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We extend the existing growth-at-risk (GaR) literature by examining a long time period of 130 years in a time-varying parameter regression model. We identify several important insights for policymakers. First, both the level as well as the…
We use recurrent-events survival analysis techniques and methods to analyze the duration of Olympic records. The Kaplan-Meier estimator is used to perform preliminary tests and recurrent event survivor function estimators proposed by Wang &…
The science of cities seeks to understand and explain regularities observed in the world's major urban systems. Modelling the population evolution of cities is at the core of this science and of all urban studies. Quantitatively, the most…
Extreme events, such as rogue waves, earthquakes and stock market crashes, occur spontaneously in many dynamical systems. Because of their usually adverse consequences, quantification, prediction and mitigation of extreme events are highly…
Scaling laws, a defining feature of deep learning, reveal a striking power-law improvement in model performance with increasing dataset and model size. Yet, their mathematical origins, especially the scaling exponent, have remained elusive.…
Strategic behaviour is one of the main explanations for cost overruns. It can theoretically be supported by agency theory, in which strategic behaviour is the result of asymmetric information between the principal and agent. This paper…
This work focuses on the design of taxes in atomic congestion games, a commonly studied model for competitive resource sharing. While most related studies focus on optimizing either the worst- or best-case performance (i.e., Price of…
Power grids are prone to failure. Time series of reliability measures such as total power loss or energy not supplied can give significant account of the underlying dynamical behavior of these systems, specially when the resulting…
As large-scale AI models expand, training becomes costlier and sustaining progress grows harder. Classical scaling laws (e.g., Kaplan et al. (2020), Hoffmann et al. (2022)) predict training loss from a static compute budget yet neglect time…
The world's urban population is expected to grow fifty percent by the year 2050 and exceed six billion. The major challenges confronting cities, such as sustainability, safety, and equality, will depend on the infrastructure developed to…
The accumulation of individual fitness or wealth is modelled as a population game in which pairs of individuals are recurrently and randomly matched to play a game over a resource. In addition, all individuals have random access to a…
The mutual fund industry manages about a quarter of the assets in the U.S. stock market and thus plays an important role in the U.S. economy. The question of how much control is concentrated in the hands of the largest players is best…
Economic factors can have substantial effects on transportation crash trends. This study makes a comprehensive examination of the relationship between the retail gasoline price (including state and federal fuel taxes) and transportation…
In the world of modern financial theory, portfolio construction has traditionally operated under at least one of two central assumptions: the constraints are derived from a utility function and/or the multivariate probability distribution…
In this work we characterize sudden increases in the land price of certain urban areas, a phenomenon causing gentrification, via an extended Schelling model. An initial price rise forces some of the disadvantaged inhabitants out of the…
Flows over time enable a mathematical modeling of traffic that changes as time progresses. In order to evaluate these dynamic flows from a game theoretical perspective we consider the price of anarchy (PoA). In this paper we study the…
We investigate traffic routing both from the perspective of theory as well as real world data. First, we introduce a new type of games: $\theta$-free flow games. Here, commuters only consider, in their strategy sets, paths whose free-flow…
This paper quantifies the effects of equity tail risk on the US government bond market. We estimate equity tail risk with option-implied stock market volatility that stems from large negative price jumps, and we assess its value in…
This article presents results from the first statistically significant study of traffic forecasts in transportation infrastructure projects. The sample used is the largest of its kind, covering 210 projects in 14 nations worth US$59…
We introduce a statistical model for operational losses based on heavy-tailed distributions and bipartite graphs, which captures the event type and business line structure of operational risk data. The model explicitly takes into account…