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A novel approach to price indices, leading to an innovative solution in both a multi-period or a multilateral framework, is presented. The index turns out to be the generalized least squares solution of a regression model linking values and…
A new branch based on Markov processes is developing in the recent literature of financial time series modeling. In this paper, an Indexed Markov Chain has been used to model high frequency price returns of quoted firms. The peculiarity of…
The importance of considering the volumes to analyze stock prices movements can be considered as a well-accepted practice in the financial area. However, when we look at the scientific production in this field, we still cannot find a…
Data are invaluable. How can we assess the value of data objectively, systematically and quantitatively? Pricing data, or information goods in general, has been studied and practiced in dispersed areas and principles, such as economics,…
This paper uses a new textual data index for predicting stock market data. The index is applied to a large set of news to evaluate the importance of one or more general economic-related keywords appearing in the text. The index assesses the…
There is generally a need to deal with quality change and new goods in the consumer price index due to the underlying dynamic item universe. Traditionally axiomatic tests are defined for a fixed universe. We propose five tests explicitly…
Pricing decisions of companies require an understanding of the causal effect of a price change on the demand. When real-life pricing experiments are infeasible, data-driven decision-making must be based on alternative data sources such as…
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…
Our society has been computerised and globalised due to emergence and spread of information and communication technology (ICT). This enables us to investigate our own socio-economic systems based on large amounts of data on human…
Pricing of high-dimensional options is a deep problem of the Theoretical Financial Mathematics. In this article we present a new class of L\'{e}vy driven models of stock markets. In our opinion, any market model should be based on a…
National policies aimed at fostering the effectiveness of scientific systems should be based on reliable strategic analysis identifying strengths and weaknesses at field level. Approaches and indicators thus far proposed in the literature…
One of the critical issues in national research assessment exercises concerns the choice of whether to evaluate the entire scientific portfolio of the institutions or a subset composed of the best products. Under the second option, the…
The use of outcome control modes of research evaluation exercises is ever more frequent. They are conceived as tools to stimulate increased levels of research productivity, and to guide choices in allocating components of government…
In this paper, we forecast euro area inflation and its main components using an econometric model which exploits a massive number of time series on survey expectations for the European Commission's Business and Consumer Survey. To make…
Understanding tourist visitation patterns is crucial for decision makers in order to create smart tourism industry. A growing body of tourism research uses geo-location data in order to better understand tourism demand. In this paper, we…
Ordinal user-provided ratings across multiple items are frequently encountered in both scientific and commercial applications. Whilst recommender systems are known to do well on these type of data from a predictive point of view, their…
As load varies continuously over time, it is essential to provide continuous-time price signals that accurately reflect supply-demand balance. However, conventional discrete-time economic dispatch fails to capture the intra-temporal…
This paper proposes a novel empirical strategy to measure cultural justifications of domestic violence within households, with direct implications for demographic behavior and gender inequality. Leveraging survey data on individual…
Time or money? That is a question! In this paper, we consider this dilemma in the pricing regime, in which we try to find the optimal pricing scheme for identical items with heterogenous time-sensitive buyers. We characterize the…
Reference prices have long been studied in applied economics and business research. One of the classic formulations of the reference price is in terms of an iterative function of past prices. There are a number of limitations of such a…