Sorting on the Used-Car Market After the Volkswagen Emission Scandal....
The disclosure of the VW emission manipulation scandal caused a quasi-experimental market shock to the observable environmental quality of VW diesel vehicles. To investigate the market reaction to this...
View ArticleIndustrial Concentration of the Brazilian Automobile Market and Positioning...
This paper surveys the evolution of industrial concentration of the Brazilian automotive market as well as its positioning in the worldmarket. Data available by OICA (International Organization of...
View ArticleMultitask Learning Deep Neural Networks to Combine Revealed and Stated...
It is an enduring question how to combine revealed preference (RP) and stated preference (SP) data to analyze travel behavior. This study presents a framework of multitask learning deep neural networks...
View ArticleChristmas Jump in LIBOR. (arXiv:1908.10014v1 [q-fin.ST])
A short-term pattern in LIBOR dynamics was discovered. Namely, 2-month LIBOR experiences a jump after Xmas. The sign and size of the jump depend on the data trend on 21 days before Xmas.
View ArticleFuture competitive bioenergy technologies in the German heat sector: Findings...
Meeting the defined greenhouse gas (GHG) reduction targets in Germany is only possible by switching to renewable technologies in the energy sector. A major share of that reduction needs to be covered...
View ArticleOptimal life-cycle consumption and investment decisions under age-dependent...
In this article we solve the problem of maximizing the expected utility of future consumption and terminal wealth to determine the optimal pension or life-cycle fund strategy for a cohort of pension...
View ArticleConstruction of Martingale Measure in the Hazard Process Model of Credit...
In credit risk literature, the existence of an equivalent martingale measure is stipulated as one of the main assumptions in the hazard process model. Here we show by construction the existence of a...
View ArticleInteraction of a Hydrogen Refueling Station Network for Heavy-Duty Vehicles...
A potential solution to reduce greenhouse gas (GHG) emissions in the transport sector is to use alternatively fueled vehicles (AFV). Heavy-duty vehicles (HDV) emit a large share of GHG emissions in the...
View ArticleMartingale transport with homogeneous stock movements. (arXiv:1908.10242v1...
We study a variant of the martingale optimal transport problem in a multi-period setting to derive robust price bounds of a financial derivative. On top of marginal and martingale constraints, we...
View ArticleReinforcement Learning: Prediction, Control and Value Function Approximation....
With the increasing power of computers and the rapid development of self-learning methodologies such as machine learning and artificial intelligence, the problem of constructing an automatic Financial...
View ArticlePublish and Perish: Creative Destruction and Macroeconomic Theory....
A number of macroeconomic theories, very popular in the 1980s, seem to have completely disappeared and been replaced by the dynamic stochastic general equilibrium (DSGE) approach. We will argue that...
View ArticleCoase Meets Bellman: Dynamic Programming and Production Chains....
We show that competitive equilibria in a range of useful production chain models can be recovered as the solutions to a class of dynamic programming problems. Bringing dynamic programming to bear on...
View ArticleStock Price Forecasting and Hypothesis Testing Using Neural Networks....
In this work we use Recurrent Neural Networks and Multilayer Perceptrons to predict NYSE, NASDAQ and AMEX stock prices from historical data. We experiment with different architectures and compare data...
View ArticleA multi-scale symmetry analysis of uninterrupted trends returns of daily...
We present a symmetry analysis of the distribution of variations of different financial indices, by means of a statistical procedure developed by the authors based on a symmetry statistic by Einmahl...
View ArticleA New Proposal of Applications of Statistical Depth Functions in Causal...
Results of a convincing causal statistical inference related to socio-economic phenomena are treated as especially desired background for conducting various socio-economic programs or government...
View ArticleMFGs for partially reversible investment. (arXiv:1908.10916v1 [math.OC])
This paper analyzes a class of MFGs with singular controls motivated from the partially reversible problem. It establishes the existence of the solution when controls are of bounded velocity, solves...
View ArticleCulture and the disposition effect. (arXiv:1908.11492v1 [q-fin.GN])
We study the relationship between national culture and the disposition effect by investigating international differences in the degree of investors' disposition effect. We utilize brokerage data of...
View ArticleGrowth Dynamics of Value and Cost Trade-off in Competitive Temporal Networks....
The question is: What does happen to the real-world networks which cause them not to grow permanently? The idea here is that real-world networks have to pay the cost of growth. We investigate the...
View ArticlePredicting Consumer Default: A Deep Learning Approach. (arXiv:1908.11498v1...
We develop a model to predict consumer default based on deep learning. We show that the model consistently outperforms standard credit scoring models, even though it uses the same data. Our model is...
View ArticleExpansion method for pricing foreign exchange options under stochastic...
Some expansion methods have been proposed for approximately pricing options which has no exact closed formula. Benhamou et al. (2010) presents the smart expansion method that directly expands the...
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