Related papers: Structural Estimation of Matching Markets with Tra…

In the present work we develop a formalism to tackle the problem of optimal execution when trading market securities. More precisely, we introduce a utility function that balances market impact and timing risk, with this last being modelled…

Uncovering the structure of socioeconomic systems and timely estimation of socioeconomic status are significant for economic development. The understanding of socioeconomic processes provides foundations to quantify global economic…

Several methods of statistical analysis are proposed and analyzed in application for a specific task -- extraction of the structure functions from the cross sections of deep inelastic interactions of any type. We formulate the method based…

Fractal structures emerge from statistical and hierarchical processes in urban development or network evolution. In a class of efficient and robust geographical networks, we derive the size distribution of layered areas, and estimate the…

For optimization models to be used in practice, it is crucial that users trust the results. A key factor in this aspect is the interpretability of the solution process. A previous framework for inherently interpretable optimization models…

This paper provides a tutorial discussion on path analysis structure with concept of structural equation modelling (SEM). The paper delivers an introduction to path analysis technique and explain to how to deal with analyzing the data with…

Financial markets are nonlinear with complexity, where different types of assets are traded between buyers and sellers, each having a view to maximize their Return on Investment (ROI). Forecasting market trends is a challenging task since…

We discuss issues of structural and practical identifiability of partially observed differential equations which are often applied in systems biology. The development of mathematical methods to investigate structural non-identifiability has…

The article suggests a description of a system of tables with a set of special lists absorbing a semantics of data and reflects a fullness of data. It shows how their parallel processing can be constructed based on the descriptions. The…

Turning pass-through network architectures into iterative ones, which use their own output as input, is a well-known approach for boosting performance. In this paper, we argue that such architectures offer an additional benefit: The…

We develop estimation and inference methods for a stylized macroeconomic model with potentially multiple behavioural equilibria, where agents form expectations using a constant-gain learning rule. We first show geometric ergodicity of the…

The United States' power market is featured by the lack of judicial power at the federal level. The market thus provides a unique testing environment for the market organization structure. At the same time, the econometric modeling and…

We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term structure is summarized and shown to be equivalent to a particular type of the reduced form credit risk model,…

This paper aims to provide a practical example on the assessment and propagation of input uncertainty for option pricing when using tree-based methods. Input uncertainty is propagated into output uncertainty, reflecting that option prices…

Accurate prediction of electricity prices plays an essential role in the electricity market. To reflect the uncertainty of electricity prices, price intervals are predicted. This paper proposes a novel prediction interval construction…

We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the prices of generating fuels into electricity…

This paper covers automated settlement of receivables in non-governmental organizations. We tackle the problem with entity matching techniques. We consider setup, where base algorithm is used for preliminary ranking of matches, then we…

Matching, capturing allocation of items to unit-demand buyers, or tasks to workers, or pairs of collaborators, is a central problem in economics. Indeed, the growing prevalence of matching-based markets, many of which online in nature, has…

Although both data availability and the demand for accurate forecasts are increasing, collaboration between stakeholders is often constrained by data ownership and competitive interests. In contrast to recent proposals within cooperative…

The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for…