Related papers: Market Definition: A Sensitivity Analysis
In terms of transfer entropy, we investigated the strength and the direction of information transfer in the US stock market. Through the directionality of the information transfer, the more influential company between the correlated ones…
Input-Output analysis describes the dependence of production, demand and trade between sectors and regions and allows to understand the propagation of economic shocks through economic networks. A central challenge in practical applications…
Statistical physics of complex systems exploits network theory not only to model, but also to effectively extract information from many dynamical real-world systems. A pivotal case of study is given by financial systems: market prediction…
We propose a new statistical estimation framework for a large family of global sensitivity analysis methods. Our approach is based on rank statistics and uses an empirical correlation coefficient recently introduced by Sourav Chatterjee. We…
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…
Fixed income markets share many features with the equity markets. However there are significant differences as well and many attempts have been done in the past to develop specific tools which describe (and possibly forecasts) the behavior…
Motivated by the increasing integration among electricity markets, in this paper we propose two different methods to incorporate market integration in electricity price forecasting and to improve the predictive performance. First, we…
We quantify a social organization's potentiality, that is its ability to attain different configurations. The organization is represented as a network in which nodes correspond to individuals and (multi-)edges to their multiple…
In this article we model chaotic dynamics in financial markets by treating the market price, and market makers' inventory, as anharmonic oscillators with a nonlinear coupling. The market makers' risk appetite being the key parameter that…
The available liquidity at any time in financial markets falls largely short of the typical size of the orders that institutional investors would trade. In order to reduce the impact on prices due to the execution of large orders, traders…
In portfolio compression, market participants (banks, organizations, companies, financial agents) sign contracts, creating liabilities between each other, which increases the systemic risk. Large, dense markets commonly can be compressed by…
The main objective of this paper is to estimate optimally Sobol' indices at any order when a unique input/output i.i.d.\ sample is available. Our approach stands on three main ingredients: semi-parametric estimation theory, high-order…
We construct a correlation matrix based financial network for a set of New York Stock Exchange (NYSE) traded stocks with stocks corresponding to nodes and the links between them added one after the other, according to the strength of the…
We study Fisher markets that admit equilibria wherein each good is integrally assigned to some agent. While strong existence and computational guarantees are known for equilibria of Fisher markets with additive valuations, such equilibria,…
Sensitivity to unmeasured confounding is not typically a primary consideration in designing treated-control comparisons in observational studies. We introduce a framework allowing researchers to optimize robustness to omitted variable bias…
We consider an economy made of competing firms which are heterogeneous in their capital and use several inputs for producing goods. Their consumption policy is fixed rationally by maximizing a utility and their capital cannot fall below a…
A fundamental question about a market is under what conditions, and then how rapidly, does price signaling cause price equilibration. Qualitatively, this ought to depend on how well-connected the market is. We address this question…
Network architecture design is very important for the optimization of industrial networks. The type of network architecture can be divided into small-scale network and large-scale network according to its scale. Graph theory is an efficient…
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…
The academic job market for new statisticians is highly congested at the interview stage, where departments must rank and select candidates from large applicant pools without credible signals of candidate interest. As a result, interviews…