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The fact that the quantum relative entropy is non-increasing with respect to quantum physical evolutions lies at the core of many optimality theorems in quantum information theory and has applications in other areas of physics. In this…
Financial economic models often assume that investors know (or agree on) the fundamental value of the shares of the firm, easing the passage from the individual to the collective dimension of the financial system generated by the Share…
When assets are correlated, benefits of investment diversification are reduced. To measure the influence of correlations on investment performance, a new quantity - the effective portfolio size - is proposed and investigated in both…
We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of…
Market share and quality, or customer satisfaction, go together. Yet inferring one from the other appears difficult. Indeed, such an inference would need detailed information about customer behavior, and might be clouded by modes of…
A special case of Myerson's classic result describes the revenue-optimal equilibrium when a seller offers a single item to a buyer. We study a repeated sales extension of this model: a seller offers to sell a single fresh copy of an item to…
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
An algorithm for Electric Power System (EPS) quantum/relativistic security and efficiency computation for a day-ahead via perturbative renormalization of the EPS, finding the computation flowcharts, verification and validation is built in…
Momentum and mean reversion trading strategies have opposite characteristics. The former is generally better with trending assets, and the latter is generally better with mean reverting assets. Using the Hurst exponent, which classifies…
We revisit and demonstrate the Epps effect using two well-known non-parametric covariance estimators; the Malliavin and Mancino (MM), and Hayashi and Yoshida (HY) estimators. We show the existence of the Epps effect in the top 10 stocks…
The objective of this study is to examine empirically the impact of good corporate governance on financial performance of United Kingdom non-financial listed firms. Agency theory and stewardship theory serve as the bases of a conceptual…
Group-buying auction has become a popular marketing strategy in the last decade. In this paper, a stochastic model is developed for an inventory system subjects to demands from group-buying auctions. The model discussed here takes into the…
The experimental evaluation of many quantum mechanical quantities requires the estimation of several directly measurable observables, such as local observables. Due to the necessity to repeat experiments on individual quantum systems in…
We study paycheck optimization, which examines how to allocate income in order to achieve several competing financial goals. For paycheck optimization, a quantitative methodology is missing, due to a lack of a suitable problem formulation.…
We study the statistics of earning forecasts of US, EU, UK and JP stocks during the period 1987-2004. We confirm, on this large data set, that financial analysts are on average over-optimistic and show a pronounced herding behavior. These…
Recently, most stock exchanges in the U.S. employ maker-taker fees, in which an exchange pays rebates to traders placing orders in the order book and charges fees to traders taking orders from the order book. Maker-taker fees encourage…
The effectiveness of active learning largely depends on the sampling efficiency of the acquisition function. Expected Loss Reduction (ELR) focuses on a Bayesian estimate of the reduction in classification error, and more general costs fit…
We show that public firm profit rates fell by half since 1980. Inferred as the residual from the rise of US corporate profit rates in aggregate data, private firm profit rates doubled since 1980. Public firm financial returns matched their…
The Empirical Revenue Maximization (ERM) is one of the most important price learning algorithms in auction design: as the literature shows it can learn approximately optimal reserve prices for revenue-maximizing auctioneers in both repeated…
Not too long ago, offshoring was considered a panacea for many U.S. companies to achieve economic sustainability. Offshoring also created an unnecessary movement of goods between the point of consumption and the point of sourcing and hence…