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In deregulated railway markets, efficient management of infrastructure charges is essential for sustaining railway systems. This study sets out a method for infrastructure managers to price access to railway infrastructure, focusing on…
This paper proposes a novel framework for active fault diagnosis and parameter estimation in linear systems operating in closed-loop, subject to unknown but bounded faults. The approach integrates set-membership identification with a cost…
Estimating market impact and transaction costs of large trades (metaorders) is a very important topic in finance. However, using models of price and trade based on public market data provide average price trajectories which are…
This paper derives a closed-form expression linking aggregate markups on imported inputs to concentration in a model of firm-to-firm trade with two-sided market power. Our theory extends standard oligopoly insights in two dimensions. First,…
Even in the face of deteriorating and highly volatile demand, firms often invest in, rather than discard, aging technologies. In order to study this phenomenon, we model the firm's profit stream as a Brownian motion with negative drift. At…
Travel time savings are usually the most substantial economic benefit of transport infrastructure projects. However, questions surround whether small time savings are as valuable per unit as larger savings. Thresholds in individual choice…
This paper introduces a new computational framework to account for uncertainties in day-ahead electricity market clearing process in the presence of demand response providers. A central challenge when dealing with many demand response…
A large literature has documented transitivity as a key feature of social networks: individuals are more likely connected with each other if they share common connections with other individuals. We take this idea to trading relationships…
This expository paper discusses Bayesian decision analysis perspectives on problems of constrained forecasting. Foundational and pedagogic discussion contrasts decision analytic approaches with the traditional, but typically inappropriate,…
In this work we propose a new kind of parameterized outer estimate of the united solution set to an interval parametric linear system. The new method has several advantages compared to the methods obtaining parameterized solutions…
Business taxonomies are indispensable tools for investors to do equity research and make professional decisions. However, to identify the structure of industry sectors in an emerging market is challenging for two reasons. First, existing…
Object-oriented software metrics provide a numerical characterization of software quality. They have also been used in the assessment and identification of technical debt. However, metrics generally need to be used with thresholds as…
We propose a new approach for estimating the parameters of a probability distribution. It consists on combining two new methods of estimation. The first is based on the definition of a new distance measuring the difference between…
Pricing decisions stand out as one of the most critical tasks a company faces, particularly in today's digital economy. As with other business decision-making problems, pricing unfolds in a highly competitive and uncertain environment.…
We employ a natural method from the perspective of the optimal stopping theory to analyze entry-exit decisions with implementation delay of a project, and provide closed expressions for optimal entry decision times, optimal exit decision…
We propose a novel method for estimating nonseparable selection models. We show that, for a given selection function, the potential outcome distributions are nonparametrically identified from the selected outcome distributions and can be…
We introduce a new class of tree-based models, P-Trees, for analyzing (unbalanced) panel of individual asset returns, generalizing high-dimensional sorting with economic guidance and interpretability. Under the mean-variance efficient…
Non-survey methods have been developed and applied for estimating regional input-output tables. However, there is an ongoing debate about the assumptions necessary for these methods and their accuracy. To address these issues, this study…
We consider a new approach to portfolio selection in presence of transaction costs which allows to map the problem into one without costs. The proposed approach connects all the quantities of interest to exit times and probabilities to…
Benchmarking is a common method for evaluating trajectory prediction models for autonomous driving. Existing benchmarks rely on datasets, which are biased towards more common scenarios, such as cruising, and distance-based metrics that are…