Related papers: Challenges in Statistically Rejecting the Perfect …
Competitive equilibrium (CE) is a fundamental concept in market economics. Its efficiency and fairness properties make it particularly appealing as a rule for fair allocation of resources among agents with possibly different entitlements.…
This paper is concerned with the study of constrained statistical learning problems, the unconstrained version of which are at the core of virtually all of modern information processing. Accounting for constraints, however, is paramount to…
We develop a market model in which products generate state-dependent potential hidden charges. Firms differ in their ability to realize this potential. Unlike firms, consumers do not observe the state. They try to infer hidden charges from…
We introduce a new statistical test of the hypothesis that a balanced panel of firms have the same growth rate distribution or, more generally, that they share the same functional form of growth rate distribution. We applied the test to…
According to the fundamental theorems of welfare economics, any competitive equilibrium is Pareto efficient. Unfortunately, competitive equilibrium prices only exist under strong assumptions such as perfectly divisible goods and convex…
We consider the problem of optimal hedging in an incomplete market with an established pricing kernel. In such a market, prices are uniquely determined, but perfect hedges are usually not available. We work in the rather general setting of…
We study information disclosure in competitive markets with adverse selection. Sellers privately observe product quality, with higher quality entailing higher production costs, while buyers trade at the market-clearing price after observing…
We revisit conduct parameter estimation in homogeneous goods markets to resolve the conflict between Bresnahan (1982) and Perloff and Shen (2012) regarding the identification and the estimation of conduct parameters. We point out that…
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…
We consider portfolio selection under nonparametric $\alpha$-maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under ambiguity aversion. Implied demand functions are…
Various statistical tests have been developed for testing the equality of means in matched pairs with missing values. However, most existing methods are commonly based on certain distributional assumptions such as normality, 0-symmetry or…
Competition has been introduced in the electricity markets with the goal of reducing prices and improving efficiency. The basic idea which stays behind this choice is that, in competitive markets, a greater quantity of the good is exchanged…
A number of biomedical problems require performing many hypothesis tests, with an attendant need to apply stringent thresholds. Often the data take the form of a series of predictor vectors, each of which must be compared with a single…
Inductive inference is the process of extracting general rules from specific observations. This problem also arises in the analysis of biological networks, such as genetic regulatory networks, where the interactions are complex and the…
We consider the problem of optimal consumption of multiple goods in incomplete semimartingale markets. We formulate the dual problem and identify conditions that allow for existence and uniqueness of the solution and give a characterization…
Hypothesis test plays a key role in uncertain statistics based on uncertain measure. This paper extends the parametric hypothesis of a single uncertain population to multiple cases, thereby addressing a broader range of scenarios. First, an…
A trade-off between accuracy and fairness is almost taken as a given in the existing literature on fairness in machine learning. Yet, it is not preordained that accuracy should decrease with increased fairness. Novel to this work, we…
The Efficient Market Hypothesis has been a staple of economics research for decades. In particular, weak-form market efficiency -- the notion that past prices cannot predict future performance -- is strongly supported by econometric…
We report an inconsistency found in probability theory (also referred to as measure-theoretic probability). For probability measures induced by real-valued random variables, we deduce an "equality" such that one side of the "equality" is a…
We consider fits to two or more datasets for which results from the sa me experiment share a common systematic uncertainty in addition to their individ ual statistical errors. This is important in extracting the maximum information from a…