Related papers: Mechanical vs. informational components of price i…
Traditional economic models typically treat private information, or signals, as generated from some underlying state. Recent work has explicated alternative models, where signals correspond to interpretations of available information. We…
Machine maintenance is a challenging operational problem, where the goal is to plan sufficient preventive maintenance to avoid machine failures and overhauls. Maintenance is often imperfect in reality and does not make the asset as good as…
Individuals are often influenced by the behavior of others, for instance because they wish to obtain the benefits of coordinated actions or infer otherwise inaccessible information. In such situations this social influence decreases the ex…
Information value, a measure for decision sensitivity, can provide essential information in engineering and environmental assessments. It quantifies the potential for improved decision-making when reducing uncertainty in specific inputs. By…
We consider a market of risky financial assets whose participants are an informed trader, a representative uninformed trader, and noisy liquidity providers. We prove the existence of a market-clearing equilibrium when the insider…
Financial markets exhibit an apparent paradox: while directional price movements remain largely unpredictable--consistent with weak-form efficiency--the magnitude of price changes displays systematic structure. Here we demonstrate that…
We investigate the impact of order flow imbalance (OFI) on price movements in equity markets in a multi-asset setting. First, we propose a systematic approach for combining OFIs at the top levels of the limit order book into an integrated…
We propose a fully probabilistic formulation of the notion of mechanistic interaction (interaction in some fundamental mechanistic sense) between the effects of putative (possibly continuous) causal factors A and B on a binary outcome…
In the context of a general semimartingale model of a complete market, we aim at answering the following question: How much is an investor willing to pay for learning some inside information that allows to achieve arbitrage? If such a value…
Order effects occur when judgments about a hypothesis's probability given a sequence of information do not equal the probability of the same hypothesis when the information is reversed. Different experiments have been performed in the…
Information and uncertainty are closely related and extensively studied concepts in a number of scientific disciplines such as communication theory, probability theory, and statistics. Increasing the information arguably reduces the…
We investigate possible origins of trends using a deterministic threshold model, where we refer to long-term variabilities of price changes (price movements) in financial markets as trends. From the investigation we find two phenomena. One…
Most of the existing literature on optimal trade execution in limit order book models assumes that resilience is positive. But negative resilience also has a natural interpretation, as it models self-exciting behaviour of the price impact,…
We demonstrate that minority mechanisms arise in the dynamics of markets because of effects of price impact; accordingly the relative importance of minority and delayed majority mechanisms depends on the frequency of trading. We then use…
We develop an axiomatic theory of information acquisition that captures the idea of constant marginal costs in information production: the cost of generating two independent signals is the sum of their costs, and generating a signal with…
Most research questions in agricultural and applied economics are of a causal nature, i.e., how one or more variables (e.g., policies, prices, the weather) affect one or more other variables (e.g., income, crop yields, pollution). Only some…
A generalization of the economic model of natural growth, which takes into account the power-law memory effect, is suggested. The memory effect means the dependence of the process not only on the current state of the process, but also on…
A generalization of the economic model of logistic growth, which takes into account the effects of memory and crises, is suggested. Memory effect means that the economic factors and parameters at any given time depend not only on their…
How a shock to an individual sector propagates to the prices of other sectors and aggregates to GDP depends on how easily sectoral goods can be substituted in production, which is determined by the intermediate input substitution…
Sequential measurements of non-commuting observables produce order effects that are well-known in quantum physics. But their conceptual basis, a significant measurement interaction, is relevant for far more general situations. We argue that…