相关论文: Quantifying socio-temporal effects of loan delinqu…
This article proposes a family of link functions for the multinomial response model. The link family includes the multicategorical logistic link as one of its members. Conditions for the local orthogonality of the link and the regression…
We study a nonlinear factor model in which observed responses depend on low-rank latent factors through an unknown monotone link function. This setting is challenging and largely underexplored due to severe nonconvexity and identifiability…
Multiplex contagion dynamics display localization phenomena in which spreading activity concentrates on a subset of layers, as well as delocalized regimes where layers behave collectively. We investigate how these regimes are encoded in…
This paper establishes (set) identification results in a dynamic dyadic network formation model with time-varying observed covariates, lagged local network statistics, and unobserved heterogeneity in the form of fixed effects. Our framework…
Backtesting LLMs on resolved events assumes models reason only from pre-cutoff knowledge, yet pretrained models inevitably leak post-cutoff knowledge. We introduce a claim-level evaluation framework that decomposes prediction rationales…
In multivariate time series systems, it has been observed that certain groups of variables partially lead the evolution of the system, while other variables follow this evolution with a time delay; the result is a lead-lag structure amongst…
Macroeconomic factors have a critical impact on banking credit risk, which cannot be directly controlled by banks, and therefore, there is a need for an early credit risk warning system based on the macroeconomy. By comparing different…
Memory plays a vital role in the temporal evolution of interactions of complex systems. To address the impact of memory on the temporal pattern of networks, we propose a simple preferential connection model, in which nodes have a…
Discovering temporal lagged and inter-dependencies in multivariate time series data is an important task. However, in many real-world applications, such as commercial cloud management, manufacturing predictive maintenance, and portfolios…
Attribution theory explains how individuals interpret and attribute others' behavior in a social context by employing personal (dispositional) and impersonal (situational) causality. Large Language Models (LLMs), trained on human-generated…
The rate at which nodes in evolving social networks acquire links (friends, citations) shows complex temporal dynamics. Preferential attachment and link copying models, while enabling elegant analysis, only capture rich-gets-richer effects,…
We propose a method of analyzing multivariate time series data that investigates lead-lag relationships among economic indicators during the COVID-19 era with a weighted directed network of lagged variables. The analysis includes a stock…
In this paper, I present the first comprehensive, around-the-clock analysis of systematic jump risk by combining high-frequency market data with contemporaneous news narratives identified as the underlying causes of market jumps. These…
For more than a half-century, credit risk management has used credit scoring models in each of its well-defined stages to manage credit risk. Application scoring is used to decide whether to grant a credit or not, while behavioral scoring…
This paper characterises dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature.…
This paper addresses the critical challenge of stochastic latent heterogeneity in online decision-making, where individuals' responses to actions vary not only with observable contexts but also with unobserved, randomly realized subgroups.…
Large language models are increasingly used as computational tools for modeling human-like behavior. We introduce a behavioral induction framework that modifies model policies through fine-tuning on structured decision-making tasks: using…
A nonlinear time-delay model is proposed to describe the interaction dynamics between criminal and non-criminal populations, combining social influence mechanisms, saturation effects represented by a Holling type II functional response, and…
This article proposes a method for measuring the latent risks involved in the recovery process of non performing loans in financial institutions and business firms that deal with collection and recovery processes. To that end, we apply the…
Network autocorrelation models are widely used to evaluate the impact of social influence on some variable of interest. This is a large class of models that parsimoniously accounts for how one's neighbors influence one's own behaviors or…