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Given time series data, how can we answer questions like "what will happen in the future?" and "how did we get here?" These sorts of probabilistic inference questions are challenging when observations are high-dimensional. In this paper, we…
Humans spend a remarkable fraction of waking life engaged in acts of "mental time travel". We dwell on our actions in the past and experience satisfaction or regret. More than merely autobiographical storytelling, we use these event…
There is no known explicit global closed form solution for the standard income fluctuation problem with a borrowing constraint and where wealth accumulates with a constant interest rate $r$. Using a continuous time formulation, I derive an…
Several studies have established the predictive power of the yield curve in terms of real economic activity. In this paper we use data for a variety of E.U. countries: both EMU (Germany, France, Italy) and non-EMU members (Sweden and the…
We consider active learning under incentive compatibility constraints. The main application of our results is to economic experiments, in which a learner seeks to infer the parameters of a subject's preferences: for example their attitudes…
We consider a general discrete-time financial market with proportional transaction costs as in [Kabanov, Stricker and R\'{a}sonyi Finance and Stochastics 7 (2003) 403--411] and [Schachermayer Math. Finance 14 (2004) 19--48]. In addition to…
Temporal-Difference learning (TD) [Sutton, 1988] with function approximation can converge to solutions that are worse than those obtained by Monte-Carlo regression, even in the simple case of on-policy evaluation. To increase our…
This paper investigates the impact of banking competition on interest rates for household consumption loans in the Euro Area from 2014 to 2020. Utilizing a panel data regression approach, we analyze how various factors, including local…
A novel application of the correlation matrix formalism to study dynamics of the financial evolution is presented. This formalism allows to quantify the memory effects as well as some potential repeatable intradaily structures in the…
We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark-to-market valuation adjustment for interbank…
We establish a direct link between the time-reversal technique and the so-called adjoint method for imaging. Using this relationship, we derive new solution strategies for an inverse problem which arises in telecommunication. These…
We introduce a new mixture autoregressive model which combines Gaussian and Student's $t$ mixture components. The model has very attractive properties analogous to the Gaussian and Student's $t$ mixture autoregressive models, but it is more…
In our model, private actors with interbank cash flows similar to, but nore general than (Carmona, Fouque, Sun, 2013) borrow from the outside economy at a certain interest rate, controlled by the central bank, and invest in risky assets.…
Metaverse can be applied in several aspects of life such as the Economy, finance, social life, working environment, healthcare, real estate, and education. In the last 2 and a half years, during the COVID-19 pandemic, universities made…
Inflation exhibits state-dependent, skewed, and fat-tailed dynamics that make risk a central concern for monetary policy. Accordingly, inflation risks are distributional and cannot be fully captured by mean-based models. We propose a…
Purchase data from retail chains provide proxy measures of private household expenditure on items that are the most troublesome to collect in the traditional expenditure survey. Due to the sheer amount of proxy data, the bias due to…
Intuitively, the default risk of a single borrower is higher when her or his assets and debt are denominated in different currencies. Additionally, the default dependence of borrowers with assets and debt in different currencies should be…
The ubiquitous presence of digital devices has cemented the 'Digital Native' paradigm, assuming inherent technological proficiency among contemporary youth. This multicenter study ($N=243$ European secondary students) challenges this…
In many settings, people exhibit behavior that is inconsistent across time --- we allocate a block of time to get work done and then procrastinate, or put effort into a project and then later fail to complete it. An active line of research…
A recent econometric literature has critiqued the use of regression discontinuities where administrative borders serves as the 'cutoff'. Identification in this context is difficult since multiple treatments can change at the cutoff and…