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Since governments give stimulus to firms and expect the spillover effect by fiscal policies, it is important to know the effectiveness that they can control the economy. To clarify the controllability of the economy, we investigate a firm…
The concept of capacity value is widely used to quantify the contribution of additional generation (most notably renewables) within generation adequacy assessments. This paper surveys the existing probability theory of assessment of the…
We introduce a simple but powerful technique to study processes driven by two or more reinforcement mechanisms in competition. We apply our method to two types of models: to non conservative zero range processes on finite graphs, and to…
We test the international applicability of Friedman s famous plucking theory of the business cycle in 12 advanced economies between 1970 and 2021. We find that in countries where labour markets are flexible (Australia, Canada, United…
We are concerned with optimal control strategies subject to uncertain demands. An Ornstein-Uhlenbeck process describes the uncertain demand. The transport within the supply system is modeled by the linear advection equation. We consider…
Pump-probe experiments have turned out as a powerful tool in order to study the dynamics of competing orders in a large variety of materials. The corresponding analysis of the data often relies on standard linear-response theory generalized…
We study matching markets with ties, where workers on one side of the market may have tied preferences over jobs, determined by their matching utilities. Unlike classical two-sided markets with strict preferences, no single stable matching…
In this paper, we assume an insure is allowed to purchase proportional reinsurance and can invest his or her wealth into the financial market where a savings account, stocks and bonds are available. Different from classical optimal…
A rich theoretical and empirical literature investigated the link between export diversification and firm performance. Prior theoretical works hinted at the key role of capability accumulation in shaping production activities and…
This paper critically reviews the research on the impact of immigration on employment and wages of natives in wealthy countries--where "natives" includes previous immigrants and their descendants. While written for a non-technical audience,…
We consider an equity-linked contract whose payoff depends on the lifetime of policy holder and the stock price. We assume the limited capital for hedging and we provide with the best strategy for an insurance company in the meaning of so…
We analyze export data aggregated at world global level of 219 classes of products over a period of 39 years. Our main goal is to set up a dynamical model to identify and quantify plausible mechanisms by which the evolutions of the various…
We study an evolution cross-diffusion problem with mutualistic Lotka-Volterra reaction term to modelize the long-term spatial distribution of labor and capital. The mutualistic behavior is deduced from the gradient flow associated to…
In this contribution, we exploit machine learning techniques to evaluate whether and how close firms are to becoming successful exporters. First, we train and test various algorithms using financial information on both exporters and…
Much of the analysis of economic growth has focused on the study of aggregate output. Here, we deviate from this tradition and look instead at the structure of output embodied in the network connecting countries to the products that they…
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…
In this paper, we define probabilistic measures for venture portfolio performance based on individual outlier probability for each investment and the dependence across investments. This work is inspired by loan portfolio modeling against…
Heckman selection model is the most popular econometric model in analysis of data with sample selection. However, selection models with Normal errors cannot accommodate heavy tails in the error distribution. Recently, Marchenko and Genton…
Despite the fact that the Euler allocation principle has been adopted by many financial institutions for their internal capital allocation process, a comprehensive description of Euler allocation seems still to be missing. We try to fill…
We introduce a Cox-type model for relative intensities of orders flows in a limit order book. The model assumes that all intensities share a common baseline intensity, which may for example represent the global market activity. Parameters…