Related papers: The Multivariate Kyle model: More is different

We propose a continuous-time model of trading with heterogeneous beliefs. Risk-neutral agents face quadratic costs-of-carry on positions and thus their marginal valuations decrease with the size of their position, as it would be the case…

The paper treats the financial market as a communication system, using four information-theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model minimizes the…

This paper studies repeated games where two players play multiple duopolistic games simultaneously (multimarket contact). A key assumption is that each player receives a noisy and private signal about the other's actions (private monitoring…

When investors have heterogeneous attitudes towards risk, it is reasonable to assume that each investor has a pricing kernel, and that these individual pricing kernels are aggregated to form a market pricing kernel. The various investors…

A commonly used approach to study stability in a complex system is by analyzing the Jacobian matrix at an equilibrium point of a dynamical system. The equilibrium point is stable if all eigenvalues have negative real parts. Here, by…

We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks…

We propose a unified methodology to input non-linear views from any number of users in fully general non-normal markets, and perform, among others, stress-testing, scenario analysis, and ranking allocation. We walk the reader through the…

Matching markets are of particular interest in computer science and economics literature as they are often used to model real-world phenomena where we aim to equitably distribute a limited amount of resources to multiple agents and…

Calibration strengthens the trustworthiness of black-box models by producing better accurate confidence estimates on given examples. However, little is known about if model explanations can help confidence calibration. Intuitively, humans…

We study a class of heterogeneous agent-based models which are based on a basic set of principles, and the most fundamental operations of an economic system: trade and product transformations. A basic guiding principle is scale invariance,…

Recent studies have revealed a number of striking dependence patterns in high frequency stock price dynamics characterizing probabilistic interrelation between two consequent price increments x (push) and y (response) as described by the…

The best empirical research in political science clearly defines substantive parameters of interest, presents a set of assumptions that guarantee its identification, and uses an appropriate estimator. We argue for the importance of…

Most supervised machine learning tasks are subject to irreducible prediction errors. Probabilistic predictive models address this limitation by providing probability distributions that represent a belief over plausible targets, rather than…

Kyle model in continuous time where the insider may be subject to legal penalties is considered. In equilibrium the insider internalises this legal risk by trading less aggressively. The equilibrium is characterised via the solution of a…

This paper tackles the challenge of performing multiple quantile regressions across different quantile levels and the associated problem of controlling the familywise error rate, an issue that is generally overlooked in practice. We propose…

When studying the association between treatment and a clinical outcome, a parametric multivariable model of the conditional outcome expectation is often used to adjust for covariates. The treatment coefficient of the outcome model targets a…

We examine how monetary shocks spread throughout an economic model characterized by sticky prices and general equilibrium, where the pricing strategies of firms are interlinked, fostering a mutually beneficial relationship. In this dynamic…

Estimation of covariance matrices or their inverses plays a central role in many statistical methods. For these methods to work reliably, estimated matrices must not only be invertible but also well-conditioned. In this paper we present an…

We develop a class of multivariate ordered discrete response models featuring general rectangular structures, which allow for functionally interdependent thresholds across dimensions, extending beyond traditional (lattice) models that…

We study a monetary version of the Keen model by merging two alternative extensions, namely the addition of a dynamic price level and the introduction of speculation. We recall and study old and new equilibria, together with their local…