New dynamic allocation methods for multi-armed bandit models.
problem Dynamic allocation problems in multi-armed bandit models.
method New types of dynamic allocation problems and proofs for Gittins index decomposition.
result New proofs for Gittins index decomposition and related results.
Generally accepted depreciation methods do not compute the intrinsic value of an asset, as they do not factor for the Time Value of Money, a key principle within financial theory. This is disadvantageous, as knowing the intrinsic value of an asset can assist with making effective purchase and sale decisions. By applyin…
Study uses high-frequency data to predict ruble depreciation during crisis.
problem Predicting ruble depreciation during the Russian invasion of Ukraine.
method Uses intraday high-frequency data (google searches and implied volatility) to model exchange rate fluctuations.
result Implied volatility is more effective than attention in predicting ruble depreciation.
Tick-by-tick liquidity provision aims to maximize fees and reserves.
problem Maximizing fees and reserves in concentrated liquidity.
method Convex optimization for tick-level liquidity provision.
result Concentrating liquidity around current price is not always best.
We study an infinite-horizon optimal investment, consumption and insurance problem for an economic agent who consumes a perishable and a durable good. The agent trades in a risk-free asset, a risky asset, and a durable good whose price follows a correlated diffusion, while the stock of the durable good depreciates dete…
The paper reveals the hidden costs of digitizing commodity money and proposes a new stable-coin system.
problem Depreciation of banknotes due to high logistics costs after digitization.
method Analyzing the functions of money from a logistics perspective and comparing commodity money to digital currency.
result There is no honest money that is both a store of value and has negligible logistics costs.
Pension benefits in rural China lead to cognitive decline among the elderly.
problem Cognitive decline in late adulthood among rural Chinese elderly.
method Examined the effects of a new pension scheme on cognitive performance.
result Pension benefits negatively impact cognitive functioning, particularly delayed recall.
Modeling pollution from competing firms using mean-field games.
problem Pollution regulation of competitive firms producing similar goods.
method Developed a mean-field game model with cap-and-trade regulation.
result Explicit solutions found through Riccati differential equations.
The study finds significant financial sector volatility and tail risk spillovers to real economy sectors.
problem Volatility and tail risk spillovers from financial to real economy sectors.
method New measure of tail risk spillover, empirical analysis of U.S. economy 2001-2011.
result Significant volatility and tail risk spillovers from financial to real economy sectors, especially during crises.
Current auto loans converge to super-prime credit despite remaining underwater.
problem Inefficient consumer behavior in auto loans leading to suboptimal credit risk.
method Large-sample statistical hypothesis test on transition matrix between risk bands.
result All current risk bands converge to super-prime credit, despite remaining underwater.
Since August 2000, the stock market in the USA as well as most other western markets have depreciated almost in synchrony according to complex patterns of drops and local rebounds. In \cite{SZ02QF}, we have proposed to describe this phenomenon using the concept of a log-periodic power law (LPPL) antibubble, characteriz…
National statistical systems are the enterprises tasked with collecting, validating and reporting societal attributes. These data serve many purposes - they allow governments to improve services, economic actors to traverse markets, and academics to assess social theories. National statistical systems vary in quality, …
The accumulation of individual fitness or wealth is modelled as a population game in which pairs of individuals are recurrently and randomly matched to play a game over a resource. In addition, all individuals have random access to a constant background resource, and their fitness or wealth depreciates over time. For b…
Locally adaptive interpretable regression improves linear regression's predictability.
problem Linear regression's predictability is limited; it lacks adaptability.
method Locally adaptive interpretable regression (LoAIR) uses neural networks to predict percentile of a Gaussian distribution for regression coefficients.
result LoAIR achieves comparable or better predictive performance than state-of-the-art baselines.
Cost-aware BO minimizes function evaluations with varying costs.
problem Optimization with varying evaluation costs in expensive functions.
method Cost Apportioned Bayesian Optimization (CArBO) combining initial and cost-cooled phases.
result CArBO finds better hyperparameter configurations with the same cost budget.
Study finds stock prices rarely appreciate during capital inflows but often appreciate during normal flows.
problem Understanding stock price behavior during capital inflows and outflows.
method Identified capital flow episodes using threshold and k-means clustering; detected stock index changepoints using PELT method; combined results over identified capital flows.
result Stock prices rarely appreciate during capital inflows but often appreciate during normal flows.
Optimal healthcare investment timing in a dynamic model with mortality risk.
problem Optimal timing of healthcare investment to reduce mortality risk.
method Dynamic framework, stochastic control, optimal stopping problem, dual transformation.
result Characterization of the optimal investment boundary and numerical solutions.
Model predicts climate change's impact on real estate prices.
problem Impact of climate transition on real estate prices.
method Modeling property valuation using Ornstein-Uhlenbeck processes and carbon prices.
result Depreciation of inefficient real estate assets due to climate transition is quantifiable.
Model predicts stationary equilibrium in investment decisions of firms in fluctuating markets.
problem Investment decisions in fluctuating markets with varying volatility and commodity prices.
method Mean-field model with Gaussian productivity shocks and two-state Markov chain for macroeconomic events.
result Existence, uniqueness, and characterization of stationary mean-field equilibrium with barrier-type investment strategy.
Oil prices affect Russian banks' stability, with negative impacts from decreases.
problem The impact of international oil prices on Russian public banks' financial stability.
method Data from 17 Russian public banks (2008-2016), Pool Mean Group (PMG) estimator.
result An increase in international oil prices and price to book value ratio positively affects Russian public banks' stability in the long run, while negative shocks have the opposite effect.
CTS machines improve screen development in printing industries, reducing costs and increasing profitability.
problem Inefficient screen development process in heat transfer printing and labeling.
method Implementation of CTS (computer-to-screen) technology for screen development.
result Reduction in material and operational costs, leading to profitability.
Paper provides Edgeworth expansions for network moments, improving accuracy of sampling distributions.
problem Accurate descriptions of sampling distributions of network moment statistics.
method Edgeworth expansion applied to studentized network moment statistics.
result Higher-order accurate approximation to sampling CDF of network moment statistics.
Model shows how capital accumulation can lead to poverty traps and well-being states.
problem Capital accumulation and its effects on poverty and well-being.
method Stochastic Solow growth model with sigmoidal saving fraction and bimodal steady state distribution.
result Existence of poverty trap with fluctuation-driven transitions between poverty and well-being states.
This paper solves aggregation of Pareto optimal models by using Bayesian priors and weighted averaging.
problem How to rationally aggregate Pareto optimal models while preserving Pareto efficiency.
method Four logical steps: 1) Bayesian models, 2) Prior as preference ranking, 3) Consistent aggregation, 4) Weighted average of priors.
result All rational/consistent aggregation rules follow a generalized hierarchical Bayesian model.
Our study proposes a new currency system to protect wealth from over-issued fiat and stablecoins.
problem The over-issuance of fiat and stablecoins undermines the stability of currency purchasing power.
method We introduce a parallel monetary system based on redeemable self-decaying money (RSDM) to provide a stable currency alternative.
result A parallel monetary system including RSDM, domestic fiat, and major reserve currencies can safeguard wealth and prevent the reverse Gresham law.
This paper presents a model of capital accumulation for a large number of heterogenous producer-consumers in an exchange space in which interactions depend on agents' positions. Each agent is described by his production, consumption, stock of capital, as well as the position he occupies in this abstract space. Each age…