Related papers: Market Definition: A Sensitivity Analysis
Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient…
We determine the amount of information contained in a time series of price returns at a given time scale, by using a widespread tool of the information theory, namely the Shannon entropy, applied to a symbolic representation of this time…
We model competition on a credence goods market governed by an imperfect label, signaling high quality, as a rank-order tournament between firms. In this market interaction, asymmetric firms jointly and competitively control the aggregate…
We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to…
We consider a monopolistic seller in a market that may be segmented. The surplus of each consumer in a segment depends on the price that the seller optimally charges, which depends on the set of consumers in the segment. We study which…
We introduce a new microeconomics foundation of a specific type of competitive market equilibrium that can be used to study several markets with information asymmetry such as commodity market, credit market, and insurance market.
Signed graphs are widely used to analyze complex systems such as social, political, and biological networks. The notion of balance, a key concept of signed graphs, reflects the stability of relationships. While it has been extensively…
I construct a Market Stress Probability Index (MSPI) that estimates the probability of high stress in the U.S. equity market one month ahead using information from the cross-section of individual stocks. Using CRSP daily data, each month is…
This study more complex digital platforms in early stages in the two-sided market to produce powerful network effects. In this study, I use Transfer Entropy to look for super users who connect hominids in different networks to achieve…
Since the 1960s, the question whether markets are efficient or not is controversially discussed. One reason for the difficulty to overcome the controversy is the lack of a universal, but also precise, quantitative definition of efficiency…
Although both data availability and the demand for accurate forecasts are increasing, collaboration between stakeholders is often constrained by data ownership and competitive interests. In contrast to recent proposals within cooperative…
The supply function equilibrium (SFE) is a model for competition in markets where each firm offers a schedule of prices and quantities to face demand uncertainty, and has been successfully applied to wholesale electricity markets. However,…
Probabilistic sensitivity analysis identifies the influential uncertain input to guide decision-making. We propose a general sensitivity framework with respect to the input distribution parameters that unifies a wide range of sensitivity…
In recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing…
Sensitivity Analysis is a framework to assess how conclusions drawn from missing outcome data may be vulnerable to departures from untestable underlying assumptions. We extend the E-value, a popular metric for quantifying robustness of…
We develop a new stock market index that captures the chaos existing in the market by measuring the mutual changes of asset prices. This new index relies on a tensor-based embedding of the stock market information, which in turn frees it…
In order to find a way of measuring the degree of incompleteness of an incomplete financial market, the rank of the vector price process of the traded assets and the dimension of the associated acceptance set are introduced. We show that…
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.…
The possibility of statistical evaluation of the market completeness and incompleteness is investigated for continuous time diffusion stock market models. It is known that the market completeness is not a robust property: small random…
Empirical evidence suggests that even the most competitive markets are not strictly efficient. Price histories can be used to predict near future returns with a probability better than random chance. Many markets can be considered as {\it…