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This paper combines traditional panel econometrics with random forest machine learning to revisit the relationship between exchange rate regimes and economic growth for 27 transition economies over 1991-2019. Exploiting the Couharde-Grekou…
The recent empirical work of Amaya et al. (2015) has pointed out that the realized skewness, which is the sample skewness of intraday high-frequency returns of a financial asset, serves as forecasting future returns in the cross-section.…
In this article, we study the kinetics of reversible ligand binding to receptors on a spherical cell surface using a self-consistent stochastic theory. Binding, dissociation, diffusion and rebinding of ligands are incorporated into the…
This paper presents empirical evidence using recently developed techniques in econophysics suggesting that the degree of long-range dependence in interest rates depends on the conduct of monetary policy. We study the term structure of…
We introduce an autoregressive-type model with self-modulation effects for a foreign exchange rate by separating the foreign exchange rate into a moving average rate and an uncorrelated noise. From this model we indicate that traders are…
Here we report on the viscosity of eukaryotic living cells as a function of the time, and on the application of stochastic models to analyze its temporal fluctuations. The viscoelastic properties of NIH/3T3 fibroblastic cells are…
Expected Shortfall (ES), also known as superquantile or Conditional Value-at-Risk, has been recognized as an important measure in risk analysis and stochastic optimization, and is also finding applications beyond these areas. In finance, it…
We adopt methods from statistical field theory to stochastic inflation. For the example of a free test field in de Sitter and power-law inflation, the power spectrum of long-wavelength fluctuations is computed. We study its dependence on…
We develop a medium-size semi-structural time series model of inflation dynamics that is consistent with the view - often expressed by central banks - that three components are important: a trend anchored by long-run expectations, a…
Temporal-Difference learning (TD) [Sutton, 1988] with function approximation can converge to solutions that are worse than those obtained by Monte-Carlo regression, even in the simple case of on-policy evaluation. To increase our…
External-instrument identification leads to biased responses when the shock is not invertible and the measurement error is present. We propose to use this identification strategy in a structural Dynamic Factor Model, which we call Proxy…
We propose a robust elastic net (REN) model for high-dimensional sparse regression and give its performance guarantees (both the statistical error bound and the optimization bound). A simple idea of trimming the inner product is applied to…
We study hedging and pricing of unattainable contingent claims in a non-Markovian regime-switching financial model. Our financial market consists of a bank account and a risky asset whose dynamics are driven by a Brownian motion and a…
We consider a generalization of the Heath Jarrow Morton model for the term structure of interest rates where the forward rate is driven by Paretian fluctuations. We derive a generalization of It\^{o}'s lemma for the calculation of a…
Though simple inflationary models describe the CMB well, their corrections are often plagued by infrared effects that obstruct a reliable calculation of late-time behaviour. We adapt to cosmology tools designed to address similar issues in…
We study the activity, i.e., the number of transactions per unit time, of financial markets. Using the diffusion entropy technique we show that the autocorrelation of the activity is caused by the presence of peaks whose time distances are…
There are many studies dealing with the analysis of similarity among currencies in foreign exchange market by using network analysis approach. In those studies, each currency is represented by a univariate time series of exchange rate…
Use of historical data and real-world evidence holds great potential to improve the efficiency of clinical trials. One major challenge is how to effectively borrow information from historical data while maintaining a reasonable type I…
The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…
In this paper, we investigate the effectiveness of conventional and unconventional monetary policy measures by the European Central Bank (ECB) conditional on the prevailing level of uncertainty. To obtain exogenous variation in central bank…