robench-2024b
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48 items • Updated
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**A**: (2021) constructed some general continuous-time equilibrium dynamic risk measures through using a adapted solution to a backward stochastic Volterra integral equation. Chen et al. (2018) and Sun et al. (2018) extended convex risk measures to loss-based cases. More recent research on dynamic risk measures referen... | BCA | BCA | CBA | BAC | Selection 3 |
**A**: We follow this convention to define the Asian delta value and the European delta value as
**B**: In this section, we present the short-maturity asymptotic for the sensitivity of the option with respect to the initial value S0subscript𝑆0S_{0}italic_S start_POSTSUBSCRIPT 0 end_POSTSUBSCRIPT**C**: In many studies,... | BAC | BCA | CAB | CBA | Selection 3 |
**A**: 4 we tackle the motivating problem: moving from [17], we extend their results by providing, using the previously developed theory, an analysis of the time variability of sensitivities in time, as well as a quantification of the statistical significance and an analysis of its sparsity**B**: Sec. 5 concludes and d... | ACB | BAC | ACB | BCA | Selection 4 |
**A**: For example, in bond markets, zero-coupon bonds are parametrized by their maturities θ𝜃\thetaitalic_θ which is a continuous parameter**B**:
Our setting is also different from “large financial” market models, where there is a continuum of securities**C**: However, only a finite number of bonds are traded at the... | BCA | ABC | BAC | CBA | Selection 3 |
**A**: We close by commenting on certain aspects of our approach.
**B**: Our main theme has been how learning turns jointly on preferences and information when there are multiple states**C**: This paper has studied a general model of sequential social learning on observational networks | BAC | BAC | CBA | BCA | Selection 3 |
**A**:
Specifically, we study a model of scientific communication in which a benevolent social planner chooses norms with respect to MHT adjustments, taking into account the way this shapes researchers’ incentives. The model embeds two core ideas**B**: First, social welfare is (potentially) affected by the summary rec... | BCA | ABC | BCA | CAB | Selection 2 |
**A**: (p. 276)
**B**: It also surpasses Anthony Wrigley’s estimate that matching the annual energy output of Britain’s coal industry circa 1815 would have required that the country magically receive 15,000,000 additional acres of forest. If we add cotton, sugar, and timber circa 1830, we have somewhere between 25,000,... | BAC | BCA | CBA | CAB | Selection 3 |
**A**:
There has been prior work examining both the extension of public goods to static (exogenous) networks, and the provision of public goods on endogenous networks**B**: In particular, Bramoullé et al**C**: (2007) launched research into this environment, by showing that given a network shape, specialized Nash equil... | ACB | ABC | ACB | CAB | Selection 2 |
**A**:
In general, risk-averse MDPs seldom admit closed-form solutions, and we typically rely on numerical methods to approximate the optimal policy**B**: The numerical methods for solving risk-averse MDPs, particularly in a model-agnostic context, are currently under development**C**: We refer to, e.g., [59, 42, 45, ... | CAB | ABC | BCA | BAC | Selection 2 |
**A**: While most inventory management models consider the case of backordering, especially in the practice of grocery retailing the assumption of lost sales is more realistic, leading to models that are in general more difficult to solve (see Bijvank and Vis,, 2011 for a review on inventory models with lost sales)**B*... | CAB | ACB | BCA | CBA | Selection 3 |
**A**:
External Debt (% GDP): Total external debt is debt owed to nonresidents repayable in currency, goods, or services**B**: Total external debt is the sum of public, publicly guaranteed, and private nonguaranteed long-term debt, use of IMF credit, and short-term debt**C**: Short-term debt includes all debt having a... | BAC | ABC | ACB | ACB | Selection 2 |
**A**: Then, we briefly introduce the signature and we show how it allows to construct a RKHS that we can use to make the MMD a metric able to discriminate two probability measures defined on the bounded variation paths quotiented by some equivalence relation. Finally, the statistical test underlying the signature-base... | CAB | ACB | BAC | ACB | Selection 1 |
**A**:
The anchoring effect refers to “a systematic influence of initially presented numerical values on subsequent judgments of uncertain quantities,” where the judgement is biased toward the anchor (Teovanović (2019))**B**: The anchoring effect has been replicated across a variety of contexts, as I discuss in Sect. ... | CBA | ABC | ACB | ACB | Selection 2 |
