Related papers: Merger Analysis with Unobserved Prices
We study a dynamic portfolio optimization problem related to convergence trading, which is an investment strategy that exploits temporary mispricing by simultaneously buying relatively underpriced assets and selling short relatively…
Financial markets are a classical example of complex systems as they comprise many interacting stocks. As such, we can obtain a surprisingly good description of their structure by making the rough simplification of binary daily returns.…
In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge…
We study information aggregation in a dynamic trading model with partially informed traders. Ostrovsky [2012] showed that `separable' securities aggregate information in all equilibria, however, determining whether a security is separable…
We propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and {\it vanishes} around the current price. This result is generic, and only relies on mild assumptions about the order flow…
In a context of a continuous digitalisation of processes, organisations must deal with the challenge of detecting anomalies that can reveal suspicious activities upon an increasing volume of data. To pursue this goal, audit engagements are…
In speculative markets, risk-free profit opportunities are eliminated by traders exploiting them. Markets are therefore often described as "informationally efficient", rapidly removing predictable price changes, and leaving only residual…
This paper studies sequential search models that (1) incorporate unobserved product quality, which can be correlated with endogenous observable characteristics (such as price) and endogenous search cost variables (such as product rankings…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
We develop large sample theory for merged data from multiple sources. Main statistical issues treated in this paper are (1) the same unit potentially appears in multiple datasets from overlapping data sources, (2) duplicated items are not…
Model merging combines fine-tuned checkpoints into a single multi-task model without retraining. Existing methods - such as task arithmetic, model soups, TIES, and DARE - are computationally efficient and empirically successful, but rely on…
Investigating potential purchases is often a substantial investment under uncertainty. Standard market designs, such as simultaneous or English auctions, compound this with uncertainty about the price a bidder will have to pay in order to…
Matching users based on mutual preferences is a fundamental aspect of services driven by reciprocal recommendations, such as job search and dating applications. Although A/B tests remain the gold standard for evaluating new policies in…
We investigate the optimal execution of contracts that are used in merger\&acquisition deals. We consider cash-settled and physically delivered contracts between a broker and a counterpart. Contracts are linear (total returns swaps),…
We present two stable mergesort variants, "peeksort" and "powersort", that exploit existing runs and find nearly-optimal merging orders with practically negligible overhead. Previous methods either require substantial effort for determining…
Bundling, the practice of jointly selling two or more products at a discount, is a widely used strategy in industry and a well examined concept in academia. Historically, the focus has been on theoretical studies in the context of…
Within the framework of evidence theory, the confidence functions of different information can be combined into a combined confidence function to solve uncertain problems. The Dempster combination rule is a classic method of fusing…
Our goal in this paper is to study the market impact in a market in which the order flow is autocorrelated. We build a model which explains qualitatively and quantitatively the empirical facts observed so far concerning market impact. We…
We develop a model of algorithmic pricing that shuts down every channel for explicit or implicit collusion while still generating collusive outcomes. We analyze the dynamics of a duopoly market where both firms use pricing algorithms…
We study a problem inspired by regulated health insurance markets, such as those created by the government in the Affordable Care Act Exchanges or by employers when they contract with private insurers to provide plans for their employees.…