2, March 2017 ). [Journal Page]
- Mert Korkali, Jason G. Veneman, Brian F. Tivnan, James P. Bagrow & Paul D. H. Hines. Reducing Cascading Failure Risk by Increasing Infrastructure Network Interdependence. Scientific Reports volume 7, Article number: 44499 (2017. [Journal Page]
- Pooya Rezaei, Paul D. H. Hines, Margaret J. Eppstein. Estimating Cascading Failure Risk With Random Chemistry. IEEE Transactions on Power Systems ( Volume: 30, Issue: 5, Sept. 2015 ). [Journal Page]
Bagrow's interests include: Complex Networks (community detection, social modeling and human dynamics, statistical phenomena, graph similarity and isomorphism), Statistical Physics (non-equilibrium methods, phase transitions, percolation, interacting particle systems, spin glasses), and Optimization(glassy techniques such as simulated/quantum annealing, (non-gradient) minimization of noisy objective functions).
- Y.-Y. Ahn, J. P. Bagrow and S. Lehmann. Link communities reveal multiscale complexity in networks. Nature, 466: 761-764 (2010). [Journal Page].
- M. R. Frank, J. R. Williams, L. Mitchell, J. P. Bagrow, P. S. Dodds, C. M. Danforth. Constructing a taxonomy of fine-grained human movement and activity motifs through social media. In preparation. (2015). [Journal Page].
- J. P. Bagrow and L. Mitchell. The quoter model: a paradigmatic model of the social flow of written information. To appear, Chaos (2018). [Journal Page].
