Testing Forecast Rationality for Measures of Central Tendency....
Rational respondents to economic surveys may report as a point forecast any measure of the central tendency of their (possibly latent) predictive distribution, for example the mean, median, mode, or...
View ArticleRobust Contracting in General Contract Spaces. (arXiv:1910.12516v1 [math.OC])
We consider a general framework of optimal mechanism design under adverse selection and ambiguity about the type distribution of agents. We prove the existence of optimal mechanisms under minimal...
View ArticleUsing network science to quantify economic disruptions in regional...
Input Output (IO) tables provide a standardised way of looking at monetary flows between all industries in an economy. IO tables can be thought of as networks - with the nodes being different...
View ArticleDeep convolutional autoencoder for cryptocurrency market analysis....
This study attempts to analyze patterns in cryptocurrency markets using a special type of deep neural networks, namely a convolutional autoencoder. The method extracts the dominant features of market...
View ArticleQuantpedia Premium Update – 30th October 2019
Three new strategies have been added: #453 - Machine Learning Adaptive Portfolio Asset Allocation #454 - Time Series Momentum Strategies Using Deep Neural Networks #455 - Nonlinear Support Vector...
View ArticleWhat if Cryptos Succeed Only After the US has Locked Itself Out?
Recent developments in cryptocurrency have brought new currencies and more uncertainty about them and some of the underlying investments in this brave new world. Anthony Pompliano, a founder and...
View ArticleHouses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty
ABSTRACT Mortgage refinancing activity associated with extraction of home equity contains a strongly countercyclical component consistent with household demand for liquidity. We estimate a structural...
View ArticleAccess to Collateral and The Democratization of Credit: France's Reform of...
ABSTRACT France's Ordonnance 2006â346 repudiated the notion of possessory ownership in the Napoleonic Code, easing the pledge of physical assets in a country where credit was highly concentrated. A...
View ArticleDoes Borrowing from Banks Cost More than Borrowing from the Market?
ABSTRACT This paper investigates the pricing of bank loans relative to capital market debt. The analysis uses a novel sample of loans matched with bond spreads from the same firm on the same date....
View ArticleTrading Against the Random Expiration of Private Information: A Natural...
ABSTRACT For years, the SEC accidentally distributed securities disclosures to some investors before the public. We expolit this setting, which is unique because the delay until public disclosure was...
View ArticleThe Market for Conflicted Advice
ABSTRACT We present a model of the market for advice in which advisers have conflicts of interest and compete for heterogeneous customers through information provision. The competitive equilibrium...
View ArticleTax�Efficient Asset Management: Evidence from Equity Mutual Funds
ABSTRACT We investigate the relation between tax burdens and mutual fund performance from both a theoretical and an empirical perspective. The theoretical model introduces heterogeneous tax clienteles...
View ArticleA Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity...
ABSTRACT This paper studies the dynamic interaction between the net positions of traders and risk premiums in commodity futures markets. Shortâterm position changes are driven mainly by the...
View ArticleStimulating Housing Markets
ABSTRACT We study temporary fiscal stimulus designed to support distressed housing markets by inducing demand from buyers in the private market. Using differenceâinâdifferences and regression kink...
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