Related papers: The Rank Effect for Commodities
We find that the CAPM fails to explain the small firm effect even if its non-parametric form is used which allows time-varying risk and non-linearity in the pricing function. Furthermore, the linearity of the CAPM can be rejected, thus the…
We introduce predictable relative forward performance processes (PRFPP) as a new framework for studying portfolio management within a competitive and incomplete market environment. Each agent trades a distinct stock following a binomial…
There are clear benefits associated with a particular consumer choice for many current markets. For example, as we consider here, some products might carry environmental or `green' benefits. Some consumers might value these benefits while…
Economic institutions often influence market outcomes not by directly controlling sellers' menus, but by shaping the market composition sellers face. We study the welfare effects of this upstream choice in a monopoly screening model. An…
We review the "production approach" to estimating markups, the ratio of price to marginal cost. The approach is uniquely scalable: it requires no model of consumer demand or market structure and applies broadly across firms, industries, and…
We find a novel correlation structure in the residual noise of stock market returns that is remarkably linked to the composition and stability of the top few significant factors driving the returns, and moreover indicates that the noise…
In commodity markets the convergence of futures towards spot prices, at the expiration of the contract, is usually justified by no-arbitrage arguments. In this article, we propose an alternative approach that relies on the expected profit…
The leverage effect-- the correlation between an asset's return and its volatility-- has played a key role in forecasting and understanding volatility and risk. While it is a long standing consensus that leverage effects exist and improve…
This paper considers the problem of inference after ranking. In our setting, we are interested in any population whose rank according to some random quantity, such as an estimated treatment effect, a measure of value-added, or benefit (net…
This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model for Returns. By exploring the fact that volatility crosses all quantiles of the return distribution and using penalized…
Given an incomplete ratings data over a set of users and items, the preference completion problem aims to estimate a personalized total preference order over a subset of the items. In practical settings, a ranked list of top-$k$ items from…
We consider the problem of rank loss minimization in the setting of multilabel classification, which is usually tackled by means of convex surrogate losses defined on pairs of labels. Very recently, this approach was put into question by a…
This paper examines the effect of ownership concentration on product position, product variety and readership in markets for daily newspapers. US antitrust policy presumes that mergers reduce the amount and diversity of content available to…
The paper shows that ranking information units by quantum probability differs from ranking them by classical probability provided the same data used for parameter estimation. As probability of detection (also known as recall or power) and…
The production histories of seventeen raw materials are analyzed with the logistic model. Although many of these resources have exhibited logistic behavior in the past, they now show exponential or super-exponential growth. In most cases,…
In social network markets, the act of consumer choice in these industries is governed not just by the set of incentives described by conventional consumer demand theory, but by the choices of others in which an individual's payoff is an…
We review recent progress in modeling credit risk for correlated assets. We start from the Merton model which default events and losses are derived from the asset values at maturity. To estimate the time development of the asset values, the…
This paper proposes a method for estimating consumer preferences among discrete choices, where the consumer chooses at most one product in a category, but selects from multiple categories in parallel. The consumer's utility is additive in…
We consider the problem of active coarse ranking, where the goal is to sort items according to their means into clusters of pre-specified sizes, by adaptively sampling from their reward distributions. This setting is useful in many social…
For centuries, national economies created wealth by engaging in international trade and production. The resulting international supply networks not only increase wealth for countries, but also create systemic risk: economic shocks,…