Related papers: Permanent market impact can be nonlinear
In causal inference, interference occurs when the treatment of one unit may affect the outcomes of other units. The goal of this work is to serve as a guide to the use of linear outcome modeling for estimating causal effects in settings…
We achieve two primary goals in this work. First, we propose a flexible algorithm that can simulate various scenarios of state/government intervention. Secondly, we analyze the scenario exhibiting the critical behavior of the market of…
This paper introduces a unified framework for stable matching, which nests the traditional definition of stable matching in finite markets and the continuum definition of stable matching from Azevedo and Leshno (2016) as special cases.…
The analysis of large experimental datasets frequently reveals significant interactions that are difficult to interpret within the theoretical framework guiding the research. Some of these interactions actually arise from the presence of…
In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium…
In this paper we study two types of means of the entries of a nonnegative matrix: the \emph{permanental mean}, which is defined using permanents, and the \emph{scaling mean}, which is defined in terms of an optimization problem. We explore…
A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…
Stock prices are observed to be random walks in time despite a strong, long term memory in the signs of trades (buys or sells). Lillo and Farmer have recently suggested that these correlations are compensated by opposite long ranged…
I study peer effects that arise from irreversible decisions in the absence of a standard social equilibrium. I model a latent sequence of decisions in continuous time and obtain a closed-form expression for the likelihood, which allows to…
This study proposes the concept of disruptive firms: they are firms with market leadership that deliberate introduce new and improved generations of durable goods that destroy, directly or indirectly, similar products present in markets in…
One fundamental statistical question for research areas such as precision medicine and health disparity is about discovering effect modification of treatment or exposure by observed covariates. We propose a semiparametric framework for…
Predicting scalar outcomes using functional predictors is a classic problem in functional data analysis. In many applications, however, only specific locations or time-points of the functional predictors have an impact on the outcome. Such…
In this article we propose a study of market models starting from a set of axioms, as one does in the case of risk measures. We define a market model simply as a mapping from the set of adapted strategies to the set of random variables…
It is suggested to consider long term trends of financial markets as a growth phenomenon. The question that is asked is what conditions are needed for a long term sustainable growth or contraction in a financial market? The paper discuss…
Experimental results on market behavior establish a lower stability and efficiency of markets for durable re-tradable assets compared to markets for non-durable, or perishable, goods. In this chapter, we revisit this known but…
Many financial and economic variables, including financial returns, exhibit nonlinear dependence, heterogeneity and heavy-tailedness. These properties may make problematic the analysis of (non-)efficiency and volatility clustering in…
An empirical study of joint bivariate probability distribution of two consecutive price increments for a set of stocks at time scales ranging from one minute to thirty minutes reveals asymmetric structures with respect to the axes y=0, y=x,…
This paper deals with a fundamental subject that has seldom been addressed in recent years, that of market impact in the options market. Our analysis is based on a proprietary database of metaorders-large orders that are split into smaller…
We employ a 2x3 factorial experiment to study two central factors in the design of prediction markets (PMs) for idea evaluation: the overall design of the PM, and the elasticity of market prices set by a market maker. The results show that…
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…