Related papers: Merger Analysis with Unobserved Prices
The rise of the machine learning (ML) model economy has intertwined markets for training datasets and pre-trained models. However, most pricing approaches still separate data and model transactions or rely on broker-centric pipelines that…
We model real-world data markets, where sellers post fixed prices and buyers are free to purchase from any set of sellers, as a simultaneous game. A key component here is the negative externality buyers induce on one another due to data…
We consider statistical procedures for hypothesis testing of real valued functionals of matched pairs with missing values. In order to improve the accuracy of existing methods, we propose a novel multiplication combination procedure.…
Recently the interest of researchers has shifted from the analysis of synchronous relationships of financial instruments to the analysis of more meaningful asynchronous relationships. Both of those analyses are concentrated only on…
This paper introduces a unified micro-level stochastic framework for the joint modeling of loss reserves (RBNS), incurred but not reported (IBNR) reserves, and unearned premium risk under dependence, inflation, and discounting. The proposed…
The vast majority of market impact studies assess each product individually, and the interactions between the different order flows are disregarded. This strong approximation may lead to an underestimation of trading costs and possible…
We give a new predictive mathematical model for macroeconomics, which deals specifically with asset prices and earnings fluctuations, in the presence of a dynamic economy involving mergers, acquisitions, and hostile takeovers. Consider a…
Much like small ripples in a stream, which get lost in the larger waves, small changes in retail prices often fly under the radar of public perceptions, while large price changes appear as marketing moves associated with demand and…
When working with real-world insurance data, practitioners often encounter challenges during the data preparation stage that can undermine the statistical validity and reliability of downstream modeling. This study illustrates that…
Inventory matching is a standard mechanism/auction for trading financial stocks by which buyers and sellers can be paired. In the financial world, banks often undertake the task of finding such matches between their clients. The related…
Share prices of financial companies from the S&P 500 list have been modeled by a linear function of consumer price indices in the USA. The Johansen and Engle-Granger tests for cointegration both demonstrated the presence of an equilibrium…
In this research, we have empirically investigated the key drivers affecting liquidity in equity markets. We illustrated how theoretical models, such as Kyle's model, of agents' interplay in the financial markets, are aligned with the…
We develop a nonparametric approach to identify and estimate consumer preferences and unobserved heterogeneity under nonlinear price schedules. Leveraging variation across multiple price schedules, we show that both the utility function and…
To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…
Model merging combines knowledge from separately fine-tuned models, yet the factors driving its success remain poorly understood. While recent work treats mergeability as an intrinsic property of the models, we show with an…
To investigate the actual phenomena of transport on a complex network, we analysed empirical data for an inter-firm trading network, which consists of about one million Japanese firms and the sales of these firms (a sale corresponds to the…
To improve the precision of inferences and reduce costs there is considerable interest in combining data from several sources such as sample surveys and administrative data. Appropriate methodology is required to ensure satisfactory…
We consider a single buyer with a combinatorial preference that would like to purchase related products and services from different vendors, where each vendor supplies exactly one product. We study the general case where subsets of products…
In many applications, an organization may want to acquire data from many data owners. Data marketplaces allow data owners to produce data assemblage needed by data buyers through coalition. To encourage coalitions to produce data, it is…
This paper shows that in suitable markets, even with out-of-equilibrium trade allowed, a simple price update rule leads to rapid convergence toward the equilibrium. In particular, this paper considers a Fisher market repeated over an…