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We propose a formal expansion of the transfer entropy to put in evidence irreducible sets of variables which provide information for the future state of each assigned target. Multiplets characterized by a large contribution to the expansion…
Synchronising a database of stock specific news with 5 years worth of order book data on 300 stocks, we show that abnormal price movements following news releases (exogenous) exhibit markedly different dynamical features from those arising…
To capture the systemic complexity of international financial systems, network data is an important prerequisite. However, dyadic data is often not available, raising the need for methods that allow for reconstructing networks based on…
A novel approach to quantile estimation in multivariate linear regression models with change-points is proposed: the change-point detection and the model estimation are both performed automatically, by adopting either the quantile fused…
This paper studies identification of the effect of a mis-classified, binary, endogenous regressor when a discrete-valued instrumental variable is available. We begin by showing that the only existing point identification result for this…
This papers aims to establish the empirical relationship between income, net wealth and their joint distribution in a selected group of euro area countries. I estimate measures of dependence between income and net wealth using a…
Exchangeability -- in which the distribution of an infinite sequence is invariant to reorderings of its elements -- implies the existence of a simple conditional independence structure that may be leveraged in the design of statistical…
Discrete analogs of the index transforms, involving Bessel and the modified Bessel functions are introduced and investigated. The corresponding inversion theorems for suitable classes of functions and sequences are established.
We present a minimal agent-based model of interacting agents characterized by their wealth to study taxation and inequality in a non-conservative economy. Wealth evolves through an extremal stochastic replacement process in which the…
In this paper we consider a scenario where there are several algorithms for solving a given problem. Each algorithm is associated with a probability of success and a cost, and there is also a penalty for failing to solve the problem. The…
The implication problem for the class of embedded dependencies is undecidable. However, this does not imply lackness of a proof procedure as exemplified by the chase algorithm. In this paper we present a complete axiomatization of embedded…
We propose a class of numerical schemes for nonlocal HJB variational inequalities (HJBVIs) with monotone drivers. The solution and free boundary of the HJBVI are constructed from a sequence of penalized equations, for which a continuous…
Personal income distributions in Japan are analyzed empirically and a simple stochastic model of the income process is proposed. Based on empirical facts, we propose a minimal two-factor model. Our model of personal income consists of an…
An explicit algorithm for the minimization of an $\ell_1$ penalized least squares functional, with non-separable $\ell_1$ term, is proposed. Each step in the iterative algorithm requires four matrix vector multiplications and a single…
Our computational economic analysis investigates the relationship between inequality, mobility and the financial accumulation process. Extending the baseline model by Levy et al., we characterise the economic process through stylised return…
This paper focuses on stochastic optimal control problems with constraints in law, which are rewritten as optimization (minimization) of probability measures problem on the canonical space. We introduce a penalized version of this type of…
In this article, model selection via penalized empirical loss minimization in nonparametric classification problems is studied. Data-dependent penalties are constructed, which are based on estimates of the complexity of a small subclass of…
This paper combines traditional panel econometrics with random forest machine learning to revisit the relationship between exchange rate regimes and economic growth for 27 transition economies over 1991-2019. Exploiting the Couharde-Grekou…
We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders,…
We investigate critical behaviors of a social contagion model on weighted networks. An edge-weight compartmental approach is applied to analyze the weighted social contagion on strongly heterogenous networks with skewed degree and weight…