Related papers: Merger Analysis with Unobserved Prices
Model merging has emerged as an effective approach to combine multiple single-task models into a multitask model. This process typically involves computing a weighted average of the model parameters without any additional training. Existing…
We propose a dependence-aware predictive modeling framework for multivariate risks stemmed from an insurance contract with bundling features - an important type of policy increasingly offered by major insurance companies. The bundling…
We discuss martingales, detrending data, and the efficient market hypothesis for stochastic processes x(t) with arbitrary diffusion coefficients D(x,t). Beginning with x-independent drift coefficients R(t) we show that Martingale stochastic…
Using a proprietary dataset of meta-orders and prediction signals, and assuming a quasi-linear impact model, we deconvolve market impact from past correlated trades and a predictable return component to elicit the temporal dependence of the…
Entropy based ideas find wide-ranging applications in finance for calibrating models of portfolio risk as well as options pricing. The abstracted problem, extensively studied in the literature, corresponds to finding a probability measure…
The price of a stock will rarely follow the assumed model and a curious investor or a Regulatory Authority may wish to obtain a probability model the prices support. A risk neutral probability ${\cal P}^*$ for the stock's price at time $T$…
We define \emph{engineered simultaneity}: the construction of a system that requires temporal comparison of events at spacelike-separated locations, implements this comparison via an implicit simultaneity convention, and represents the…
This paper studies the joint moments of a compound discounted renewal process observed at different times with each arrival removed from the system after a random delay. This process can be used to describe the aggregate (discounted)…
In the online ride-hailing pricing context, companies often conduct randomized controlled trials (RCTs) and utilize uplift models to assess the effect of discounts on customer orders, which substantially influences competitive market…
We consider arbitrage free valuation of European options in Black-Scholes and Merton markets, where the general structure of the market is known, however the specific parameters are not known. In order to reflect this subjective uncertainty…
We use random walks to simulate the fluid limit of two coupled diffusive limit order books to model correlation emergence. The model implements the arrival, cancellation and diffusion of orders coupled by a pairs trader profiting from the…
Inaccurate records of inventory occur frequently, and by some measures cost retailers approximately 4% in annual sales. Detecting inventory inaccuracies manually is cost-prohibitive, and existing algorithmic solutions rely almost…
Joint models of longitudinal and event-time data have been extensively studied and applied in many different fields. Estimation of joint models is challenging, most present procedures are computational expensive and have a strict…
We develop an information-theoretic framework for discrete dynamics grounded in a comparison-cost functional on ratios. Given two quantities compared via their ratio \(x=a/b\), we assign a cost \(F(x)\) measuring deviation from equilibrium…
Traditional pricing paradigms, once dominated by static models and rule-based heuristics, are increasingly being replaced by dynamic, data-driven approaches powered by machine learning algorithms. Despite their growing sophistication, most…
We present empirical evidence on the relationship between demand shocks and price changes, conditional on returns to scale. We find that in industries with decreasing returns to scale, demand increases (which raise costs) correspond to…
Conditional mutual information is important in the selection and interpretation of graphical models. Its empirical version is well known as a generalised likelihood ratio test and that it may be represented as a difference in entropy. We…
The analysis of markets with indivisible goods and fixed exogenous prices has played an important role in economic models, especially in relation to wage rigidity and unemployment. This research report provides a mathematical and…
Antitrust authorities frequently rely on structural divestitures to address competitive concerns raised by mergers. Using census-level establishment data and proprietary transaction records from the U.S. grocery sector, we provide…
This paper models firm-to-firm trade in a production network as a set of double auctions. Firms have multilateral market power, namely, can affect prices in both input and output markets. The size and division of surplus are endogenous and…