**A**: Therefore, it is tough to reflect the complexity and diversity in real transactions simply by homogeneous graphs.
Meanwhile, heterogeneous graph [13] is a widely used technique to model complex interactions, which can preserve the semantic information of interactions to the greatest extent.**B**: However, real t... | CAB | BCA | CAB | CBA | Selection 4 |
**A**: If the discovery stage is successful, the firm can start testing the drug candidate in humans through three stages of clinical trials**B**: In Phase II, firms test the drug’s efficacy on a larger sample of individuals with the targeted diseases. Finally, in Phase III, the firm conducts double-blinded tests to as... | BCA | BAC | ACB | ABC | Selection 3 |
**A**: i𝑖iitalic_i votes at all q′(i)>q(i)superscript𝑞′𝑖𝑞𝑖q^{\prime}(i)>q(i)italic_q start_POSTSUPERSCRIPT ′ end_POSTSUPERSCRIPT ( italic_i ) > italic_q ( italic_i ))**B**: As we document in the Appendix,
individual behavior in the experiment is mostly monotonic**C**: There is | CBA | BAC | ACB | ABC | Selection 4 |
**A**: Recently, there has been new approaches to the quantum state preparation problem in the literature, that are not related to the qGAN or VQE methods reviewed above. In [iaconis2023quantum], the authors considered the quantum state preparation problem for probability distribution with smooth differentiable density... | BAC | ABC | ABC | CBA | Selection 1 |
**A**: It is also verified therein that the expected total capital injection is bounded. Finally, the proof of an auxiliary lemma is reported in Appendix A.
**B**: The rest of the paper is organized as follows. In Section 2, we introduce the auxiliary state processes with reflections and derive the associated HJB equat... | ABC | BAC | ACB | CAB | Selection 4 |
**A**: The four different decarbonization strategies shown in Fig**B**: 3 display characteristic patterns for the saved CO2 emissions and the expected job and output loss curves.
For the ‘Remove largest emitters first’ strategy in Fig**C**: 3A firms are ordered according to their descending CO2 rank which is reflected ... | CAB | ABC | CBA | BAC | Selection 2 |
**A**: However, this would require formulating a set of separate subproblems for each of the GenCos at the lower level which would further increase the computational burden. An alternative avenue for future research could involve the integration of storage batteries into the grid. This would potentially alleviate the i... | BAC | ABC | BCA | CBA | Selection 1 |
**A**: to obtain N𝑁Nitalic_N by Inequality (3.11)**B**: CPU time is measured
in milliseconds**C**: The CPU time to estimate ‖f(k+1)‖∞subscriptnormsuperscript𝑓𝑘1\|f^{(k+1)}\|_{\infty}∥ italic_f start_POSTSUPERSCRIPT ( italic_k + 1 ) end_POSTSUPERSCRIPT ∥ start_POSTSUBSCRIPT ∞ end_POSTSUBSCRIPT | BAC | BAC | ACB | ABC | Selection 4 |
**A**: In order to see that the optimal strategy is unique (up to sets of measures zero) note that optimal strategies have to satisfy the Bellman optimality principle (this has to be shown, but is standard, see [39], Thm**B**: 3.3.1). Since we have already computed the value function, this necessarily implies that the ... | ACB | BCA | BAC | CBA | Selection 2 |
**A**: In an ideal setting we would try to calculate the exact P content of each trade relationship that each country has with each other country for each goods category. This, however, is not feasible, due to resource constraints and data availability. We can however obtain the approximate P content indirectly by esti... | CAB | BAC | BAC | CBA | Selection 1 |
**A**: We ponder over two situations during a period under study: a market crash generating substantial