Related papers: How do we measure trade elasticity for services?
The effect of leverage on liquidity is a tool for analysing the level of liquidity for a given production process. It measures the sensitivity of the level of liquidity that results from changes in the volume of production and unit…
As Internet-based commerce becomes increasingly widespread, large data sets about the demand for and pricing of a wide variety of products become available. These present exciting new opportunities for empirical economic and business…
The presence of a high number of zero flow trades continues to provide a challenge in identifying gravity parameters to explain international trade using the gravity model. Linear regression with a logarithmic linear equation encounters an…
We propose a novel framework for modeling time-varying persistence in economic time series, allowing for smoothly evolving heterogeneity in shock dynamics. We leverage localized regression techniques to flexibly identify changes in…
We study the diffusion of shocks in the global financial cycle and global liquidity conditions to emerging and developing economies. We show that the classification according to their external trade patterns (as commodities' net exporters…
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information…
Exchange of services and resources in, or over, networks is attracting nowadays renewed interest. However, despite the broad applicability and the extensive study of such models, e.g., in the context of P2P networks, many fundamental…
Accurately evaluating the real-time flexibility of electric vehicles (EVs) is necessary for EV aggregators to offer ancillary services. However, regulation-caused uncertain state-of-charge and random departure behavior complicate the…
This research presents a novel approach to predicting option movements by analyzing residual transactions, which are trades that deviate from standard hedging activities. Unlike traditional methods that primarily focus on open interest and…
We show how a novel application of the theory of anelasticity unifies the observed dynamics and proposed models of administered-rate products. This theory yields a straightforward approach to rate model construction that we illustrate by…
I review recent work in the statistics literature on instrumental variables methods from an econometrics perspective. I discuss some of the older, economic, applications including supply and demand models and relate them to the recent…
Demand response aims to stimulate electricity consumers to modify their loads at critical time periods. In this paper, we consider signals in demand response programs as a binary treatment to the customers and estimate the average treatment…
Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading…
The scope of this research is the identification of unknown piecewise constant parameters of linear regression equation under the finite excitation condition. Compared to the known methods, to make the computational burden lower, only one…
We analyze export data aggregated at world global level of 219 classes of products over a period of 39 years. Our main goal is to set up a dynamical model to identify and quantify plausible mechanisms by which the evolutions of the various…
We study an American option pricing problem with liquidity risks and transaction fees. As endogenous transaction costs, liquidity risks of the underlying asset are modeled by a mean-reverting process. Transaction fees are exogenous…
The international trade is one of the classic areas of study in economics. Nowadays, given the availability of data, the tools used for the analysis can be complemented and enriched with new methodologies and techniques that go beyond the…
Regression analysis is used for prediction and to understand the effect of independent variables on dependent variables. Symbolic regression (SR) automates the search for non-linear regression models, delivering a set of hypotheses that…
In this paper we investigate a dynamic pricing model for constant demand elasticity where customers have a probability distribution on the number of items they order. This is a generalization from standard models which restrict customers to…
We provide a justification for why, and when, endogeneity will not cause bias in the interpretation of the coefficients in a regression model. This technique can be a viable alternative to, or even used alongside, the instrumental variable…