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The Taylor hypothesis which allows surrogating spatial measurements requiring many experimental probes by time series from one or two probes is examined on the basis of a simple analytic model of turbulent statistics. The main points are as…
In many areas of industry and society, e.g., energy, healthcare, logistics, agents collect vast amounts of data that they deem proprietary. These data owners extract predictive information of varying quality and relevance from data…
This paper studies the evaluation of methods for targeting the allocation of limited resources to a high-risk subpopulation. We consider a randomized controlled trial to measure the difference in efficiency between two targeting methods and…
We use a recent, high-quality data set from Nasdaq to perform an empirical analysis of order flow in a limit order book (LOB) before and after the arrival of a market order. For each of the stocks that we study, we identify a sequence of…
We study the online preemptive scheduling of intervals and jobs (with restarts). Each interval or job has an arrival time, a deadline, a length and a weight. The objective is to maximize the total weight of completed intervals or jobs.…
Temporal data distribution shift is prevalent in the financial text. How can a financial sentiment analysis system be trained in a volatile market environment that can accurately infer sentiment and be robust to temporal data distribution…
This paper proposes TIP-Search, a time-predictable inference scheduling framework for real-time market prediction under uncertain workloads. Motivated by the strict latency demands in high-frequency financial systems, TIP-Search dynamically…
Time and Sales of corn futures traded electronically on the CME Group Globex are studied. Theories of continuous prices turn upside down reality of intra-day trading. Prices and their increments are discrete and obey lattice probability…
In this work, we study a scenario where a publisher seeks to maximize its total revenue across two sales channels: guaranteed contracts that promise to deliver a certain number of impressions to the advertisers, and spot demands through an…
In this paper, we conduct a large-scale field experiment to investigate the manipulability of prediction markets. The main experiment involves randomly shocking prices across 817 separate markets; we then collect hourly price data to…
This paper investigates the barriers to gender convergence using Japan as a salient environment to explore the interactive effects of labor market structures and social norms. I develop a quantitative model of household labor supply where…
As more individuals consider permanently working from home, the online labor market continues to grow as an alternative working environment. While the flexibility and autonomy of these online gigs attracts many workers, success depends…
In France, for administrative reasons, unemployed workers may actually be involved in occasional work while remaining identified as unemployed (and receiving the corresponding benefit). This is due to the fact that the unemployed are deemed…
In practice there are temporary arbitrage opportunities arising from the fact that prices for a given asset at different stock exchanges are not instantaneously the same. We will show that even in such an environment there exists a…
This paper analyzes the strategic interactions between a profit-maximizing monopolist and a free, capacity-constrained public option. By restricting its own supply, the monopolist intentionally congests the public option and induces…
This paper addresses the sample selection model within the context of the gender gap problem, where even random treatment assignment is affected by selection bias. By offering a robust alternative free from distributional or specification…
One of the recent innovations in urban distribution is crowdsourced delivery, where deliveries are made by occasional drivers who wish to utilize their surplus resources (unused transport capacity) by making deliveries in exchange for some…
We use a rich, census-like Brazilian dataset containing information on spatial mobility, schooling, and income in which we can link children to parents to assess the impact of early education on several labor market outcomes. Brazilian…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
Multi-armed bandit algorithms have been argued for decades as useful for adaptively randomized experiments. In such experiments, an algorithm varies which arms (e.g. alternative interventions to help students learn) are assigned to…