losses and a general market characterised by moderate gains**B**: Unlike Section 4 where all results are model-based, Section 5 is devoted to backtesting of real-world benefits for holders of EPSs using historical da... | CAB | BAC | BCA | ABC | Selection 2 |
**A**: It would be interesting to run formal statistical tests to check whether the differences reported among the different groups in this Section are statistically significant or not. However, since we can not implement an interacted model, that is simply not possible with the current estimator, we do not know the co... | BCA | BAC | BAC | ABC | Selection 4 |
**A**: This Bayesian approach to calibration allows a joint estimation of latent factors, taking into account possible interdependencies and also avoids the need to make strong apriori assumptions such as setting tresholds for jump sizes (cf**B**: The two models are then calibrated to three different data sets, the 201... | CAB | CBA | BAC | CBA | Selection 3 |
**A**: For each stock at date t𝑡titalic_t, Alpha360 looks back 60 days to construct a 360-dimensional vector as the raw feature of this stock. We use the stock price trend defined in Definition 2 as the label for each stock.**B**:
We use the stock features of Alpha360 in the open-source quantitative investment platfo... | BAC | ACB | BAC | CAB | Selection 4 |
**A**: Subsequently, I assess the post-IPO sentiment trajectory at the firm’s level, illustrating that companies with initial high enthusiasm consistently garner more optimism. This trend stands out, especially when juxtaposed with the long-term under-performance of these entities. This amplified enthusiasm is mirrored... | CBA | ACB | CAB | BAC | Selection 1 |
**A**:
In the second use case, we aim to explore the performance of neural network models for credit risk assessment by incorporating ideas from quantum compound neural networks [17]**B**: These orthogonal layers, which can be trained efficiently on a classical computer, are the simplest case of what we call compound ... | BAC | ABC | ACB | BAC | Selection 3 |
**A**: As explained in liu2023rethinking , mGB2 and GB2 are equivalent since q𝑞qitalic_q and p𝑝pitalic_p are independently defined at this level GB family of distributions and q𝑞qitalic_q can be shifted by unity in the definition of mGB2/GB2**B**:
Below, we will use (7) to fit CCDF of distributions of RV**C**: Cons... | BCA | BAC | BCA | CAB | Selection 2 |
**A**: These are chosen to represent right-skewed, left-skewed, and centered but differently concentrated value distributions. We also re-ran all simulations with standard reserve prices instead of soft-floors, as as in the preceding section.**B**:
The caveat is that the preceding results are based on a specific distr... | CAB | CBA | BCA | BAC | Selection 1 |
**A**:
Directly linked to the last observation, Figuieres et al. (2012) highlight that many individuals condition their decisions on the observation of others’ decisions in finitely repeated simultaneous public goods games (see Fischbacher and Gächter 2010; Keser and van Winden 2000). Extensive experimental research i... | ABC | ACB | CAB | ACB | Selection 1 |
**A**: This perspective allows us to model potential financial outcomes within the quantum framework, thus providing a more nuanced understanding of market dynamics**B**: Equation 1**C**:
In leveraging the principles of quantum mechanics for financial market analysis, we adopt a novel approach by interpreting states o... | ACB | BAC | BCA | CAB | Selection 3 |
**A**: (If anything, we’d expect risk to be at least as salient in Simple as in Complex, since the latter offers diversification opportunities.)
