Related papers: The Rank Effect for Commodities
This paper addresses the problem of testing for persistence in the effects of the shocks affecting the prices of renewable commodities, which have potential implications on stabilization policies and economic forecasting, among other areas.…
Observations indicate that the distributions of stock returns in financial markets usually do not conform to normal distributions, but rather exhibit characteristics of high peaks, fat tails and biases. In this work, we assume that the…
Using an artificial neural network (ANN), a fixed universe of approximately 1500 equities from the Value Line index are rank-ordered by their predicted price changes over the next quarter. Inputs to the network consist only of the ten prior…
We introduce a simple and tractable methodology for estimating semiparametric conditional latent factor models. Our approach disentangles the roles of characteristics in capturing factor betas of asset returns from ``alpha.'' We construct…
We study the effects of academic rank using data on the entire population of children enrolled in primary schools in Aberdeen, Scotland, in 1962. Exploiting quasi-random variation in peer group composition, we estimate the causal impact of…
We consider in this paper the multivariate regression problem, when the target regression matrix $A$ is close to a low rank matrix. Our primary interest in on the practical case where the variance of the noise is unknown. Our main…
An asset pricing model using long-run capital share growth risk has recently been found to successfully explain U.S. stock returns. Our paper adopts a recursive preference utility framework to derive an heterogeneous asset pricing model…
The Efficient Market Hypothesis has been a staple of economics research for decades. In particular, weak-form market efficiency -- the notion that past prices cannot predict future performance -- is strongly supported by econometric…
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…
We consider sequential or active ranking of a set of n items based on noisy pairwise comparisons. Items are ranked according to the probability that a given item beats a randomly chosen item, and ranking refers to partitioning the items…
This paper studies nonparametric identification and counterfactual bounds for heterogeneous firms that can be ranked in terms of productivity. Our approach works when quantities and prices are latent, rendering standard approaches…
Rank-rank regression is commonly employed in economic research as a way of capturing the relationship between two economic variables. The slope of this regression is the Spearman rank correlation, a classical measure of association.…
A market portfolio is a portfolio in which each asset is held at a weight proportional to its market value. Functionally generated portfolios are portfolios for which the logarithmic return relative to the market portfolio can be decomposed…
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…
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…
Estimating consumer preferences is central to many problems in economics and marketing. This paper develops a flexible framework for learning individual preferences from partial ranking information by interpreting observed rankings as…
We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…
We analyze and quantify, in a financial market with parameter uncertainty and for a Constant Relative Risk Aversion investor, the utility effects of two different boundedly rational (i.e., sub-optimal) investment strategies (namely, myopic…
A novel lower bound is introduced for the full rank probability of random finite field matrices, where a number of elements with known location are identically zero, and remaining elements are chosen independently of each other, uniformly…
We use rank correlations as distance functions to establish the interconnectivity between stock returns, building weighted signed networks for the stocks of seven European countries, the US and Japan. We establish the theoretical…