Related papers: A New Test for Market Efficiency and Uncovered Int…
This paper examines the empirical failure of uncovered interest parity (UIP) and proposes a structural explanation based on a mean-reverting risk premium. We define a realized premium as the deviation between observed exchange rate returns…
We study the problem of monitoring machine learning models under gradual distribution shifts, where circumstances change slowly over time, often leading to unnoticed yet significant declines in accuracy. To address this, we propose…
The present paper introduces a theoretical framework through which the degree of risk aversion with respect to uncertain prices can be measured through the context of the indirect utility function (IUF) using a lab experiment. First, the…
The currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial…
Equity premium, the surplus returns of stocks over bonds, has been an enduring puzzle. While numerous prior works approach the problem assuming the utility of money is invariant across contexts, our approach implies that in efficient…
We derive uniformly most powerful (UMP) tests for simple and one-sided hypotheses for a population proportion within the framework of Differential Privacy (DP), optimizing finite sample performance. We show that in general, DP hypothesis…
This paper demonstrates a methodology for examining the accuracy of uncertain inference systems (UIS), after their parameters have been optimized, and does so for several common UIS's. This methodology may be used to test the accuracy when…
This paper is devoted to revealed preference theory and its applications to testing economic data for consistency with utility maximization hypothesis, construction of index numbers, and forecasting. The quantitative measures of…
We propose a framework to analyze stability for a class of linear non-autonomous hybrid systems, where the continuous evolution of solutions is governed by an ordinary differential equation and the instantaneous changes are governed by a…
We study the problem of pure exploration in matching markets under uncertain preferences, where the goal is to identify a stable matching with confidence parameter $\delta$ and minimal sample complexity. Agents learn preferences via…
We propose a network architecture capable of reliably estimating uncertainty of regression based predictions without sacrificing accuracy. The current state-of-the-art uncertainty algorithms either fall short of achieving prediction…
The development of fair and unbiased machine learning models remains an ongoing objective for researchers in the field of artificial intelligence. We introduce the Differential Adjusted Parity (DAP) loss to produce unbiased informative…
A new test for measuring the accuracy of financial market risk estimations is introduced. It is based on the probability integral transform (PIT) of the ex post realized returns using the ex ante probability distributions underlying the…
We derive uniformly most powerful (UMP) tests for simple and one-sided hypotheses for a population proportion within the framework of Differential Privacy (DP), optimizing finite sample performance. We show that in general, DP hypothesis…
Uniform interpolation property (UIP) is a strengthening of Craig interpolation property. It was first established by Pitts(1992) based on a pure proof-theoretic method. UIP in multi-modal $\mathbf{K_n}$, $\mathbf{KD_n}$ and $\mathbf{KT_n}$…
Many financial and economic variables, including financial returns, exhibit nonlinear dependence, heterogeneity and heavy-tailedness. These properties may make problematic the analysis of (non-)efficiency and volatility clustering in…
Statistical performance bounds for reinforcement learning (RL) algorithms can be critical for high-stakes applications like healthcare. This paper introduces a new framework for theoretically measuring the performance of such algorithms…
Uniform interpolation property (UIP) is a strengthening of Craig interpolation property. It can be understood as the definability of propositional quantifiers. This paper develops the sequent calculi provided in Murai and Sano (2020),…
We consider the problem of exponential utility indifference valuation under the simplified framework where traded and nontraded assets are uncorrelated but where the claim to be priced possibly depends on both. Traded asset prices follow a…
This paper introduces two novel modifications to the Dynamic sAmpling Policy Optimization (DAPO) algorithm [1], approached from a mixed-policy perspective. Standard policy gradient methods can suffer from instability and sample…