ProPelled: The Effects of Grants on Graduation, Earnings, and Welfare -- by...
We estimate the effect of grant aid on poor college students' attainment and earnings using student-level administrative data from four-year public colleges in Texas. To identify these effects, we...
View ArticleThe Effects of Accountability Incentives in Early Childhood Education -- by...
In an effort to enhance the quality of early childhood education (ECE) at scale, nearly all U.S. states have recently adopted Quality Rating and Improvement Systems (QRIS). These accountability systems...
View ArticleWhat Lies Beneath: Pipeline Awareness and Aversion -- by Evan Herrnstadt,...
Stated safety concerns are a major impediment to making necessary expansions to the natural gas pipeline network. While revealed willingness to pay to avoid existing natural gas pipelines appears...
View ArticleAgricultural Trade Reform, Reallocation and Technical Change: Evidence from...
We decompose the impact of trade reform on technology adoption and land use to study how aggregate changes were driven by reallocation versus within-farm adaptation. Using detailed census data covering...
View ArticleAttribute Substitution in Household Vehicle Portfolios -- by James Archsmith,...
Household preferences for goods with a bundle of attributes may have complex substitution patterns when one attribute is changed. For example, a household faced with an exogenous increase in the size...
View ArticlePricing derivatives in Hermite markets. (arXiv:1709.09068v1 [q-fin.MF])
We present a new framework for Hermite fractional financial markets, generalizing the fractional Brownian motion and fractional Rosenblatt markets. Considering pure and mixed Hermite markets, we...
View ArticleAnalytic approach to variance optimization under an $\ell_1$ constraint....
The optimization of the variance supplemented by a budget constraint and an asymmetric L1 regularizer is carried out analytically by the replica method borrowed from the theory of disordered systems....
View ArticleA sentiment-based model for the BitCoin: theory, estimation and option...
In recent literature it is claimed that BitCoin price behaves more likely to a volatile stock asset than a currency and that changes in its price are influenced by sentiment about the BitCoin system...
View ArticleClik here to view.
Clik here to view.
Clik here to view.
Clik here to view.
The real effects of relationship lending
This paper studies the real consequences of relationship lending on firm activity in Italy following Lehman Brothers' default shock and Europe's sovereign debt crisis. We use a large data set that...
View ArticleIs Regret a Bad Thing?
Do you have some decisions or actions that you regret? Perhaps it's an action taken yesterday that you wish could be taken back. Or, perhaps you regret something you wished that you had done in the...
View ArticleWe're not Google, and That's not a Bad Thing: Establishing an Attractive, but...
Steven OâHanlon, Numerix CEOread more...
View ArticleKinetic models for goods exchange in a multi-agent market....
We introduce a system of kinetic equations describing an exchange market consisting of two populations of agents (dealers and speculators) expressing the same preferences for two goods, but applying...
View ArticleConvergence of utility indifference prices to the superreplication price in a...
This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by...
View ArticleMarket Delay and G--expectations. (arXiv:1709.09442v1 [q-fin.MF])
We study super-replication of contingent claims in markets with delay. This can be viewed as a stochastic target problem with delayed filtration. First, we establish a duality result for this setup....
View ArticleA default system with overspilling contagion. (arXiv:1709.09255v1 [q-fin.MF])
In classical contagion models, default systems are Markovian conditionally on the observation of their stochastic environment, with interacting intensities. This necessitates that the environment...
View ArticleSome No-Arbitrage Rules For Converging Asset Prices under Short-Sales...
Under short sales prohibitions, no free lunch with vanishing risk (NFLVR-S) is known to be equivalent to the existence of an equivalent supermartingale measure for the price processes (Pulido [22])....
View Article