Related papers: ConocoPhillips' share price model revisited
The presence of significant cross-correlations between the synchronous time evolution of a pair of equity returns is a well-known empirical fact. The Pearson correlation is commonly used to indicate the level of similarity in the price…
A statistical model for predicting individual house prices and constructing a house price index is proposed utilizing information regarding sale price, time of sale and location (ZIP code). This model is composed of a fixed time effect and…
This article provides a simple explanation of the asymptotic concavity of the price impact of a meta-order via the microstructural properties of the market. This explanation is made more precise by a model in which the local relationship…
The evolution of the rate of price inflation and unemployment in Japan has been modeled within the Phillips curve framework. As an extension to the Phillips curve, we represent both variables as linear functions of the change rate of labor…
Coincident Peak (CP) pricing is widely used in U.S. electricity markets to allocate capacity and transmission costs. This paper develops a behavioral game-theoretic framework for CP-driven load shifting that couples a nonlinear…
Prediction of stock prices plays a significant role in aiding the decision-making of investors. Considering its importance, a growing literature has emerged trying to forecast stock prices with improved accuracy. In this study, we introduce…
The Black-Scholes Option pricing model (BSOPM) has long been in use for valuation of equity options to find the prices of stocks. In this work, using BSOPM, we have come up with a comparative analytical approach and numerical technique to…
Prediction of stock price and stock price movement patterns has always been a critical area of research. While the well-known efficient market hypothesis rules out any possibility of accurate prediction of stock prices, there are formal…
CLIP is one of the most popular foundation models and is heavily used for many vision-language tasks, yet little is known about its inner workings. As CLIP is increasingly deployed in real-world applications, it is becoming even more…
The observational status of inflation after the Planck 2013 and 2015 results and the BICEP2/Keck Array and Planck joint analysis is discussed. These pedagogical lecture notes are intended to serve as a technical guide filling the gap…
Stock price forecasting is an important issue for investors since extreme accuracy in forecasting can bring about high profits. Fuzzy Time Series (FTS) and Longest Common/Repeated Sub-sequence (LCS/LRS) are two important issues for…
We develop a unified microeconomic and monetary theory of artificial intelligence inference costs and their pass-through to inflation, welfare, and optimal monetary policy. We introduce the Inference-Cost Phillips Curve (ICPC), an augmented…
CLIP-style contrastive pretraining typically curates web-scale image-text pairs using sample-level filtering signals, often based on pair-level alignment. We show that this signal saturates: once coarse mismatches are removed, stricter…
We investigate the dynamics of correlations present between pairs of industry indices of US stocks traded in US markets by studying correlation based networks and spectral properties of the correlation matrix. The study is performed by…
In this paper, we describe two approaches to model the behavior of stock prices. The first approach considers the underlying probability distribution of day-to-day price differences. The second approach models the movement of the price as a…
Monetary inflation is a sustained increase in the money supply than can result in price inflation, which is a rise in the general level of prices of goods and services. The objectives of this paper were to develop economic models to (1)…
We present constraints on inflationary dynamics and features in the primordial power spectrum of scalar perturbations using the Cosmic Microwave Background temperature, polarization data from Planck 2018 data release and updated…
In this paper, we are interested in continuous time models in which the index level induces some feedback on the dynamics of its composing stocks. More precisely, we propose a model in which the log-returns of each stock may be decomposed…
This paper highlights the hidden dependence of the basic pricing equation of a multi-period consumption-based asset pricing model on price and payoff autocorrelations. We obtain the approximations of the basic pricing equation that describe…
The relationship between inflation and predictors such as unemployment is potentially nonlinear with a strength that varies over time, and prediction errors error may be subject to large, asymmetric shocks. Inspired by these concerns, we…