For Whom the Bell (Curve) Tolls: A to F, Trade Your Grade Based on the Net...
We discuss a possible solution to an unintended consequence of having grades, certificates, rankings and other diversions in the act of transferring knowledge; and zoom in specifically to the topic of...
View ArticleLabor Market Outcomes and Early Schooling: Evidence from School Entry...
We use a rich, census-like Brazilian dataset containing information on spatial mobility, schooling, and income in which we can link children to parents to assess the impact of early education on...
View ArticleThe Laws of Motion of the Broker Call Rate in the United States....
In this paper, which is the third installment of the author's trilogy on margin loan pricing, we analyze $1,367$ monthly observations of the U.S. broker call money rate, which is the interest rate at...
View ArticleNash Bargaining Over Margin Loans to Kelly Gamblers. (arXiv:1904.06628v1...
I derive practical formulas for optimal arrangements between sophisticated stock market investors (namely, continuous-time Kelly gamblers) and the brokers who lend them cash for leveraged bets on a...
View ArticleGame-Theoretic Optimal Portfolios for Jump Diffusions. (arXiv:1812.04603v1...
This paper studies a two-person trading game in continuous time that generalizes Garivaltis (2018) to allow for stock prices that both jump and diffuse. Analogous to Bell and Cover (1988) in discrete...
View ArticleCover's Rebalancing Option With Discrete Hindsight Optimization....
We study T. Cover's rebalancing option (Ordentlich and Cover 1998) under discrete hindsight optimization in continuous time. The payoff in question is equal to the final wealth that would have accrued...
View Article(In)Stability for the Blockchain: Deleveraging Spirals and Stablecoin...
We develop a model of stable assets, including noncustodial stablecoins backed by cryptocurrencies. Such stablecoins are popular methods for bootstrapping price stability within public blockchain...
View ArticleUnravelling the forces underlying urban industrial agglomeration....
As early as the 1920's Marshall suggested that firms co-locate in cities to reduce the costs of moving goods, people, and ideas. These 'forces of agglomeration' have given rise, for example, to the...
View ArticleNeural Learning of Online Consumer Credit Risk. (arXiv:1906.01923v1 [q-fin.RM])
This paper takes a deep learning approach to understand consumer credit risk when e-commerce platforms issue unsecured credit to finance customers' purchase. The "NeuCredit" model can capture both...
View ArticleUnderstanding Distributional Ambiguity via Non-robust Chance Constraint....
The choice of the ambiguity radius is critical when an investor uses the distributionally robust approach to address the issue that the portfolio optimization problem is sensitive to the uncertainties...
View ArticleThe temporal evolution of venture investment strategies in sector space....
We analyze the sectoral dynamics of startup venture financing. Based on a dataset of 52000 start-ups and 110000 funding rounds in the United States from 2000 to 2017, and by applying both Principal...
View ArticleOptimal auction duration: A price formation viewpoint. (arXiv:1906.01713v1...
We consider an auction market in which market makers fill the order book during a given time period while some other investors send market orders. We define the clearing price of the auction as the...
View ArticlePricing under Fairness Concerns. (arXiv:1904.05656v2 [econ.TH] UPDATED)
This paper proposes a theory of pricing consistent with two well-documented patterns: customers care about fairness, and firms take these concerns into account when they set prices. The theory assumes...
View ArticleFunding Adjustments in Equity Linear Products. (arXiv:1906.02561v1 [q-fin.MF])
Valuation adjustments are nowadays a common practice to include credit and liquidity effects in option pricing. Funding costs arising from collateral procedures, hedging strategies and taxes are added...
View ArticleThe route to chaos in routing games: Population increase drives...
We study a learning dynamic model of routing (congestion) games to explore how an increase in the total demand influences system performance. We focus on non-atomic routing games with two parallel...
View ArticleDeep PPDEs for rough local stochastic volatility. (arXiv:1906.02551v1...
We introduce the notion of rough local stochastic volatility models, extending the classical concept to the case where volatility is driven by some Volterra process. In this setting, we show that the...
View ArticleThe emerging sectoral diversity of startup ecosystems. (arXiv:1906.02455v1...
Thanks to the recent availability of comprehensive and detailed online databases of startup companies, it has become possible to more directly investigate startup ecosystems i.e. startup populations in...
View ArticleDeep Learning in Asset Pricing. (arXiv:1904.00745v2 [q-fin.ST] UPDATED)
We estimate a general non-linear asset pricing model with deep neural networks applied to all U.S. equity data combined with a substantial set of macroeconomic and firm-specific information. Our...
View ArticleMapping the Sahelian Space. (arXiv:1906.02223v1 [econ.GN])
This chapter examines the geographical meaning of the Sahel, its fluid boundaries, and its spatial dynamics. Unlike other approaches that define the Sahel as a bioclimatic zone or as an ungoverned...
View ArticleGame-Theoretic Optimal Portfolios in Continuous Time. (arXiv:1906.02216v1...
We consider a two-person trading game in continuous time whereby each player chooses a constant rebalancing rule $b$ that he must adhere to over $[0,t]$. If $V_t(b)$ denotes the final wealth of the...
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