Related papers: Chasing Tails: How Do People Respond to Wait Time …
We consider the distribution of the duration time, the time elapsed since it began, of a diffusion process given its present position, under the assumption that the process began at the origin. For unbiased diffusion, the distribution does…
Cloud based tiered applications are increasingly becoming popular, be it on phones or on desktops. End users of these applications range from novice to expert depending on how experienced they are in using them. With repeated usage…
We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed to have zero drift. The realized third and fourth moments variations computed…
When making a decision as a group, there are two primary paradigms: aggregating preferences (e.g. voting, mechanism design) and aggregating information (e.g. discussion, consulting, forecasting). Almost all formally-studied group…
We consider the tail probabilities of stock returns for a general class of stochastic volatility models. In these models, the stochastic differential equation for volatility is autonomous, time-homogeneous and dependent on only a finite…
Crowdsourcing can identify high-quality solutions to problems; however, individual decisions are constrained by cognitive biases. We investigate some of these biases in an experimental model of a question-answering system. In both natural…
Whenever a social media user decides to share a story, she is typically pleased to receive likes, comments, shares, or, more generally, feedback from her followers. As a result, she may feel compelled to use the feedback she receives to…
Motivated by the empirical observation of power-law distributions in the credits (e.g., ``likes'') of viral posts in social media, we introduce a high-dimensional tail index regression model and propose methods for estimation and inference…
We develop an econometric framework integrating heavy-tailed Student's $t$ distributions with behavioral probability weighting while preserving infinite divisibility. Using 432{,}752 observations across 86 assets (2004--2024), we…
Multiple teams participate in a random competition. In each round the winner receives one point. We study the times until ties occur among teams. We construct martingales and supermartingales that enable us to prove the results regarding…
The extreme value dependence of regularly varying stationary time series can be described by the spectral tail process. Drees, Segers and Warchol [Extremes 18(3): 369--402, 2015] proposed estimators of the marginal distributions of this…
Inference-time alignment effectively steers large language models (LLMs) by generating multiple candidates from a reference model and selecting among them with an imperfect reward model. However, current strategies face a fundamental…
Current models for opinion dynamics typically utilize a Poisson process for speaker selection, making the waiting time between events exponentially distributed. Human interaction tends to be bursty, though, having higher probabilities of…
Shared rides are often considered to be a promising travel alternative that could efficiently pool people together while offering a door-to-door service. Notwithstanding, even though demand distribution patterns are expected to greatly…
We implement nonparametric revealed-preference tests of subjective expected utility theory and its generalizations. We find that a majority of subjects' choices are consistent with the maximization of some utility function. They respond to…
At high levels, the asymptotic distribution of a stationary, regularly varying Markov chain is conveniently given by its tail process. The latter takes the form of a geometric random walk, the increment distribution depending on the sign of…
We study the effect of public tallies on online elections, in a setting where voting is costly and voters are allowed to strategically time their votes. The strategic importance of choosing \emph{when} to vote arises when votes are public,…
This paper investigates the use of extreme value theory for modelling the distribution of demand-net-of-wind for capacity adequacy assessment. Extreme value theory approaches are well-established and mathematically justified methods for…
Scheduling of service requests in Cloud computing has traditionally focused on the reduction of pre-service wait, generally termed as waiting time. Under certain conditions such as peak load, however, it is not always possible to give…
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying…