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Alleviating the delayed feedback problem is of crucial importance for the conversion rate(CVR) prediction in online advertising. Previous delayed feedback modeling methods using an observation window to balance the trade-off between waiting…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
We develop a theoretical framework that aims to link micro-level option hedging and stock-specific factor exposure with macro-level market turbulence and explain endogenous volatility amplification during gamma-squeeze events. By explicitly…
We present a simple agent-based model to study the development of a bubble and the consequential crash and investigate how their proximate triggering factor might relate to their fundamental mechanism, and vice versa. Our agents invest…
Tempered stable distributions are frequently used in financial applications (e.g., for option pricing) in which the tails of stable distributions would be too heavy. Given the non-explicit form of the probability density function,…
All proper scoring rules incentivize an expert to predict \emph{accurately} (report their true estimate), but not all proper scoring rules equally incentivize \emph{precision}. Rather than treating the expert's belief as exogenously given,…
Selection bias arises when the probability that an observation enters a dataset depends on variables related to the quantities of interest, leading to systematic distortions in estimation and uncertainty quantification. For example, in…
In the spirit of behavioral finance, we study the process of opinion formation among investors using a variant of the 2D Voter Model with a tunable social temperature. Further, a feedback acting on the temperature is introduced, such that…
Observations indicate that the distributions of stock returns in financial markets usually do not conform to normal distributions, but rather exhibit characteristics of high peaks, fat tails and biases. In this work, we assume that the…
When subjected to automated decision-making, decision subjects may strategically modify their observable features in ways they believe will maximize their chances of receiving a favorable decision. In many practical situations, the…
Can unstructured text data from social media help explain the drivers of large asset price fluctuations? This paper investigates how social forces affect asset prices, by using machine learning tools to extract beliefs and positions of…
We introduce a new measure of activity of financial markets that provides a direct access to their level of endogeneity. This measure quantifies how much of price changes are due to endogenous feedback processes, as opposed to exogenous…
Conditional diffusion probabilistic models can model the distribution of natural images and can generate diverse and realistic samples based on given conditions. However, oftentimes their results can be unrealistic with observable color…
We study discrete-time predictable forward processes when trading times do not coincide with performance evaluation times in a binomial tree model for the financial market. The key step in the construction of these processes is to solve a…
We explore the methodology and theory of reward-directed generation via conditional diffusion models. Directed generation aims to generate samples with desired properties as measured by a reward function, which has broad applications in…
With an increased focus on incorporating fairness in machine learning models, it becomes imperative not only to assess and mitigate bias at each stage of the machine learning pipeline but also to understand the downstream impacts of bias…
Contextual dynamic pricing aims to set personalized prices based on sequential interactions with customers. At each time period, a customer who is interested in purchasing a product comes to the platform. The customer's valuation for the…
The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself.…
Pertaining to Agent-based Computational Economics (ACE), this work presents two models for the rise and downfall of speculative bubbles through an exchange price fixing based on double auction mechanisms. The first model is based on a…
The paper presents a step forward into the development of the theory of meaning. Stock and financial markets are examined from communication-theoretical perspective on the dynamics of information and meaning. This study focuses on the link…