相关论文: A Novel Multi-Period and Multilateral Price Index

Price indexes in time and space is a most relevant topic in statistical analysis from both the methodological and the application side. In this paper a price index providing a novel and effective solution to price indexes over several…

Over the past five decades a number of multilateral index number systems have been proposed for spatial and cross-country price comparisons. These multilateral indexes are usually expressed as solutions to systems of linear or nonlinear…

The participation of renewable, energy storage, and resources with limited fuel inventory in electricity markets has created the need for optimal scheduling and pricing across multiple market intervals for resources with intertemporal…

The multi-index model is a simple yet powerful high-dimensional regression model which circumvents the curse of dimensionality assuming $ \mathbb{E} [ Y | X ] = g(A^\top X) $ for some unknown index space $A$ and link function $g$. In this…

Multicollinearity produces an inflation in the variance of the Ordinary Least Squares estimators due to the correlation between two or more independent variables (including the constant term). A widely applied solution is to estimate with…

It is shown that the the popular least squares method of option pricing converges even under very general assumptions. This substantially increases the freedom of creating different implementations of the method, with varying levels of…

The importance of considering the volumes to analyze stock prices movements can be considered as a well-accepted practice in the financial area. However, when we look at the scientific production in this field, we still cannot find a…

In this article, we propose a class of semiparametric mixture regression models with single-index. We argue that many recently proposed semiparametric/nonparametric mixture regression models can be considered special cases of the proposed…

Multilateral index numbers are often used to make claims about welfare, such as treating PPPs as cross-country costs of living or real incomes as indicators of living standards. However, such interpretations may not be consistent with the…

In the context of global trade, cross-border commodity pricing largely determines the competitiveness and market share of businesses. However, existing methodologies often prove inadequate, as they lack the agility and precision required to…

Pricing of high-dimensional options is a deep problem of the Theoretical Financial Mathematics. In this article we present a new class of L\'{e}vy driven models of stock markets. In our opinion, any market model should be based on a…

In many applications, the dataset under investigation exhibits heterogeneous regimes that are more appropriately modeled using piece-wise linear models for each of the data segments separated by change-points. Although there have been much…

We present a methodology for representing probabilistic relationships in a general-equilibrium economic model. Specifically, we define a precise mapping from a Bayesian network with binary nodes to a market price system where consumers and…

The correct understanding of commodity price dynamics can bring relevant improvements in terms of policy formulation both for developing and developed countries. Agricultural, metal and energy commodity prices might depend on each other:…

We present a new model for prediction markets, in which we use risk measures to model agents and introduce a market maker to describe the trading process. This specific choice on modelling tools brings us mathematical convenience. The…

This paper proposes a method for estimating consumer preferences among discrete choices, where the consumer chooses at most one product in a category, but selects from multiple categories in parallel. The consumer's utility is additive in…

We propose a new family of regression models for analyzing categorical responses, called multinomial link models. It consists of four classes, namely, mixed-link models that generalize existing multinomial logistic models and their…

In [1], a single-period co-optimization model of energy and reserve is considered to better illustrate the properties of the co-optimization model and the associated market mechanism. To make the discussion more general, in this paper, the…

Dynamic pricing schemes were introduced as an alternative to posted-price mechanisms. In contrast to static models, the dynamic setting allows to update the prices between buyer-arrivals based on the remaining sets of items and buyers, and…

In this paper, we propose an equilibrium pricing model in a dynamic multi-period stochastic framework with uncertain income streams. In an incomplete market, there exist two traded risky assets (e.g. stock/commodity and weather derivative)…