Related papers: Factor endowment -- commodity output relationships…
This paper establishes a link between endowments, patience types, and the parameters of the HARA Bernoulli utility function that ensure equilibrium uniqueness in an economy with two goods and two impatience types with additive separable…
The agent-based Yard-Sale model of wealth inequality is generalized to incorporate exponential economic growth and its distribution. The distribution of economic growth is nonuniform and is determined by the wealth of each agent and a…
The effects of saving and spending patterns on holding time distribution of money are investigated based on the ideal gas-like models. We show the steady-state distribution obeys an exponential law when the saving factor is set uniformly,…
In this paper we analyse the five-factor capital market model of Munk et al.(2004). The model features a Vasicek interest rate model, an equity index with mean-reverting excess return and an index for realized inflation with mean-reverting…
Dworczak et al. (2021) study when certain market structures are optimal in the presence of heterogeneous preferences. A key assumption is that the social planner knows the joint distribution of the value of the good and marginal value of…
Factor model is an appealing and effective analytic tool for high-dimensional time series, with a wide range of applications in economics, finance and statistics. This paper develops two criteria for the determination of the number of…
This paper analyzes single-item continuous-review inventory models with random supplies in which the inventory dynamic between orders is described by a diffusion process, and a long-term average cost criterion is used to evaluate decisions.…
We study the continuous time portfolio optimization model on the market where the mean returns of individual securities or asset categories are linearly dependent on underlying economic factors. We introduce the functional $Q_\gamma$…
In this research, we have empirically investigated the key drivers affecting liquidity in equity markets. We illustrated how theoretical models, such as Kyle's model, of agents' interplay in the financial markets, are aligned with the…
Factor models characterize the joint behavior of large sets of financial assets through a smaller number of underlying drivers. We develop a network-based framework in which factors emerge naturally from the structure of interactions among…
Motivated by practical applications, we explore the constrained multi-period mean-variance portfolio selection problem within a market characterized by a dynamic factor model. This model captures predictability in asset returns driven by…
We consider a conditional factor model for a multivariate portfolio of United States equities in the context of analysing a statistical arbitrage trading strategy. A state space framework underlies the factor model whereby asset returns are…
We develop conditions under which individual choices and Walrasian equilibrium prices and allocations can be exactly inferred from finite market data. First, we consider market data that consist of individual demands as prices and incomes…
The accurate specification of the number of factors is critical to the validity of factor models and the topic almost occupies the central position in factor analysis. Plenty of estimators are available under the restrictive condition that…
Ranking systems produce ordered lists from scalar scores, yet the ranking itself depends only on pairwise comparisons. We develop a mathematical theory that takes this observation seriously, centering the analysis on pairwise margins rather…
We study the optimal investment and proportional reinsurance problem of an insurance company, whose investment preferences are described via a forward dynamic utility of exponential type in a stochastic factor model allowing for a possible…
The interactions between solute atoms and crystalline defects such as vacancies, dislocations, and grain boundaries play an essential role in determining physical, chemical and mechanical properties of solid-solution alloys. Here we present…
Factorial designs are widely used due to their ability to accommodate multiple factors simultaneously. The factor-based regression with main effects and some interactions is the dominant strategy for downstream data analysis, delivering…
A point process model for order flows in limit order books is proposed, in which the conditional intensity is the product of a Hawkes component and a state-dependent factor. In the LOB context, state observations may include the observed…
We consider (robust) inference in the context of a factor model for tensor-valued sequences. We study the consistency of the estimated common factors and loadings space when using estimators based on minimising quadratic loss functions.…