Hence Hypothesis 4a suggests a less dramatic contrast (with ambiguous sign) between Simple and Complex than between Trivial and the other two tasks.**B**: As the names suggest... | CAB | ACB | BCA | BAC | Selection 1 |
**A**: By the Sharkovsky order in [Sharkovsky, 1964], we know that if the map f𝑓fitalic_f has a cycle of period three, then it also has a cycle of any odd order**B**: Thus, it is natural to guess that if λ𝜆\lambdaitalic_λ is close to the lower bound for λ𝜆\lambdaitalic_λ in Theorem 1.2 (but still above the lower bou... | BAC | CBA | ABC | BCA | Selection 4 |
**A**:
In general, the direction of the effects of the different factors on slippage is similar to what we see in the WETH-USDC pool, with the notable exception that the effect of gas price on adversarial slippage is positive and significant and the effect of slippage tolerance is significant and economically meaningf... | BAC | BCA | ABC | ACB | Selection 4 |
**A**: As for VASP-12, the Bitcoin addresses we gathered through manual transactions identify clusters whose transaction history only dates back to a few months (mid-2021)**B**: Similarly to VASP-9, we could not collect sufficient data to obtain comparable values to the figures reported in the balance sheets**C**: Agai... | ACB | CBA | ABC | BAC | Selection 4 |
**A**:
see, e.g., [14]**B**: This is not sufficient for our purposes as we need on one hand not weakly, but Pareto optimal points, and on the other hand, we need the set of all Pareto optimal points (or ϵitalic-ϵ\epsilonitalic_ϵ-Pareto optimal points)**C**: However, we will see that such a polyhedral approximation (7)... | BAC | BAC | ABC | BCA | Selection 3 |
**A**: This phenomenon has already been observed by several papers. Following this observation, some suggest to distinguish week and week-end effects [45] [46] while others show statistical significance of daily dummy integration [19]**B**: We also considered alternatives such as additional weekly seasonality terms. Th... | CAB | ACB | CBA | BCA | Selection 4 |
**A**: Arguably, hiding trading volume is not in the best interest of exchanges because they compete for liquidity, and trading volume is the single most important measure that market participants consider when gauging the liquidity of an exchange. Although this argument applies to regular trading volume, the same cann... | CBA | BCA | ACB | CAB | Selection 4 |
**A**: Whereas here the Gini – Gini production bound gives a maximum rate of increase for the measure of economic inequality.**B**:
That is to say, the Gini – Gini production relation derived below is similar to entropy – entropy production inequalities for diffusive PDE**C**: For the systems examined in [24], the ent... | CBA | BAC | BAC | CAB | Selection 4 |
**A**: The numerical experiments show that the proposed approach outperforms the least-squares method in high-dimensional settings, and doesn’t required specific selection of hyper-parameters in different scenarios. Additionally, it maintains a stable computational cost despite increasing dimensions. Therefore, this me... | CAB | ABC | BCA | CBA | Selection 1 |
**A**:
Osband’s principle can be used to create new MK divergences**B**: Here, we give an example of the reciprocate of risk functionals.**C**: Indeed any strictly monotonic transformation of an elicitable risk functional leads to a new MK divergence, where the optimal coupling follows from Proposition 3.17 | BCA | ABC | CBA | ACB | Selection 4 |
**A**: In the special case of a single stock, the DF equilibrium strategy takes the same form as the open-loop equilibrium in [3], but with a modified risk tolerance. This effective risk tolerance parameter has already appeared in some works on a similar topic but with a time-consistent model; see, e.g., [23, 19]. More... | ABC | BAC | BCA | ACB | Selection 2 |
**A**: Figure 13(b)). Finally, we find a fourth, previously not identified, builder that is likely running an integrated non-atomic arbitrage builder: builder1. To be precise, 83% of the non-atomic arbitrage volume by builder1seacher is located in blocks built by builder1seacher.
**B**: However, we are able to establis... | CBA | BAC | ABC | ABC | Selection 1 |
**A**: (2023) in several tasks including named entity recognition and news classification. Notably, while FinBERT exhibits superiority in financial sentiment analysis over ChatGPT, the research lacks prompt engineering and utilizes a dataset that inherently favors FinBERT**B**:
In comparative evaluations, Li et al. (2... | ABC | CAB | BAC | BCA | Selection 3 |
**A**: Departing from deterministic switching times, we advance to more sophisticated models based on stochastic switching times and a Markov-modulated model**B**: In all cases, characteristic functions of the processes are obtained.
**C**: Multiple models are proposed in this article which vary in how the composite pr... | ACB | ABC | BAC | BCA | Selection 4 |
**A**: Note the absence of the discount term in the PDE Eq**B**: (2.7) as a consequence of the absence of discounting in Eq**C**: (2.6).
Depending on whether the futures references forward or backward rates, the payoff may depend on state variables at T𝑇Titalic_T only, or also at some t≤T𝑡𝑇t\leq Titalic_t ≤ italic_T... | BCA | ABC | CAB | CBA | Selection 2 |
**A**: The dependent variable is an ordinal variable that captures the number of consumers (0 - 3) who approached the expert in the current round**B**:
This table reports results of a panel ordered logistic regressions using subject-level random effects and a cluster–robust VCE estimator at the matched group level (st... | BCA | ABC | BAC | BCA | Selection 3 |
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