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The COVID-19 pandemic presents challenges to both public health and the economy. Our objective is to examine how household expenditure, a significant component of private demand, reacts to changes in mobility. This investigation is crucial…
We leverage a recently published dataset of Amazon purchase histories, crowdsourced from thousands of US consumers, to study how online purchasing behaviors have changed over time, how changes vary across demographic groups, the impact of…
This paper demonstrates how reinforcement learning can explain two puzzling empirical patterns in household consumption behavior during economic downturns. I develop a model where agents use Q-learning with neural network approximation to…
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies. Natural assumptions, like different discount rates for consumption…
There are clear benefits associated with a particular consumer choice for many current markets. For example, as we consider here, some products might carry environmental or `green' benefits. Some consumers might value these benefits while…
A hypothesis that the financial log-periodicity, cascading self-similarity through various time scales, carries signatures of a law is pursued. It is shown that the most significant historical financial events can be classified amazingly…
In the past 20 years, momentum or trend following strategies have become an established part of the investor toolbox. We introduce a new way of analyzing momentum strategies by looking at the information ratio (IR, average return divided by…
In this work, we aim to reconcile several apparently contradictory observations in market microstructure: is the famous "square-root law" of metaorder impact, which decays with time, compatible with the random-walk nature of prices and the…
We investigate the mechanisms behind the power-law distribution of stock returns using artificial market simulations. While traditional financial theory assumes Gaussian price fluctuations, empirical studies consistently show that the tails…
This paper proposes a two-stage pricing strategy for nondurable (such as typical electronics) products, where retail price is cut down at certain time points of the product lifecycle. We consider learning effect of electronic products that,…
This paper investigates the consumption and risk taking decision of an economic agent with partial irreversibility of consumption decision by formalizing the theory proposed by Duesenberry (1949). The optimal policies exhibit a type of the…
Recommender systems shape individual choices through feedback loops in which user behavior and algorithmic recommendations coevolve over time. The systemic effects of these loops remain poorly understood, in part due to unrealistic…
We make use of possible high energy correction to the Friedmann equation to implement the bounce and study the behavior of massive scalar field before and after bounce semianalytically and numerically. We find that the slow-roll inflation…
We investigate the impact of big winner stocks on the performance of active and passive investment strategies using a combination of numerical and analytical techniques. Our analysis is based on historical stock price data from 2006 to 2021…
Human mobility regularity is crucial for understanding urban dynamics and informing decision-making processes. This study first quantifies the periodicity in complex human mobility data as a sparse identification of dominant positive…
This paper studies an optimal consumption-investment problem for an investor whose instantaneous utility depends on both consumption and wealth, and the investor faces a general borrowing constraint that the investment amount in the risky…
In reinforcement learning, Return, which is the weighted accumulated future rewards, and Value, which is the expected return, serve as the objective that guides the learning of the policy. In classic RL, return is defined as the…
A new approach to obtaining market--directional information, based on a non-stationary solution to the dynamic equation "future price tends to the value that maximizes the number of shares traded per unit time" [1] is presented. In our…
The growing prevalence of drift and shocks in modern decision environments exposes a gap between classical optimization theory and real-world practice. Standard models assume fixed objectives, yet organizations from hospitals to power grids…
The "standard" Merton formulation of optimal investment and consumption involves optimizing the integrated lifetime utility of consumption, suitably discounted, together with the discounted future bequest. In this formulation the utility of…