Adaptive Agents and Data Quality in Agent-Based Financial Markets

We present our Agent-Based Market Microstructure Simulation (ABMMS), an Agent-Based Financial Market (ABFM) that captures much of the complexity present in the US National Market System for equities (NMS). Agent-Based models are a natural choice for understanding financial markets. Financial markets feature a constrained action space that should simplify model creation, produce a wealth of data that should aid model validation, and a successful ABFM could strongly impact system design and policy development processes. Despite these advantages, ABFMs have largely remained an academic novelty. We hypothesize that two factors limit the usefulness of ABFMs. First, many ABFMs fail to capture relevant microstructure mechanisms, leading to differences in the mechanics of trading. Second, the simple agents that commonly populate ABFMs do not display the breadth of behaviors observed in human traders or the trading systems that they create. We investigate these issues through the development of ABMMS, which features a fragmented market structure, communication infrastructure with propagation delays, realistic auction mechanisms, and more. As a baseline, we populate ABMMS with simple trading agents and investigate properties of the generated data. We then compare the baseline with experimental conditions that explore the impacts of market topology or meta-reinforcement learning agents. The combination of detailed market mechanisms and adaptive agents leads to models whose generated data more accurately reproduce stylized facts observed in actual markets. These improvements increase the utility of ABFMs as tools to inform design and policy decisions.Comment: 11 pages, 6 figures, and 1 table. Contains 12 pages of supplemental information with 1 figure and 22 table

Revisiting Stylized Facts for Modern Stock Markets

In 2001, Rama Cont introduced a now-widely used set of 'stylized facts' to synthesize empirical studies of financial time series, resulting in 11 qualitative properties presumed to be universal to all financial markets. Here, we replicate Cont's analyses for a convenience sample of stocks drawn from the U.S. stock market following a fundamental shift in market regulation. Our study relies on the same authoritative data as that used by the U.S. regulator. We find conclusive evidence in the modern market for eight of Cont's original facts, while we find weak support for one additional fact and no support for the remaining two. Our study represents the first test of the original set of 11 stylized facts against the same stocks, therefore providing insight into how Cont's stylized facts should be viewed in the context of modern stock markets.Comment: 19 pages, 11 figure

Simon\u27s fundamental rich-get-richer model entails a dominant first-mover advantage

Herbert Simon\u27s classic rich-get-richer model is one of the simplest empirically supported mechanisms capable of generating heavy-tail size distributions for complex systems. Simon argued analytically that a population of flavored elements growing by either adding a novel element or randomly replicating an existing one would afford a distribution of group sizes with a power-law tail. Here, we show that, in fact, Simon\u27s model does not produce a simple power-law size distribution as the initial element has a dominant first-mover advantage, and will be overrepresented by a factor proportional to the inverse of the innovation probability. The first group\u27s size discrepancy cannot be explained away as a transient of the model, and may therefore be many orders of magnitude greater than expected. We demonstrate how Simon\u27s analysis was correct but incomplete, and expand our alternate analysis to quantify the variability of long term rankings for all groups. We find that the expected time for a first replication is infinite, and show how an incipient group must break the mechanism to improve their odds of success. We present an example of citation counts for a specific field that demonstrates a first-mover advantage consistent with our revised view of the rich-get-richer mechanism. Our findings call for a reexamination of preceding work invoking Simon\u27s model and provide an expanded understanding going forward

Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30

Using the most comprehensive source of commercially available data on the US National Market System, we analyze all quotes and trades associated with Dow 30 stocks in calendar year 2016 from the vantage point of a single and fixed frame of reference. We find that inefficiencies created in part by the fragmentation of the equity marketplace are relatively common and persist for longer than what physical constraints may suggest. Information feeds reported different prices for the same equity more than 120 million times, with almost 64 million dislocation segments featuring meaningfully longer duration and higher magnitude. During this period, roughly 22% of all trades occurred while the SIP and aggregated direct feeds were dislocated. The current market configuration resulted in a realized opportunity cost totaling over $160 million, a conservative estimate that does not take into account intra-day offsetting events

Management of patients with advanced prostate cancer—metastatic and/or castration-resistant prostate cancer: report of the Advanced Prostate Cancer Consensus Conference (APCCC) 2022

