Related papers: The Rank Effect for Commodities
We reverse-engineer the equilibrium construction process of asset prices in order to obtain returns which depend on firm characteristics, possibly in a linear fashion. One key requirement is that agents must have demands that rely…
This paper investigates the so-called leakage effect of trading strategies generated functionally from rank-dependent portfolio generating functions. This effect measures the loss in wealth of trading strategies due to renewing the…
We study decades-long historic distributions of accumulated S\&P500 returns, from daily returns to those over several weeks. The time series of the returns emphasize major upheavals in the markets -- Black Monday, Tech Bubble, Financial…
This paper derives the expressions of correlations between prices of two assets, returns of two assets, and price-return correlations of two assets that depend on statistical moments and correlations of the current values, past values, and…
We study the optimal pricing strategy of a monopolist selling homogeneous goods to customers over multiple periods. The customers choose their time of purchase to maximize their payoff that depends on their valuation of the product, the…
Information retrieval systems, such as online marketplaces, news feeds, and search engines, are ubiquitous in today's digital society. They facilitate information discovery by ranking retrieved items on predicted relevance, i.e. likelihood…
Most recent research in network revenue management incorporates choice behavior that models the customers' buying logic. These models are consequently more complex to solve, but they return a more robust policy that usually generates better…
In the seminal work [9], several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite the crucial importance of such observables for investment…
Using a proprietary dataset of meta-orders and prediction signals, and assuming a quasi-linear impact model, we deconvolve market impact from past correlated trades and a predictable return component to elicit the temporal dependence of the…
This paper attempts to find a relationship between agents' risk aversion and inequality of incomes. Specifically, a model is proposed for the evolution in time of surplus/deficit distribution, and the long-time distributions are…
Learning an ordering of items based on pairwise comparisons is useful when items are difficult to rate consistently on an absolute scale, for example, when annotators have to make subjective assessments. When exhaustive comparison is…
The available liquidity at any time in financial markets falls largely short of the typical size of the orders that institutional investors would trade. In order to reduce the impact on prices due to the execution of large orders, traders…
In-degree, PageRank, number of visits and other measures of Web page popularity significantly influence the ranking of search results by modern search engines. The assumption is that popularity is closely correlated with quality, a more…
We study long-run market stability for repeated price competitions between two firms, where consumer demand depends on firms' posted prices and consumers' price expectations called reference prices. Consumers' reference prices vary over…
We provide a new theory for nodewise regression when the residuals from a fitted factor model are used. We apply our results to the analysis of the consistency of Sharpe ratio estimators when there are many assets in a portfolio. We allow…
To reject the Efficient Market Hypothesis a set of 5 technical indicators and 23 fundamental indicators was identified to establish the possibility of generating excess returns on the stock market. Leveraging these data points and various…
When designing product rankings, online retailers and platforms choose which outcome to maximize: revenues from commissions or markups, the number of transactions, or consumer welfare. These objectives need not align, creating potential…
The paper reviews some axioms of additivity concerning ranking methods used for generalized tournaments with possible missing values and multiple comparisons. It is shown that one of the most natural properties, called consistency, has…
An increase in the novelty of news predicts negative stock market returns and negative macroeconomic outcomes over the next year. We quantify news novelty - changes in the distribution of news text - through an entropy measure, calculated…
Rankings are the primary interface through which many online platforms match users to items (e.g. news, products, music, video). In these two-sided markets, not only the users draw utility from the rankings, but the rankings also determine…