Related papers: Beveridgean Phillips Curve
We study in details the skew of stock option smiles, which is induced by the so-called leverage effect on the underlying -- i.e. the correlation between past returns and future square returns. This naturally explains the anomalous…
Researchers and electricity sector practitioners frequently require the supply curve of electricity markets and the price elasticity of supply for purposes such as price forecasting, policy analyses or market power assessment. It is common…
Product diversity, which is highly important in economic systems, has been highlighted by recent studies on international trade. We found an empirical pattern, designated as the "S-shaped curve", that models the relationship between…
Based on interactions between individuals and others and references to social norms, this study reveals the impact of heterogeneity in time preference on wealth distribution and inequality. We present a novel approach that connects the…
Simpson's paradox and collapsibility are two closely related concepts in the context of data analysis. While the knowledge about the occurrence of Simpson's paradox helps a statistician to draw correct and meaningful conclusions, the…
The manipulation of LIBOR by a group of banks became one of the major blows to the remaining confidence in financial industry. Yet, despite an enormous amount of popular literature on the subject, rigorous time-series studies are few. In my…
Determining consumer preferences and utility is a foundational challenge in economics. They are central in determining consumer behaviour through the utility-maximising consumer decision-making process. However, preferences and utilities…
The field of the mathematical sciences relies on a continuous academic pipeline in which individuals progress from undergraduate study through graduate training and postdoctoral program to long term faculty employment. National statistics…
Driven elastic manifolds in random media exhibit a depinning transition to a state with non-vanishing velocity at a critical driving force. We study the depinning of stiff directed lines, which are governed by a bending rigidity rather than…
We introduce Probabilistic Dependency Graphs (PDGs), a new class of directed graphical models. PDGs can capture inconsistent beliefs in a natural way and are more modular than Bayesian Networks (BNs), in that they make it easier to…
We consider a random interval splitting process, in which the splitting rule depends on the empirical distribution of interval lengths. We show that this empirical distribution converges to a limit almost surely as the number of intervals…
Demand response (DR) refers to change in electricity consumption pattern of customers during on-peak hours in lieu of financial gains to reduce stress on distribution systems. Existing dynamic price models have not provided adequate success…
We study in detail and explicitly solve the version of Kyle's model introduced in a specific case in \cite{BB}, where the trading horizon is given by an exponentially distributed random time. The first part of the paper is devoted to the…
The time series theory is set in this work under the domain of general elliptically contoured distributions. The advent of a time series approach that is in accordance with the expected reality of dependence between errors, transfers the…
A price-maker company extracts an exhaustible commodity from a reservoir, and sells it instantaneously in the spot market. In absence of any actions of the company, the commodity's spot price evolves either as a drifted Brownian motion or…
Recently, there is growing interest and need for dynamic pricing algorithms, especially, in the field of online marketplaces by offering smart pricing options for big online stores. We present an approach to adjust prices based on the…
Griffiths phases are typically associated with quenched disorder, while frustration gives rise to multistability and spin-glass behavior. Whether extended criticality can arise in other contexts remains an open question. Here, we show that…
Empirical analysis is often the first step towards the birth of a conjecture. This is the case of the Birch-Swinnerton-Dyer (BSD) Conjecture describing the rational points on an elliptic curve, one of the most celebrated unsolved problems…
In this paper, we study third-degree price discrimination in a model first presented by Bergemann, Brooks, and Morris [2015]. Since such price discrimination might create market segments with vastly different posted prices, we consider…
In an attempt to provide an answer to the increasing criticism against p-values and to bridge the gap between statistical inference and prediction modelling, we introduce the probability of improved prediction (PIP). In general, the PIP is…