Background: Innovations in imaging and molecular characterisation together with novel treatment options have improved outcomes in advanced prostate cancer. However, we still lack high-level evidence in many areas relevant to making management decisions in daily clinical practise. The 2022 Advanced Prostate Cancer Consensus Conference (APCCC 2022) addressed some questions in these areas to supplement guidelines that mostly are based on level 1 evidence. Objective: To present the voting results of the APCCC 2022. Design, setting, and participants: The experts voted on controversial questions where high- level evidence is mostly lacking: locally advanced prostate cancer; biochemical recurrence after local treatment; metastatic hormone-sensitive, non-metastatic, and metastatic castration- resistant prostate cancer; oligometastatic prostate cancer; and managing side effects of hormonal therapy. A panel of 105 international prostate cancer experts voted on the consensus questions. Outcome measurements and statistical analysis: The panel voted on 198 pre-defined questions, which were developed by 117 voting and non-voting panel members prior to the conference following a modified Delphi process. A total of 116 questions on metastatic and/or castration- resistant prostate cancer are discussed in this manuscript. In 2022, the voting was done by a web-based survey because of COVID-19 restrictions. Results and limitations: The voting reflects the expert opinion of these panellists and did not incorporate a standard literature review or formal meta-analysis. The answer options for the consensus questions received varying degrees of support from panellists, as reflected in this article and the detailed voting results are reported in the supplementary material. We report here on topics in metastatic, hormone-sensitive prostate cancer (mHSPC), non-metastatic, castration-resistant prostate cancer (nmCRPC), metastatic castration-resistant prostate cancer (mCRPC), and oligometastatic and oligoprogressive prostate cancer. Conclusions: These voting results in four specific areas from a panel of experts in advanced prostate cancer can help clinicians and patients navigate controversial areas of management for which high-level evidence is scant or conflicting and can help research funders and policy makers identify information gaps and consider what areas to explore further. However, diagnostic and treatment decisions always have to be individualised based on patient characteristics, including the extent and location of disease, prior treatment(s), co-morbidities, patient preferences, and treatment recommendations and should also incorporate current and emerging clinical evidence and logistic and economic factors. Enrolment in clinical trials is strongly encouraged. Importantly, APCCC 2022 once again identified important gaps where there is non-consensus and that merit evaluation in specifically designed trials. Patient summary: The Advanced Prostate Cancer Consensus Conference (APCCC) provides a forum to discuss and debate current diagnostic and treatment options for patients with advanced prostate cancer. The conference aims to share the knowledge of international experts in prostate cancer with healthcare providers worldwide. At each APCCC, an expert panel votes on pre-defined questions that target the most clinically relevant areas of advanced prostate cancer treatment for which there are gaps in knowledge. The results of the voting provide a practical guide to help clinicians discuss therapeutic options with patients and their relatives as part of shared and multidisciplinary decision-making. This report focuses on the advanced setting, covering metastatic hormone-sensitive prostate cancer and both non-metastatic and metastatic castration-resistant prostate cancer. Twitter summary: Report of the results of APCCC 2022 for the following topics: mHSPC, nmCRPC, mCRPC, and oligometastatic prostate cancer. Take-home message: At APCCC 2022, clinically important questions in the management of advanced prostate cancer management were identified and discussed, and experts voted on pre-defined consensus questions. The report of the results for metastatic and/or castration- resistant prostate cancer is summarised here

New genetic loci link adipose and insulin biology to body fat distribution.

Body fat distribution is a heritable trait and a well-established predictor of adverse metabolic outcomes, independent of overall adiposity. To increase our understanding of the genetic basis of body fat distribution and its molecular links to cardiometabolic traits, here we conduct genome-wide association meta-analyses of traits related to waist and hip circumferences in up to 224,459 individuals. We identify 49 loci (33 new) associated with waist-to-hip ratio adjusted for body mass index (BMI), and an additional 19 loci newly associated with related waist and hip circumference measures (P < 5 × 10(-8)). In total, 20 of the 49 waist-to-hip ratio adjusted for BMI loci show significant sexual dimorphism, 19 of which display a stronger effect in women. The identified loci were enriched for genes expressed in adipose tissue and for putative regulatory elements in adipocytes. Pathway analyses implicated adipogenesis, angiogenesis, transcriptional regulation and insulin resistance as processes affecting fat distribution, providing insight into potential pathophysiological mechanisms

Management of patients with advanced prostate cancer. Part I: intermediate-/high-risk and locally advanced disease, biochemical relapse, and side effects of hormonal treatment: report of the advanced prostate cancer consensus conference 2022

