Related papers: On Cost-Aware Sequential Hypothesis Testing with R…
Causally identifying the effect of digital advertising is challenging, because experimentation is expensive, and observational data lacks random variation. This paper identifies a pervasive source of naturally occurring, quasi-experimental…
This paper introduces a framework for modeling the cost of information acquisition based on the principle of cost-minimization. We study the reduced-form \emph{indirect cost} of information generated by the sequential minimization of a…
Estimation and inference in dynamic discrete choice models often relies on approximation to lower the computational burden of dynamic programming. Unfortunately, the use of approximation can impart substantial bias in estimation and results…
The use of hypothetical instead of real decision-making incentives remains under debate after decades of economic experiments. Standard incentivized experiments involve substantial monetary costs due to participants' earnings and often…
A new procedure is presented for the objective comparison and evaluation of default definitions. This allows the lender to find a default threshold at which the financial loss of a loan portfolio is minimised, in accordance with Basel II.…
We develop an empirical behavioural order-driven (EBOD) model, which consists of an order placement process and an order cancellation process. Price limit rules are introduced in the definition of relative price. The order placement process…
In the design of probabilistic timed systems, bounded requirements concerning behaviour that occurs within a given time, energy, or more generally cost budget are of central importance. Traditionally, such requirements have been…
In this paper, we have studied the pricing of a continuously collateralized CDS. We have made use of the "survival measure" to derive the pricing formula in a straightforward way. As a result, we have found that there exists irremovable…
This study proposes a tractable stochastic choice model to identify motivations for prosocial behavior, and to explore alternative motivations of deliberate randomization beyond ex-ante fairness concerns. To represent social preferences, we…
We consider a sequential problem in decentralized detection. Two observers can make repeated noisy observations of a binary hypothesis on the state of the environment. At any time, any of the two observers can stop and send a final message…
We propose a sequential, anytime-valid method to test the conditional independence of a response $Y$ and a predictor $X$ given a random vector $Z$. The proposed test is based on e-statistics and test martingales, which generalize likelihood…
We consider a model in which a trader aims to maximize expected risk-adjusted profit while trading a single security. In our model, each price change is a linear combination of observed factors, impact resulting from the trader's current…
Survival outcomes are common in comparative effectiveness studies and require unique handling because they are usually incompletely observed due to right-censoring. A ``once for all'' approach for causal inference with survival outcomes…
Predicting query execution time is a fundamental issue underlying many database management tasks. Existing predictors rely on information such as cardinality estimates and system performance constants that are difficult to know exactly. As…
Continual learning methods are known to suffer from catastrophic forgetting, a phenomenon that is particularly hard to counter for methods that do not store exemplars of previous tasks. Therefore, to reduce potential drift in the feature…
Simulated Annealing is the crowning glory of Markov Chain Monte Carlo Methods for the solution of NP-hard optimization problems in which the cost function is known. Here, by replacing the Metropolis engine of Simulated Annealing with a…
In this paper we take closer look at recent developments for the chase procedure, and provide additional results. Our analysis allows us create a taxonomy of the chase variations and the properties they satisfy. Two of the most central…
Randomized experiments have become the standard method for companies to evaluate the performance of new products or services. In addition to augmenting managers' decision-making, experimentation mitigates risk by limiting the proportion of…
This paper develops computationally feasible methods for estimating random effects models in the context of regression modelling of multiple independent time series of discrete valued counts in which there is serial dependence. Given…
For job scheduling systems, where jobs require some amount of processing and then leave the system, it is natural for each user to provide an estimate of their job's time requirement in order to aid the scheduler. However, if there is no…