相关论文: The Naive Extrapolation Hypothesis and the Rosy-Gl…
The inflation of Type I error rates is thought to be one of the causes of the replication crisis. Questionable research practices such as p-hacking are thought to inflate Type I error rates above their nominal level, leading to unexpectedly…
We present an analytical model to study the role of expectation feedbacks and overlapping portfolios on systemic stability of financial systems. Building on [Corsi et al., 2016], we model a set of financial institutions having Value at Risk…
A phenomenon of the financial log-periodicity is discussed and the characteristics that amplify its predictive potential are elaborated. The principal one is self-similarity that obeys across all the time scales. Furthermore the same…
We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary…
The ultimate purpose of most computational models is to make predictions, commonly in support of some decision-making process (e.g., for design or operation of some system). The quantities that need to be predicted (the quantities of…
Myopic investors are locally rational decision-makers but globally irrational. Their suboptimal portfolios lag the market. As a consequence, other market participants are provided with profit opportunities. Not subterfuge but constrained…
In economic literature, economic complexity is typically approximated on the basis of an economy's gross export structure. However, in times of ever increasingly integrated global value chains, gross exports may convey an inaccurate image…
As the use of complex machine learning models continues to grow, so does the need for reliable explainability methods. One of the most popular methods for model explainability is based on Shapley values. There are two most commonly used…
We study a large economy in which firms cannot compute exact solutions to the non-linear equations that characterize the equilibrium price at which they can sell future output. Instead, firms use polynomial expansions to approximate prices.…
We provide experimental evidence on how employers adjust expectations to automation risk in high-skill, white-collar work. Using a randomized information intervention among tax advisors in Germany, we show that firms systematically…
Share valuations are known to adjust to new information entering the market, such as regulatory disclosures. We study whether the language of such news items can improve short-term and especially long-term (24 months) forecasts of stock…
Phenomena as diverse as breeding bird populations, the size of U.S. firms, money invested in mutual funds, the GDP of individual countries and the scientific output of universities all show unusual but remarkably similar growth…
Motivated by the Basel 3 regulations, recent studies have considered joint forecasts of Value-at-Risk and Expected Shortfall. A large family of scoring functions can be used to evaluate forecast performance in this context. However, little…
This paper extends quantile factor analysis to a probabilistic variant that incorporates regularization and computationally efficient variational approximations. We establish through synthetic and real data experiments that the proposed…
We study the propensity of independent algorithms to collude in repeated Cournot duopoly games. Specifically, we investigate the predictive power of different oligopoly and bargaining solutions regarding the effect of asymmetry between…
Predicting the exit (e.g. bankrupt, acquisition, etc.) of privately held companies is a current and relevant problem for investment firms. The difficulty of the problem stems from the lack of reliable, quantitative and publicly available…
We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this…
We explore conclusions a person draws from observing society when he allows for the possibility that individuals' outcomes are affected by group-level discrimination. Injecting a single non-classical assumption, that the agent is…
Dan Lovallo and Daniel Kahneman must be commended for their clear identification of causes and cures to the planning fallacy in "Delusions of Success: How Optimism Undermines Executives' Decisions" (HBR July 2003). Their look at…
We revisit granular models that represent the size of a firm as the sum of the sizes of multiple constituents or sub-units. Originally developed to address the unexpectedly slow reduction in volatility as firm size increases, these models…