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Recent studies concerning the point electricity price forecasting have shown evidence that the hourly German Intraday Continuous Market is weak-form efficient. Therefore, we take a novel, advanced approach to the problem. A probabilistic…
Buyers (e.g., advertisers) often have limited financial and processing resources, and so their participation in auctions is throttled. Changes to auctions may affect bids or throttling and any change may affect what winners pay. This paper…
Peer prediction mechanisms are often adopted to elicit truthful contributions from crowd workers when no ground-truth verification is available. Recently, mechanisms of this type have been developed to incentivize effort exertion, in…
Randomized experiments (a.k.a. A/B tests) are a powerful tool for estimating treatment effects, to inform decisions making in business, healthcare and other applications. In many problems, the treatment has a lasting effect that evolves…
We propose a general methodology to measure labour market dynamics, inspired by the search and matching framework, based on the estimate of the transition rates between labour market states. We show how to estimate instantaneous transition…
In a financial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investment position. This suggests the use of…
We analyze the role of selection bias in generating the changes in the observed distribution of female hourly wages in the United States using CPS data for the years 1975 to 2020. We account for the selection bias from the employment…
Unemployment benefits in the US were extended by up to 73 weeks during the Great Recession. Equilibrium labor market theory indicates that extensions of benefit duration impact not only search decisions by job seekers but also job vacancy…
We study the effect of providing information to agents who queue before a scarce good is distributed at a fixed time. Many information policies reveal "sudden bad news," when agents learn the queue is longer than previously believed. Sudden…
In this paper we demonstrate a striking regularity in the way people place limit orders in financial markets, using a data set consisting of roughly seven million orders from the London Stock Exchange. We define the relative limit price as…
We consider a model where an agent has a repeated decision to make and wishes to maximize their total payoff. Payoffs are influenced by an action taken by the agent, but also an unknown state of the world that evolves over time. Before…
We argue that deterministic market clearing formulations introduce arbitrary distortions between day-ahead and expected real-time prices that bias economic incentives and block diversification. We extend and analyze the stochastic clearing…
Treatment effects estimated from a randomized controlled trial are local not only to the study population but also to the time at which the trial was conducted. The literature on generalizing experimental findings to new populations is…
We examine random variables in the power law/regularly varying class with stochastic tail exponent, the exponent $\alpha$ having its own distribution. We show the effect of stochasticity of $\alpha$ on the expectation and higher moments of…
This paper shows that group composition shapes the effectiveness of labor market training programs for jobseekers. Using rich administrative data from Germany and a novel measure of employability, I find that participants benefit from…
In this work, we consider the case where a source with bursty traffic can adjust the transmission duration in order to increase the reliability. The source is equipped with a queue in order to store the arriving packets. We model the system…
Temporal networks have been increasingly used to model a diversity of systems that evolve in time; for example human contact structures over which dynamic processes such as epidemics take place. A fundamental aspect of real-life networks is…
On markets with receding prices, artificial noise traders may consider alternatives to buy-and-hold. By simulating variations of the Parrondo strategy, using real data from the Swedish stock market, we produce first indications of a…
This paper investigates a robust empirical Bayes correction for Bayesian modeling. We show the application of the model on income distribution. Income shock includes temporal and permanent shocks. We aim to eliminate temporal shock and…
The practice of speculative decoding, whereby inference is probabilistically supported by a smaller, cheaper, ``drafter'' model, has become a standard technique for systematically reducing the decoding time of large language models. This…