Related papers: Factor endowment--commodity output relationships i…
This paper introduces a novel framework for analysing equilibrium in structured production systems incorporating a static social division of labour by distinguishing between consumption goods traded in competitive markets and intermediate…
Based on experimental data on the newly synthesized iron-based superconductors and the relevant band structure calculations, we propose a minimal two-band BCS-type Hamiltonian with the interband Hubbard interaction included. We illustrate…
We propose a confirmatory dynamic factor model for a large number of stocks whose returns are observed daily across multiple time zones. The model has a global factor and a continental factor that both drive the individual stock return…
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…
We present new precision measurements of the elastic electron-proton scattering cross section for momentum transfer (Q$^2$) up to 15.75~\gevsq. Combined with existing data, these provide an improved extraction of the proton magnetic form…
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…
The initial boundary value problem for a nonlinear system of equations modeling the chevron patterns is studied in one and two spatial dimensions. The existence of an exponential attractor and the stabilization of the zero steady state…
This paper characterises optimal incentive schemes for ESG disclosure in a continuous-time principal-agent setting. We model a risk-averse principal (e.g., a platform or standard-setter) contracting with a team of heterogeneous agents whose…
Factor analysis models explain dependence among observed variables by a smaller number of unobserved factors. A main challenge in confirmatory factor analysis is determining whether the factor loading matrix is identifiable from the…
This paper develops a new model of business cycles. The model is economical in that it is solved with an aggregate demand-aggregate supply diagram, and the effects of shocks and policies are obtained by comparative statics. The model builds…
The public goods game is a broadly used paradigm for studying the evolution of cooperation in structured populations. According to the basic assumption, the interaction graph determines the connections of a player where the focal actor…
Generalized mass-action systems are power-law dynamical systems arising from chemical reaction networks. Essentially, every nonnegative ODE model used in chemistry and biology (for example, in ecology and epidemiology) and even in economics…
Expected Shortfall (ES) is a coherent measure of tail risk that captures the average loss beyond a quantile threshold. Despite the growing literature on ES regression conditional on covariates, no existing work considers ES modeling in…
In this paper, we prove global well-posedness and scattering of the Cauchy problem for the elliptic-elliptic Davey-Stewartson system (eeDS) for initial data $u_{0}\in L^{2}(\mathbb{R}^{2})$ in the defocusing case and for $u_{0}\in…
We study the problem of factor modelling vector- and tensor-valued time series in the presence of heavy tails in the data, which produce extreme observations with non-negligible probability. We propose to combine a two-step procedure for…
We propose a price impact model where changes in prices are purely driven by the order flow in the market. The stochastic price impact of market orders and the arrival rates of limit and market orders are functions of the market liquidity…
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…
Factor analysis is a classical data reduction technique that seeks a potentially lower number of unobserved variables that can account for the correlations among the observed variables. This paper presents an extension of the factor…
We study concentration inequalities for structured weighted sums of random data, including (i) tensor inner products and (ii) sequential matrix sums. We are interested in tail bounds and concentration inequalities for those structured…
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.…