Background: Innovations in imaging and molecular characterisation and the evolution of new therapies have improved outcomes in advanced prostate cancer. Nonetheless, we continue to lack high-level evidence on a variety of clinical topics that greatly impact daily practice. To supplement evidence-based guidelines, the 2022 Advanced Prostate Cancer Consensus Conference (APCCC 2022) surveyed experts about key dilemmas in clinical management. Objective: To present consensus voting results for select questions from APCCC 2022. Design, setting, and participants: Before the conference, a panel of 117 international prostate cancer experts used a modified Delphi process to develop 198 multiple-choice consensus questions on (1) intermediate- and high-risk and locally advanced prostate cancer, (2) biochemical recurrence after local treatment, (3) side effects from hormonal therapies, (4) metastatic hormone-sensitive prostate cancer, (5) nonmetastatic castration-resistant prostate cancer, (6) metastatic castration-resistant prostate cancer, and (7) oligometastatic and oligoprogressive prostate cancer. Before the conference, these questions were administered via a web-based survey to the 105 physician panel members (“panellists”) who directly engage in prostate cancer treatment decision-making. Herein, we present results for the 82 questions on topics 1–3. Outcome measurements and statistical analysis: Consensus was defined as ≥75% agreement, with strong consensus defined as ≥90% agreement. Results and limitations: The voting results reveal varying degrees of consensus, as is discussed in this article and shown in the detailed results in the Supplementary material. The findings reflect the opinions of an international panel of experts and did not incorporate a formal literature review and meta-analysis. Conclusions: These voting results by a panel of international experts in advanced prostate cancer can help physicians and patients navigate controversial areas of clinical management for which high-level evidence is scant or conflicting. The findings can also help funders and policymakers prioritise areas for future research. Diagnostic and treatment decisions should always be individualised based on patient and cancer characteristics (disease extent and location, treatment history, comorbidities, and patient preferences) and should incorporate current and emerging clinical evidence, therapeutic guidelines, and logistic and economic factors. Enrolment in clinical trials is always strongly encouraged. Importantly, APCCC 2022 once again identified important gaps (areas of nonconsensus) that merit evaluation in specifically designed trials. Patient summary: The Advanced Prostate Cancer Consensus Conference (APCCC) provides a forum to discuss and debate current diagnostic and treatment options for patients with advanced prostate cancer. The conference aims to share the knowledge of international experts in prostate cancer with health care providers and patients worldwide. At each APCCC, a panel of physician experts vote in response to multiple-choice questions about their clinical opinions and approaches to managing advanced prostate cancer. This report presents voting results for the subset of questions pertaining to intermediate- and high-risk and locally advanced prostate cancer, biochemical relapse after definitive treatment, advanced (next-generation) imaging, and management of side effects caused by hormonal therapies. The results provide a practical guide to help clinicians and patients discuss treatment options as part of shared multidisciplinary decision-making. The findings may be especially useful when there is little or no high-level evidence to guide treatment decisions

Management of Patients with Advanced Prostate Cancer. Part I : Intermediate-/High-risk and Locally Advanced Disease, Biochemical Relapse, and Side Effects of Hormonal Treatment: Report of the Advanced Prostate Cancer Consensus Conference 2022

Background: Innovations in imaging and molecular characterisation and the evolution of new therapies have improved outcomes in advanced prostate cancer. Nonetheless, we continue to lack high-level evidence on a variety of clinical topics that greatly impact daily practice. To supplement evidence-based guidelines, the 2022 Advanced Prostate Cancer Consensus Conference (APCCC 2022) surveyed experts about key dilemmas in clinical management. Objective: To present consensus voting results for select questions from APCCC 2022. Design, setting, and participants: Before the conference, a panel of 117 international prostate cancer experts used a modified Delphi process to develop 198 multiple-choice consensus questions on (1) intermediate- and high-risk and locally advanced prostate cancer, (2) biochemical recurrence after local treatment, (3) side effects from hormonal therapies, (4) metastatic hormone-sensitive prostate cancer, (5) nonmetastatic castration-resistant prostate cancer, (6) metastatic castration-resistant prostate cancer, and (7) oligometastatic and oligoprogressive prostate cancer. Before the conference, these questions were administered via a web-based survey to the 105 physician panel members (“panellists”) who directly engage in prostate cancer treatment decision-making. Herein, we present results for the 82 questions on topics 1–3. Outcome measurements and statistical analysis: Consensus was defined as ≥75% agreement, with strong consensus defined as ≥90% agreement. Results and limitations: The voting results reveal varying degrees of consensus, as is discussed in this article and shown in the detailed results in the Supplementary material. The findings reflect the opinions of an international panel of experts and did not incorporate a formal literature review and meta-analysis. Conclusions: These voting results by a panel of international experts in advanced prostate cancer can help physicians and patients navigate controversial areas of clinical management for which high-level evidence is scant or conflicting. The findings can also help funders and policymakers prioritise areas for future research. Diagnostic and treatment decisions should always be individualised based on patient and cancer characteristics (disease extent and location, treatment history, comorbidities, and patient preferences) and should incorporate current and emerging clinical evidence, therapeutic guidelines, and logistic and economic factors. Enrolment in clinical trials is always strongly encouraged. Importantly, APCCC 2022 once again identified important gaps (areas of nonconsensus) that merit evaluation in specifically designed trials. Patient summary: The Advanced Prostate Cancer Consensus Conference (APCCC) provides a forum to discuss and debate current diagnostic and treatment options for patients with advanced prostate cancer. The conference aims to share the knowledge of international experts in prostate cancer with health care providers and patients worldwide. At each APCCC, a panel of physician experts vote in response to multiple-choice questions about their clinical opinions and approaches to managing advanced prostate cancer. This report presents voting results for the subset of questions pertaining to intermediate- and high-risk and locally advanced prostate cancer, biochemical relapse after definitive treatment, advanced (next-generation) imaging, and management of side effects caused by hormonal therapies. The results provide a practical guide to help clinicians and patients discuss treatment options as part of shared multidisciplinary decision-making. The findings may be especially useful when there is little or no high-level evidence to guide treatment decisions.publishedVersionPeer reviewe