Frequency Regulation with Storage: On Losses and Profits
arXiv:2306.02987v2 Announce Type: replace-cross Abstract: Low-carbon societies will need to store vast amounts of electricity to balance intermittent generation from wind and solar energy, for example,...
View ArticleQuanto Option Pricing on a Multivariate Levy Process Model with a Generative...
arXiv:2402.17919v2 Announce Type: replace Abstract: In this study, we discuss a machine learning technique to price exotic options with two underlying assets based on a non-Gaussian Levy process model....
View ArticleEpistemic Limits of Empirical Finance: Causal Reductionism and Self-Reference
arXiv:2311.16570v4 Announce Type: replace Abstract: The clarion call for causal reduction in the study of capital markets is intensifying. However, in self-referencing and open systems such as capital...
View ArticleWhen is cross impact relevant?
arXiv:2305.16915v2 Announce Type: replace Abstract: Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact. Using tick-by-tick data spanning 5 years for...
View ArticleRisk Budgeting Allocation for Dynamic Risk Measures
arXiv:2305.11319v2 Announce Type: replace Abstract: We define and develop an approach for risk budgeting allocation -- a risk diversification portfolio strategy -- where risk is measured using a...
View ArticleFirm-level supply chains to minimize decarbonization unemployment and...
arXiv:2302.08987v2 Announce Type: replace Abstract: Urgently needed carbon emission reductions might lead to strict command-and-control decarbonization strategies with potentially negative economic...
View ArticleDecoding excellence: Mapping the demand for psychological traits of...
arXiv:2403.17546v1 Announce Type: cross Abstract: The current study proposes an innovative methodology for the profiling of psychological traits of Operations Management (OM) and Supply Chain...
View ArticleHigh-Dimensional Mean-Variance Spanning Tests
arXiv:2403.17127v1 Announce Type: cross Abstract: We introduce a new framework for the mean-variance spanning (MVS) hypothesis testing. The procedure can be applied to any test-asset dimension and only...
View ArticleEthical considerations when planning, implementing and releasing health...
arXiv:2403.17798v1 Announce Type: new Abstract: Most health economic analyses are undertaken with the aid of computers. However, the research ethics of implementing health economic models as software...
View ArticleThe Devil is in the Details: Heterogeneous Effects of the German Minimum Wage...
arXiv:2403.17206v1 Announce Type: new Abstract: In 2015, Germany introduced a national minimum wage. While the literature agrees on at most limited negative effects on the overall employment level, we...
View ArticleAlternatives to classical option pricing
arXiv:2403.17187v1 Announce Type: new Abstract: We develop two alternate approaches to arbitrage-free, market-complete, option pricing. The first approach requires no riskless asset. We develop the...
View ArticleDesign Insights for Industrial CO2 Capture, Transport, and Storage Systems
arXiv:2403.17162v1 Announce Type: new Abstract: We present design methods and insights for CO2 capture, transport, and storage systems for clusters of industrial facilities, with a case-study focus on...
View ArticleThe Impact of Pradhan Mantri Ujjwala Yojana on Indian Households
arXiv:2403.17112v1 Announce Type: new Abstract: This study critically evaluates the impact of the Pradhan Mantri Ujjwala Yojana (PMUY) on LPG accessibility among poor households in India. Using...
View ArticleRevisiting Boehmer et al. (2021): Recent Period, Alternative Method,...
arXiv:2403.17095v1 Announce Type: new Abstract: We reassess Boehmer et al. (2021, BJZZ)'s seminal work on the predictive power of retail order imbalance (ROI) for future stock returns. First, we...
View ArticleNLP-based detection of systematic anomalies among the narratives of consumer...
arXiv:2308.11138v3 Announce Type: replace-cross Abstract: We develop an NLP-based procedure for detecting systematic nonmeritorious consumer complaints, simply called systematic anomalies, among...
View ArticleCoevolution of cognition and cooperation in structured populations under...
arXiv:2306.11376v2 Announce Type: replace-cross Abstract: We study the evolution of behavior under reinforcement learning in a Prisoner's Dilemma where agents interact in a regular network and can...
View ArticleDeep Limit Order Book Forecasting
arXiv:2403.09267v3 Announce Type: replace Abstract: We exploit cutting-edge deep learning methodologies to explore the predictability of high-frequency Limit Order Book mid-price changes for a...
View ArticleFrom characteristic functions to multivariate distribution functions and...
arXiv:2307.12843v5 Announce Type: replace Abstract: We provide a unified framework for the computation of the distribution function and the computation of prices of financial options from the...
View ArticleCoarse Wage-Setting and Behavioral Firms
arXiv:2206.01114v5 Announce Type: replace Abstract: This paper shows that the bunching of wages at round numbers is partly driven by firm coarse wage-setting. Using data from over 200 million new hires...
View ArticleLimited Attention Allocation in a Stochastic Linear Quadratic System with...
arXiv:2403.18528v1 Announce Type: cross Abstract: This study addresses limited attention allocation in a stochastic linear quadratic system with multiplicative noise. Our approach enables strategic...
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