Related papers: Factor endowment -- commodity output relationships…
We analyze actively managed mutual funds in China from 2005 to 2017. We develop performance measures for asset allocation and selection. We find that stock selection ability from holding-based model is positively correlated with selection…
This study investigates whether international equity markets systematically price global macroeconomic risks. The empirical analysis is conducted using monthly excess returns for ten G20 countries over the period 2000-2024. A Dynamic Factor…
Kinetic exchange models have been successful in explaining the shape of the income/wealth distribution in the economies. However, such models usually make some ad-hoc assumptions when it comes to determining the savings factor. Here, we…
Factor models are a very efficient way to describe high dimensional vectors of data in terms of a small number of common relevant factors. This problem, which is of fundamental importance in many disciplines, is usually reformulated in…
This paper develops estimation and inference methods for conditional quantile factor models. We first introduce a simple sieve estimation, and establish asymptotic properties of the estimators under large $N$. We then provide a bootstrap…
Mining companies to properly manage their operations and be ready to make business decisions, are required to analyze potential scenarios for main market risk factors. The most important risk factors for KGHM, one of the biggest companies…
Modeling interactions between features improves the performance of machine learning solutions in many domains (e.g. recommender systems or sentiment analysis). In this paper, we introduce Exponential Machines (ExM), a predictor that models…
Jones proposed the study of two subfactors of a $II_1$ factor as a quantization of two closed subspaces in a Hilbert space. The Pimsner-Popa probabilistic constant, Sano-Watatani angle, interior and exterior angle, and Connes-St{\o}rmer…
We propose a factor state-space approach with stochastic volatility to model and forecast the term structure of future contracts on commodities. Our approach builds upon the dynamic 3-factor Nelson-Siegel model and its 4-factor Svensson…
Crowding is most likely an important factor in the deterioration of strategy performance, the increase of trading costs and the development of systemic risk. We study the imprints of \emph{crowding} on both anonymous market data and a large…
We propose a general non-linear order book model that is built from the individual behaviours of the agents. Our framework encompasses Markovian and Hawkes based models. Under mild assumptions, we prove original results on the ergodicity…
We consider a sequential decision making process, such as renewable energy trading or electrical production scheduling, whose outcome depends on the future realization of a random factor, such as a meteorological variable. We assume that…
In various data settings, it is necessary to compare observations from disparate data sources. We assume the data is in the dissimilarity representation and investigate a joint embedding method that results in a commensurate representation…
Modeling and characterizing multiple factors is perhaps the most important step in achieving excess returns over market benchmarks. Both academia and industry are striving to find new factors that have good explanatory power for future…
This paper investigates a robust optimal consumption, investment, and reinsurance problem for an insurer with Epstein-Zin recursive preferences operating under model uncertainty. The insurer's surplus follows the diffusion approximation of…
General Equilibrium Theory is the benchmark of economics, especially its results concerning the efficient allocation of resources, known as the First and Second Welfare Theorems. Yet, General Equilibrium Theory is beyond the scope of most…
We prove the existence of a competitive equilibrium in a production economy with infinitely many commodities and a measure space of agents whose preferences are price dependent. We employ a saturated measure space for the set of agents and…
For two matrices $A$ and $B$, and large $n$, we show that most products of $n$ factors of $e^{A/n}$ and $n$ factors of $e^{B/n}$ are close to $e^{A + B}$. This extends the Lie-Trotter formula. The elementary proof is based on the relation…
The exponentially weighted moving average (EMWA) could be labeled as a competitive volatility estimator, where its main strength relies on computation simplicity, especially in a multi-asset scenario, due to dependency only on the decay…
In a recent work \cite{Anderson:2010aq}, Anderson \emph{et al.} used the renormalization group (RG) evolution of the momentum distribution to show that, under appropriate conditions, operator expectation values exhibit factorization in the…