Related papers: Efficiency and credit ratings: a permutation-infor…
Since the 1960s, the question whether markets are efficient or not is controversially discussed. One reason for the difficulty to overcome the controversy is the lack of a universal, but also precise, quantitative definition of efficiency…
Credit scores are critical for allocating consumer debt in the United States, yet little evidence is available on their performance. We benchmark a widely used credit score against a machine learning model of consumer default and find…
Equity premium, the surplus returns of stocks over bonds, has been an enduring puzzle. While numerous prior works approach the problem assuming the utility of money is invariant across contexts, our approach implies that in efficient…
A central challenge in financial economics is understanding how credit networks form under informational noise. We introduce the concept of topological capital, arguing that banks increasingly rely on topological certification, interpreting…
The banking industry is very important for an economic cycle of each country and provides some quality of services for us. With the advancement in technology and rapidly increasing of the complexity of the business environment, it has…
The information ratio offers an approach to assessing the efficacy with which an agent balances between exploration and exploitation. Originally, this was defined to be the ratio between squared expected regret and the mutual information…
We analyze the market efficiency of 25 commodity futures across various groups -- metals, energies, softs, grains and other agricultural commodities. To do so, we utilize recently proposed Efficiency Index to find that the most efficient of…
Using data from a large laboratory experiment on problem solving in which we varied the structure of 16-person networks we investigate how an organization's network structure may be constructed to optimize performance in complex…
Recently the interest of researchers has shifted from the analysis of synchronous relationships of financial instruments to the analysis of more meaningful asynchronous relationships. Both of those analyses are concentrated only on…
The information diffusion prediction on social networks aims to predict future recipients of a message, with practical applications in marketing and social media. While different prediction models all claim to perform well, general…
Recent years have witnessed the rapid advancements of large language models (LLMs) and their expanding applications, leading to soaring demands for computational resources. The widespread adoption of test-time scaling further intensifies…
We build a 167-indicator comprehensive credit risk indicator set, integrating macro, corporate financial, bond-specific indicators, and for the first time, 30 large-scale corporate non-financial indicators. We use seven machine learning…
This work explores the characteristics of financial contagion in networks whose links distributions approaches a power law, using a model that defines banks balance sheets from information of network connectivity. By varying the parameters…
Collective behaviours are frequently observed to self-organise to criticality. Existing proposals to explain these phenomena are fragmented across disciplines and only partially answer the question. This primer compares the underlying,…
Although various citation-based indicators are commonly used to help research evaluations, there are ongoing controversies about their value. In response, they are often correlated with quality ratings or with other quantitative indicators…
We study a simple model of an asset market with informed and non-informed agents. In the absence of non-informed agents, the market becomes information efficient when the number of traders with different private information is large enough.…
This study explores the relationship between R&D intensity, as a measure of innovation, and financial performance among S&P 500 companies over 100 quarters from 1998 to 2023, including multiple crisis periods. It challenges the conventional…
In the area of credit risk analytics, current Bankruptcy Prediction Models (BPMs) struggle with (a) the availability of comprehensive and real-world data sets and (b) the presence of extreme class imbalance in the data (i.e., very few…
This paper investigates the evolution of self-referentiality and knowledge flows in economics journals before and after the 2008 financial crisis. Using a multi-level approach, we analyze patterns at the discipline, cluster, and journal…
This paper proposes a theoretical framework which models the information provided by retrieval systems in terms of Information Theory. The proposed framework allows to formalize: (i) system effectiveness as an information theoretic…