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Recently we uploaded to the arxiv a paper entitled: Improving the Economic Complexity Index. There, we compared three metrics of the knowledge intensity of an economy, the original metric we published in 2009 (the Economic Complexity Index…
The diffusion of electric vehicles (EVs) is studied in a two-sided market framework consisting of EVs on the one side and EV charging stations (EVCSs) on the other. A sequential game is introduced as a model for the interactions between an…
This paper unifies and extends results on a class of multivariate Extreme Value (EV) models studied by Hougaard, Crowder, and Tawn. In these models both unconditional and conditional distributions are EV, and all lower-dimensional marginals…
Conformal prediction (CP) offers a principled framework for uncertainty quantification, but it fails to guarantee coverage when faced with missing covariates. In addressing the heterogeneity induced by various missing patterns,…
We propose a general two-period model where electrical vehicles (EVs) can reserve charging sessions in the day-ahead market and swap them in the real-time market. Under the model, we explore several candidate mechanisms for running the two…
We implement nonparametric revealed-preference tests of subjective expected utility theory and its generalizations. We find that a majority of subjects' choices are consistent with the maximization of some utility function. They respond to…
Nontransitive choices have long been an area of curiosity within economics. However, determining whether nontransitive choices represent an individual's preference is a difficult task since choice data is inherently stochastic. This paper…
The L\'evy-stable distribution is the attractor of distributions which hold power laws with infinite variance. This distribution has been used in a variety of research areas, for example in economics it is used to model financial market…
We consider a model of socially interacting individuals that make a binary choice in a context of positive additive endogenous externalities. It encompasses as particular cases several models from the sociology and economics literature. We…
We present an algorithm to approximate the solutions to variational problems where set of admissible functions consists of convex functions. The main motivator behind this numerical method is estimating solutions to Adverse Selection…
The growth of the exhange-traded fund (ETF) industry has given rise to the trading of options written on ETFs and their leveraged counterparts {(LETFs)}. We study the relationship between the ETF and LETF implied volatility surfaces when…
The CEV model subsumes some of the previous option pricing models. An important parameter in the model is the parameter b, the elasticity of volatility. For b=0, b=-1/2, and b=-1 the CEV model reduces respectively to the BSM model, the…
Variational Auto-Encoders (VAEs) are capable of learning latent representations for high dimensional data. However, due to the i.i.d. assumption, VAEs only optimize the singleton variational distributions and fail to account for the…
The purpose of this article is to obtain a better understanding of the extended variational principle (EVP). The EVP is a formula for the thermodynamic pressure of a statistical mechanical system as a limit of a sequence of minimization…
Integrable N-particle systems have an important property that the associated Seiberg-Witten prepotentials satisfy the WDVV equations. However, this does not apply to the most interesting class of elliptic and double-elliptic systems.…
This paper is devoted to revealed preference theory and its applications to testing economic data for consistency with utility maximization hypothesis, construction of index numbers, and forecasting. The quantitative measures of…
We study a pure-exchange incomplete-market economy with heterogeneous agents. In each period, the agents choose how much to save (i.e., invest in a risk-free bond), how much to consume, and which bundle of goods to consume while their…
Closed form formulas for swaption prices in HJM model are derived. These formulas are used for nonparametric fit of deterministic forward volatility. It is demonstrated that this formula and non-parametric fit works very well and can be…
Recommendation models are typically trained on observational user interaction data, but the interactions between latent factors in users' decision-making processes lead to complex and entangled data. Disentangling these latent factors to…
We continue a series of papers where prices of the barrier options written on the underlying, which dynamics follows some one factor stochastic model with time-dependent coefficients and the barrier, are obtained in semi-closed form, see…