Related papers: The Rank Effect for Commodities
The ranking problem is to order a collection of units by some unobserved parameter, based on observations from the associated distribution. This problem arises naturally in a number of contexts, such as business, where we may want to rank…
We investigate the rank of random (symmetric) sparse matrices. Our main finding is that with high probability, any dependency that occurs in such a matrix is formed by a set of few rows that contains an overwhelming number of zeros. This…
By studying all the trades and best bids/asks of ultra high frequency snapshots recorded from the order books of a basket of 10 futures assets, we bring qualitative empirical evidence that the impact of a single trade depends on the…
Detecting anomalies in large sets of observations is crucial in various applications, such as epidemiological studies, gene expression studies, and systems monitoring. We consider settings where the units of interest result in multiple…
In domains like bioinformatics, information retrieval and social network analysis, one can find learning tasks where the goal consists of inferring a ranking of objects, conditioned on a particular target object. We present a general kernel…
We present a unified framework for low-rank matrix estimation with nonconvex penalties. We first prove that the proposed estimator attains a faster statistical rate than the traditional low-rank matrix estimator with nuclear norm penalty.…
Empirical evidence shows that wealthy households have substantially higher saving rates and markedly lower marginal propensity to consume (MPC) than other groups. Existing theory cannot account for this pattern unless under restrictive…
Proportionality is an attractive fairness concept that has been applied to a range of problems including the facility location problem, a classic problem in social choice. In our work, we propose a concept called Strong Proportionality,…
We explore the effect of past market movements on the instantaneous correlations between assets within the futures market. Quantifying this effect is of interest to estimate and manage the risk associated to portfolios of futures in a…
We maximize the expected utility from terminal wealth for an HARA investor when the market price of risk is an unobservable random variable. We compute the optimal portfolio explicitly and explore the effects of learning by comparing it…
Counterfactual inference aims to estimate the counterfactual outcome at the individual level given knowledge of an observed treatment and the factual outcome, with broad applications in fields such as epidemiology, econometrics, and…
Ranking and comparing items is crucial for collecting information about preferences in many areas, from marketing to politics. The Mallows rank model is among the most successful approaches to analyse rank data, but its computational…
In the framework of stochastic portfolio theory we introduce rank volatility stabilized models for large equity markets over long time horizons. These models are rank-based extensions of the volatility stabilized models introduced by…
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…
In this paper we analyzed dependencies in commodity markets investigating correlations of future contracts for commodities over the period 1998.09.01 - 2007.12.14. We constructed a minimal spanning tree based on the correlation matrix. The…
We study a panel data model with general heterogeneous effects where slopes are allowed to vary across both individuals and over time. The key dimension reduction assumption we employ is that the heterogeneous slopes can be expressed as…
How much has market power increased in the United States in the last fifty years? And how did the rise in market power affect aggregate profits? Using micro-level data from U.S. Compustat, we find that several indicators of market power…
Empirical evidence suggests that the rich have higher propensity to save than do the poor. While this observation may appear to contradict the homotheticity of preferences, we theoretically show that that is not the case. Specifically, we…
How and why stock prices move is a centuries-old question still not answered conclusively. More recently, attention shifted to higher frequencies, where trades are processed piecewise across different timescales. Here we reveal that price…
We propose a quantile random-coefficient regression with interactive fixed effects to study the effects of group-level policies that are heterogeneous across individuals. Our approach is the first to use a latent factor structure to handle…