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 ArticleRegulator-based risk statistics for portfolios. (arXiv:1904.08829v2...
The portfolio are a critical factor not only in risk analysis, but also in insurance and financial applications. In this paper, we consider a special class of risk statistics from the perspective of...
View ArticleLifetime Ruin Problem Under High-watermark Fees and Drift Uncertainty....
This paper aims to make a new contribution to the study of lifetime ruin problem by considering investment in two hedge funds with high-watermark fees and drift uncertainty. Due to multi-dimensional...
View ArticleMultiscale Asymptotic Analysis for Portfolio Optimization under Stochastic...
Empirical studies indicate the presence of multi-scales in the volatility of underlying assets: a fast-scale on the order of days and a slow-scale on the order of months. In our previous works, we have...
View ArticleCertifiably Pseudorandom Financial Derivatives. (arXiv:1006.0469v9 [q-fin.CP]...
Arora, Barak, Brunnermeier, and Ge showed that taking computational complexity into account, a dishonest seller could strategically place lemons in financial derivatives to make them substantially less...
View ArticleCO2 mitigation model for China's residential building sector....
This paper aims to investigate the factors that can mitigate carbon-dioxide (CO2) intensity and further assess CMRBS in China based on a household scale via decomposition analysis. Here we show that:...
View ArticleAre Bitcoins price predictable? Evidence from machine learning techniques...
The uncertainties in future Bitcoin price make it difficult to accurately predict the price of Bitcoin. Accurately predicting the price for Bitcoin is therefore important for decision-making process of...
View ArticleVector Autoregressive Moving Average Model with Scalar Moving Average....
We show Vector Autoregressive Moving Average models with scalar Moving Average components could be estimated by generalized least square (GLS) for each fixed moving average polynomial. The conditional...
View ArticleBuy-Online-and-Pick-up-in-Store in Omnichannel Retailing. (arXiv:1909.00822v1...
In this paper, we extend the model of Gao and Su (2016) and consider an omnichannel strategy in which inventory can be replenished when a retailer sells only in physical stores. With...
View ArticlePortfolio liquidation under factor uncertainty. (arXiv:1909.00748v1 [q-fin.MF])
We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy can be characterized...
View ArticleFourier transform MCMC, heavy tailed distributions and geometric ergodicity....
Markov Chain Monte Carlo methods become increasingly popular in applied mathematics as a tool for numerical integration with respect to complex and high-dimensional distributions. However, application...
View ArticleA Two-Stage Market Mechanism for Electricity with Renewable Generation....
We consider a two stage market mechanism for trading electricity including renewable generation as an alternative to the widely used multi-settlement market structure. The two stage market structure...
View ArticleOn the Notions of Equilibria for Time-Inconsistent Stopping Problems in...
A \emph{new} notion of equilibrium, which we call \emph{strong equilibrium}, is introduced for time-inconsistent stopping problems in continuous time. Compared to the existing notions introduced in...
View ArticleA Relation between Short-Term and Long-Term Arbitrage. (arXiv:1909.00570v1...
In this work a relation between a measure of short-term arbitrage in the market and the excess growth of portfolios as a notion of long-term arbitrage is established. The former originates from...
View ArticleRacial Disparities in Voting Wait Times: Evidence from Smartphone Data....
Equal access to voting is a core feature of democratic government. Using data from millions of smartphone users, we quantify a racial disparity in voting wait times across a nationwide sample of...
View ArticleRobust no arbitrage and the solvability of vector-valued utility maximization...
A market model with $d$ assets in discrete time is considered where trades are subject to proportional transaction costs given via bid-ask spreads, while the existence of a num\`eraire is not assumed....
View ArticleRobust Utility Maximizing Strategies under Model Uncertainty and their...
In this paper we investigate a utility maximization problem with drift uncertainty in a continuous-time Black--Scholes type financial market. We impose a constraint on the admissible strategies that...
View ArticleConditional survival probabilities under partial information: a recursive...
We consider a structural model where the survival/default state is observed together with a noisy version of the firm value process. This assumption makes the model more realistic than most of the...
View ArticleStochastic perturbations and fisheries management. (arXiv:1909.01664v1...
As most natural resources, fisheries are affected by random disturbances. The evolution of such resources may be modelled by a succession of deterministic process and random perturbations on biomass...
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