Related papers: How do we measure trade elasticity for services?
We study a class of heterogeneous agent-based models which are based on a basic set of principles, and the most fundamental operations of an economic system: trade and product transformations. A basic guiding principle is scale invariance,…
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, rebalancers and liquidity providers filter the child order…
Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive…
Behavioural finance offers a valuable framework for examining foreign exchange (FX) market dynamics, including puzzles such as excess volatility and fat-tailed distributions. Yet, when it comes to their interaction with the `real' side of…
Fairness is an increasingly important factor in re-ranking tasks. Prior work has identified a trade-off between ranking accuracy and item fairness. However, the underlying mechanisms are still not fully understood. An analogy can be drawn…
Methods that address data shifts usually assume full access to multiple datasets. In the healthcare domain, however, privacy-preserving regulations as well as commercial interests limit data availability and, as a result, researchers can…
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of…
Assessing the vulnerability of atherosclerotic plaques requires an accurate knowledge of the mechanical properties of the plaque constituents. It is possible to measure displacements in vivo inside a plaque using magnetic resonance imaging.…
Demand functions for goods are generally cyclical in nature with characteristics such as trend or stochasticity. Most existing demand forecasting techniques in literature are designed to manage and forecast this type of demand functions.…
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully-coupled…
In this paper we introduce kinetic equations for the evolution of the probability distribution of two goods among a huge population of agents. The leading idea is to describe the trading of these goods by means of some fundamental rules in…
Under mechanical deformation, most materials exhibit both elastic and fluid (or plastic) responses. No existing formalism derived from microscopic principles encompasses both their fluid-like and solid-like aspects. We define the {\it…
Alpha signals for statistical arbitrage strategies are often driven by latent factors. This paper analyses how to optimally trade with latent factors that cause prices to jump and diffuse. Moreover, we account for the effect of the trader's…
The present article provides a novel theoretical way to evaluate tradeability in markets of ordinary exponential L\'evy type. We consider non-tradeability as a particular type of market illiquidity and investigate its impact on the price of…
This paper explores the nonparametric estimation of the volatility component in a heteroscedastic scalar-on-function regression model, where the underlying discrete-time process is ergodic and subject to a missing-at-random mechanism. We…
Graph based entropy, an index of the diversity of events in their distribution to parts of a co-occurrence graph, is proposed for detecting signs of structural changes in the data that are informative in explaining latent dynamics of…
The large-scale organization of the world economies is exhibiting increasingly levels of local heterogeneity and global interdependency. Understanding the relation between local and global features calls for analytical tools able to uncover…
The analysis of markets with indivisible goods and fixed exogenous prices has played an important role in economic models, especially in relation to wage rigidity and unemployment. This research report provides a mathematical and…
This research aims to estimate three parameters in a stochastic generalized logistic differential equation. We assume the intrinsic growth rate and shape parameters are constant but unknown. To estimate these two parameters, we use the…
Market liquidity plays a vital role in the field of market micro-structure, because it is the vigor of the financial market. This paper uses a variable called convexity to measure the potential liquidity provided by order-book. Based on the…