arXiv research

Proposes using DII to identify non-linear causal relationships in EU Allowances returns.

The recently announced Energy Union by the European Commission is the most recent step in a series of developments aiming at integrating the EU's gas markets to increase social welfare (SW) and security of gas supply. Based on a spatial partial equilibrium model, we analyze the changes in consumption, prices, and SW up…

Study assesses sugar beet yields under EU's neonicotinoids ban and climate change.

Study analyzes EU in variational inference for Bayesian deep learning.

A thermodynamic theory explains EU election vote distributions.

The aim of the present article is to offer a strictly mathematical, statistical treatment of the current account balances in EU and in the Eurozone. Based on Eurostat data, an overview of the total and annual balances is first made for different collections among the EU countries. Then, using the Mathematica technical …

Study identifies clusters of EU countries with similar young mortality patterns.

Study examines how EU's Value at Risk constraints affect insurance oligopolies.

This study analyzes EU ETS literature trends using bibliometric methods.

China and EU race to develop hydrogen for energy transition.

Using the United Nations COMTRADE database we apply the reduced Google matrix (REGOMAX) algorithm to analyze the multiproduct world trade in years 2004-2016. Our approach allows to determine the trade balance sensitivity of a group of countries to a specific product price increase from a specific exporting country taki…

Study analyzes EU ETS carbon market dynamics, revealing inefficiencies and anomalies.

CreDRO learns credal ensembles via distributionally robust optimization, improving EU quantification.

Most of the analytical techniques used in the business cycle synchronisation literature rely upon the estimation of an empirical correlation matrix of time series data of macroeconomic aggregates, real GDP usually being the key variable. But the small number of available observations and small number of economies mean …

The paper develops a test for EU portfolio efficiency in high dimensions.

Study uses non-parametric method to analyze EU ETS price determinants.

Examines financial risks' impact on EU-15 economic growth.

In a highly interdependent economic world, the nature of relationships between financial entities is becoming an increasingly important area of study. Recently, many studies have shown the usefulness of minimal spanning trees (MST) in extracting interactions between financial entities. Here, we propose a modified MST n…

In this paper, we propose a methodology based on piece-wise homogeneous Markov chain for credit ratings and a multivariate model of the credit spreads to evaluate the financial risk in European Union (EU). Two main aspects are considered: how the financial risk is distributed among the European countries and how large …

The cluster analysis methods are used in order to perform a comparative study of 15 EU countries in relation with the fluctuations of some basic macroeconomic indicators. The statistical distances between countries are calculated for various moving time windows, and the time variation of the mean statistical distance i…

Unified framework for causal inference with reliable uncertainty quantification.

First European crop map created using satellite data.

DDSTN improves breast cancer diagnosis by leveraging imbalanced ultrasound modalities.

Active learning suffers from biased non-response, which this paper addresses.

Model predicts EU carbon prices using market and political factors.

Among the central tenets of globalization is free migration of labor. Although much has been written about its benefits, little is known about the limitations of globalization, including how immigration affects the anti-globalist sentiment. Analyzing polls data, we find that over the last three years in a group of EU c…

We present a novel approach to the pricing of financial instruments in emission markets, for example, the EU ETS. The proposed structural model is positioned between existing complex full equilibrium models and pure reduced form models. Using an exogenously specified demand for a polluting good it gives a causal explan…

We explain a persistent cost-of-carry spread in EUA market and suggest ECB policy change.

The paper examines how CoCo bonds can enhance financial stability in interconnected banking systems.

Study reveals inefficiencies in EU carbon trading market.

We apply the recently developed reduced Google matrix algorithm for the analysis of the OECD-WTO world network of economic activities. This approach allows to determine interdependences and interactions of economy sectors of several countries, including China, Russia and USA, properly taking into account the influence …

We report on time-varying network connectedness within three banking systems: North America, the EU, and ASEAN. The original method by Diebold and Yilmaz is improved by using exponentially weighted daily returns and ridge regularization on vector autoregression (VAR) and forecast error variance decomposition (FEVD). We…

Model for multi-period carbon market pricing with allowances.

We introduce O-systems (Definition \ref{DO}) of orthogonal transformations of ${\Bbb R}^{m}$, and establish $1-1$ correspondences both between equivalence classes of Clifford systems and that of O-systems, and between O-systems and orthogonal multiplications of the form $μ:{\Bbb R}^{n} \times {\Bbb R}^{m} \longrightarr…

Dynamic clustering for time series data with evolving memberships.

Inside the EU, the commercial integration of the CEE countries has gained remarkable momentum before the crisis appearance, but it has slightly slowed down afterwards. Consequently, the interest in identifying the factors supporting the commercial integration process is high. Recent findings in the new trade theory sug…

AI systems need reliable testing to ensure safety and trustworthiness.

In decision under risk, the primal moments of mean and variance play a central role to define the local index of absolute risk aversion. In this paper, we show that in canonical non-EU models dual moments have to be used instead of, or on par with, their primal counterparts to obtain an equivalent index of absolute ris…

In the late 90's, after severe financial and economic crisis, accompanied by inflation and exchange rate instability, Eastern Europe emerged into two groups of countries with radically contrasting monetary regimes (Currency Boards and Inflation targeting). The task of our study is to compare econometrically the perform…

We study the statistics of earning forecasts of US, EU, UK and JP stocks during the period 1987-2004. We confirm, on this large data set, that financial analysts are on average over-optimistic and show a pronounced herding behavior. These effects are time dependent, and were particularly strong in the early nineties an…

Model analyzes trading frictions in cap-and-trade markets, showing how they interact to affect market effectiveness.

The model of rational decision-making in most of economics and statistics is expected utility theory (EU) axiomatised by von Neumann and Morgenstern, Savage and others. This is less the case, however, in financial economics and mathematical finance, where investment decisions are commonly based on the methods of mean-v…

We develop a new criterion to tell if a group $G$ has the maximal gap of $1/2$ in stable commutator length (scl). For amalgamated free products $G = A \star_C B$ we show that every element $g$ in the commutator subgroup of $G$ which does not conjugate into $A$ or $B$ satisfies $scl(g) \geq 1/2$, provided that $C$ embed…

mlpy is a Python Open Source Machine Learning library built on top of NumPy/SciPy and the GNU Scientific Libraries. mlpy provides a wide range of state-of-the-art machine learning methods for supervised and unsupervised problems and it is aimed at finding a reasonable compromise among modularity, maintainability, repro…

Investment behavior in wine industry influenced by profitability and capitalization.

The ubiquity of systems using artificial intelligence or "AI" has brought increasing attention to how those systems should be regulated. The choice of how to regulate AI systems will require care. AI systems have the potential to synthesize large amounts of data, allowing for greater levels of personalization and preci…

Study uses neural networks to predict firm earnings, outperforming benchmarks and analysts.

Khimshiashvili proved a topological degree formula for the Eu-ler characteristic of the Milnor fibres of a real function-germ with an isolated singularity. We give two generalizations of this result for non-isolated singularities. As corollaries we obtain an algebraic formula for the Euler characteristic of the fibres …