Related papers: A Novel Multi-Period and Multilateral Price Index
We propose an efficient method of finding an optimal solution for a multi-item continuous review inventory model in which a bivariate Gaussian probability distribution represents a correlation between the demands of different items. By…
We propose a novel distributional regression model for a multivariate response vector based on a copula process over the covariate space. It uses the implicit copula of a Gaussian multivariate regression, which we call a ``regression…
Extant literature on fair pricing methods for actuarial contexts has primarily focused on the regression setting. While such approaches are well-suited to short-term products, it is unclear how they generalize to long-term products, whose…
In multiple correspondence analysis, both individuals (observations) and categories can be represented in a biplot that jointly depicts the relationships across categories or individuals, as well as the associations between them. Additional…
This paper deals with the market-bidding problem of a cluster of price-responsive consumers of electricity. We develop an inverse optimization scheme that, recast as a bilevel programming problem, uses price-consumption data to estimate the…
Income- and price-elasticity of demand quantify the responsiveness of markets to changes in income, and in prices, respectively. Under the assumptions of utility maximization and preference-independence (additive preferences), mathematical…
As distributed energy resources (DERs) proliferate, future power system will need new market platforms enabling prosumers to trade various electricity and grid-support products. However, prosumers often exhibit complex, product…
Relations between categorical variables can be analyzed conveniently by multiple correspondence analysis (MCA). %It is well suited to discover relations that may exist between categories of different variables. The graphical representation…
This article deals with the analysis of high dimensional data that come from multiple sources (experiments) and thus have different possibly correlated responses, but share the same set of predictors. The measurements of the predictors may…
Recommender Systems have proliferated as general-purpose approaches to model a wide variety of consumer interaction data. Specific instances make use of signals ranging from user feedback, item relationships, geographic locality, social…
The single-index model is one of the most popular semiparametric models in Econometrics. In this paper, we define a quantile regression single-index model, which includes the single-index structure for conditional mean and for conditional…
A public decision-making problem consists of a set of issues, each with multiple possible alternatives, and a set of competing agents, each with a preferred alternative for each issue. We study adaptations of market economies to this…
We consider a multi-asset incomplete model of the financial market, where each of $m\geq 2$ risky assets follows the binomial dynamics, and no assumptions are made on the joint distribution of the risky asset price processes. We provide…
Equity basket correlation can be estimated both using the physical measure from stock prices, and also using the risk neutral measure from option prices. The difference between the two estimates motivates a so-called "dispersion strategy''.…
Market prediction plays a major role in supporting financial decisions. An emerging approach in this domain is to use graphical modeling and analysis to for prediction of next market index fluctuations. One important question in this domain…
In this paper we introduce a new approach to model-free path-dependent option pricing. We first introduce a general duality result for linear optimisation problems over signed measures introduced in [3] and show how the the problem of…
This paper performs the numerical analysis and the computation of a Spread option in a market with imperfect liquidity. The number of shares traded in the stock market has a direct impact on the stock's price. Thus, we consider a…
The impact of trades on asset prices is a crucial aspect of market dynamics for academics, regulators and practitioners alike. Recently, universal and highly nonlinear master curves were observed for price impacts aggregated on all…
The crisis that affected financial markets in the last years leaded market practitioners to revise well known basic concepts like the ones of discount factors and forward rates. A single yield curve is not sufficient any longer to describe…
Key challenges in running a retail business include how to select products to present to consumers (the assortment problem), and how to price products (the pricing problem) to maximize revenue or profit. Instead of considering these…