Related papers: Note on tax enforcement and transfer pricing manip…
We review recent developments in detecting and estimating multiple change-points in time series models with exogenous and endogenous regressors, panel data models, and factor models. This review differs from others in multiple ways: (1) it…
This paper presents a computational evolutionary game model to study and understand fraud dynamics in the consumption tax system. Players are cooperators if they correctly declare their value added tax (VAT), and are defectors otherwise.…
Many offline unsupervised change point detection algorithms rely on minimizing a penalized sum of segment-wise costs. We extend this framework by proposing to minimize a sum of discrepancies between segments. In particular, we propose to…
A computational technique borrowed from the physical sciences is introduced to obtain accurate closed-form approximations for the transition probability of arbitrary diffusion processes. Within the path integral framework the same technique…
We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small…
In this work we use an inelastic scattering process of particles to propose a model able to reproduce the salient features of the wealth distribution in an economy by including taxes to each trading process and redistributing that collected…
We consider a one-period Kyle (1985) framework where the insider can be subject to a penalty if she trades. We establish existence and uniqueness of equilibrium for virtually any penalty function when noise is uniform. In equilibrium, the…
A convex penalty for promoting switching controls for partial differential equations is introduced; such controls consist of an arbitrary number of components of which at most one should be simultaneously active. Using a Moreau-Yosida…
The purpose of the present paper is the analysis of a model describing how herd behaviour and self-fulfilling prophecies can influence currency exchange rates, and what the impact of a currency transaction tax would be. These considerations…
A new family of penalty functions, adaptive to likelihood, is introduced for model selection in general regression models. It arises naturally through assuming certain types of prior distribution on the regression parameters. To study…
In this work we study a dynamics of tax evasion. We considered a fully-connected population divided in three compartments, namely honest tax payers, tax evaders and susceptibles, a class that is composed by honest tax payers that can become…
We study an American option pricing problem with liquidity risks and transaction fees. As endogenous transaction costs, liquidity risks of the underlying asset are modeled by a mean-reverting process. Transaction fees are exogenous…
The quantitative analysis of financial time series often reveals two distinct features that standard Gaussian frameworks fail to capture: heavy-tailed marginal distributions and the phenomenon of extreme co-movements.While extreme value…
The introduction of leverage on prediction-market event contracts raises three structurally distinct questions that have not been addressed jointly: how leverage changes manipulation incentives, how it interacts with informed-trading rents,…
The extropy is a measure of information introduced by Lad et al. (2015) as dual to entropy. As the entropy, it is a shift-independent information measure. We introduce here the notion of weighted extropy, a shift-dependent information…
We investigate the effect of tax evasion on the income distribution and the inequality index of a society through a kinetic model described by a set of nonlinear ordinary differential equations. The model allows to compute the global…
Earnings calls influence stock prices and are traditionally analyzed using sentiment and linguistic traces. Our research introduces a "Topic-Switching Index," a novel metric quantified through the transformer model FinBERT, to measure…
We consider a game-theoretic model where individuals compete over a shared failure-prone system or resource. We investigate the effectiveness of a taxation mechanism in controlling the utilization of the resource at the Nash equilibrium…
In contemporary society, the effective utilization of public resources remains a subject of significant concern. A common issue arises from defectors seeking to obtain an excessive share of these resources for personal gain, potentially…
The aim of this study is to contribute to the theory of exogenous economic shocks and their equivalents in an attempt to explain business cycle fluctuations, which still do not have a clear explanation. To this end the author has developed…