Why is order flow so persistent?

Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding, corresponding to positive correlation in the behavior of different investors, or order splitting, corresponding to positive autocorrelation in the behavior of single investors. We investigate this using order flow data from the London Stock Exchange for which we have membership identifiers. By formulating models for herding and order splitting, as well as models for brokerage choice, we are able to overcome the distortion introduced by brokerage. On timescales of less than a few hours the persistence of order flow is overwhelmingly due to splitting rather than herding. We also study the properties of brokerage order flow and show that it is remarkably consistent both cross-sectionally and longitudinally.Comment: 42 pages, 15 figure

AI recognition of patient race in medical imaging: a modelling study

Background Previous studies in medical imaging have shown disparate abilities of artificial intelligence (AI) to detect a person's race, yet there is no known correlation for race on medical imaging that would be obvious to human experts when interpreting the images. We aimed to conduct a comprehensive evaluation of the ability of AI to recognise a patient's racial identity from medical images. Methods Using private (Emory CXR, Emory Chest CT, Emory Cervical Spine, and Emory Mammogram) and public (MIMIC-CXR, CheXpert, National Lung Cancer Screening Trial, RSNA Pulmonary Embolism CT, and Digital Hand Atlas) datasets, we evaluated, first, performance quantification of deep learning models in detecting race from medical images, including the ability of these models to generalise to external environments and across multiple imaging modalities. Second, we assessed possible confounding of anatomic and phenotypic population features by assessing the ability of these hypothesised confounders to detect race in isolation using regression models, and by re-evaluating the deep learning models by testing them on datasets stratified by these hypothesised confounding variables. Last, by exploring the effect of image corruptions on model performance, we investigated the underlying mechanism by which AI models can recognise race. Findings In our study, we show that standard AI deep learning models can be trained to predict race from medical images with high performance across multiple imaging modalities, which was sustained under external validation conditions (x-ray imaging [area under the receiver operating characteristics curve (AUC) range 0·91-0·99], CT chest imaging [0·87-0·96], and mammography [0·81]). We also showed that this detection is not due to proxies or imaging-related surrogate covariates for race (eg, performance of possible confounders: body-mass index [AUC 0·55], disease distribution [0·61], and breast density [0·61]). Finally, we provide evidence to show that the ability of AI deep learning models persisted over all anatomical regions and frequency spectrums of the images, suggesting the efforts to control this behaviour when it is undesirable will be challenging and demand further study. Interpretation The results from our study emphasise that the ability of AI deep learning models to predict self-reported race is itself not the issue of importance. However, our finding that AI can accurately predict self-reported race, even from corrupted, cropped, and noised medical images, often when clinical experts cannot, creates an enormous risk for all model deployments in medical imaging. Funding National Institute of Biomedical Imaging and Bioengineering, MIDRC grant of National Institutes of Health, US National Science Foundation, National Library of Medicine of the National Institutes of Health, and Taiwan Ministry of Science and Technology

Reading Race: AI Recognises Patient's Racial Identity In Medical Images

Background: In medical imaging, prior studies have demonstrated disparate AI performance by race, yet there is no known correlation for race on medical imaging that would be obvious to the human expert interpreting the images. Methods: Using private and public datasets we evaluate: A) performance quantification of deep learning models to detect race from medical images, including the ability of these models to generalize to external environments and across multiple imaging modalities, B) assessment of possible confounding anatomic and phenotype population features, such as disease distribution and body habitus as predictors of race, and C) investigation into the underlying mechanism by which AI models can recognize race. Findings: Standard deep learning models can be trained to predict race from medical images with high performance across multiple imaging modalities. Our findings hold under external validation conditions, as well as when models are optimized to perform clinically motivated tasks. We demonstrate this detection is not due to trivial proxies or imaging-related surrogate covariates for race, such as underlying disease distribution. Finally, we show that performance persists over all anatomical regions and frequency spectrum of the images suggesting that mitigation efforts will be challenging and demand further study. Interpretation: We emphasize that model ability to predict self-reported race is itself not the issue of importance. However, our findings that AI can trivially predict self-reported race -- even from corrupted, cropped, and noised medical images -- in a setting where clinical experts cannot, creates an enormous risk for all model deployments in medical imaging: if an AI model secretly used its knowledge of self-reported race to misclassify all Black patients, radiologists would not be able to tell using the same data the model has access to

Non-Standard Errors

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: Non-standard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for better reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants