Related papers: Mixing it up: Inflation at risk

This paper shows that the degree of approximate multicollinearity in a linear regression model increases simply by including independent variables, even if these are not highly linearly related. In the current situation where it is…

We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the…

For western economies a long-forgotten phenomenon is on the horizon: rising inflation rates. We propose a novel approach christened D2ML to identify drivers of national inflation. D2ML combines machine learning for model selection with time…

Prediction of stock prices plays a significant role in aiding the decision-making of investors. Considering its importance, a growing literature has emerged trying to forecast stock prices with improved accuracy. In this study, we introduce…

Algorithmic pricing is increasingly shaping market competition, raising concerns about its potential to compromise competitive dynamics. While prior work has shown that reinforcement learning (RL)-based pricing algorithms can lead to tacit…

I study the limit of a large random economy, where a set of consumers invests in financial instruments engineered by banks, in order to optimize their future consumption. This exercise shows that, even in the ideal case of perfect…

We introduce a multivariate multidimensional mixed-effects regression model in a finite mixture framework. We relax the usual unidimensionality assumption on the random effects multivariate distribution. Thus, we introduce a…

This paper develops a new model of business cycles. The model is economical in that it is solved with an aggregate demand-aggregate supply diagram, and the effects of shocks and policies are obtained by comparative statics. The model builds…

No matter its source, financial- or policy-related, uncertainty can feed onto itself, inflicting the real economic sector, altering expectations and behaviours, and leading to identification challenges in empirical applications. The strong…

Explicitly taking into account the risk incurred when borrowing at a shorter tenor versus lending at a longer tenor ("roll-over risk"), we construct a stochastic model framework for the term structure of interest rates in which a frequency…

A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random variable but also various economic scenarios. Motivated by this…

In recent years, multi-factor strategies have gained increasing popularity in the financial industry, as they allow investors to have a better understanding of the risk drivers underlying their portfolios. Moreover, such strategies promise…

The bibliometric measure impact factor is a leading indicator of journal influence, and impact factors are routinely used in making decisions ranging from selecting journal subscriptions to allocating research funding to deciding tenure…

Empirical evidence suggests that there is little to no correlation between the rate of inflation and the size of price change. Economists have hitherto taken this to mean that monetary shocks do not generate much deviation in relative…

We investigate the observational signatures of many-field inflation and present analytic expressions for the spectral index as a function of the prior. For a given prior we employ the central limit theorem and the horizon crossing…

Estimating and controlling large risks has become one of the main concern of financial institutions. This requires the development of adequate statistical models and theoretical tools (which go beyond the traditionnal theories based on…

The objective of this paper is to find the existence of a relationship between stock market prices and the fundamental macroeconomic indicators. We build a Vector Auto Regression (VAR) model comprising of nine major macroeconomic indicators…

Any optimization algorithm based on the risk parity approach requires the formulation of portfolio total risk in terms of marginal contributions. In this paper we use the independence of the underlying factors in the market to derive the…

We note that the essential idea of inflation, that the universe underwent a brief period of accelerated expansion followed by a long period of decelerated expansion, can be encapsulated in a "closure condition" which relates the amount of…

Measuring the corporate default risk is broadly important in economics and finance. Quantitative methods have been developed to predictively assess future corporate default probabilities. However, as a more difficult yet crucial problem,…