Publications related to Parameter Learning in General Equilibrium: The Asset Pricing Implications

Related publications (32)

Machine Learning Applications to Conditional Asset Pricing: Attention, CNNs, and Neural Tangent Kernels

The first two chapters develop ML-based models that generate conditional SDF estimates efficiently using conditioning information sets, resulting in minimal pricing errors and superior Sharpe ratios compared to traditional conditional asset pricing models. ...

EPFL2025

Exponential convergence to steady-states for trajectories of a damped dynamical system modeling adhesive strings

Nicola De Nitti

We study the global well-posedness and asymptotic behavior for a semilinear damped wave equation with Neumann boundary conditions, modeling a one-dimensional linearly elastic body interacting with a rigid substrate through an adhesive material. The key fea ...

World Scientific Publ Co Pte Ltd2024

Collective motion in a sheet of microswimmers

Viktor Skultéty

Self-propelled particles such as bacteria or algae swimming through a fluid are non-equilibrium systems where particle motility breaks microscopic detailed balance, often resulting in large-scale collective motion. Previous theoretical work has identified ...

Nature Portfolio2024

On the Convergence to the Non-equilibrium Steady State of a Langevin Dynamics with Widely Separated Time Scales and Different Temperatures

Nicolas Macris, Emanuele Mingione, Diego Alberici

We study the solution of the two-temperature Fokker-Planck equation and rigorously analyse its convergence towards an explicit non-equilibrium stationary measure for long time and two widely separated time scales. The exponential rates of convergence are e ...

Springer Int Publ Ag2024

Generative AI-Enabled Conversational Interaction to Support Self-Directed Learning Experiences in Transversal Computational Thinking

Denis Gillet, Adrian Christian Holzer, Juan Carlos Farah, Abdessalam Ouaazki

As computational thinking (CT) becomes increasingly acknowledged as an important skill in education, self-directed learning (SDL) emerges as a key strategy for developing this capability. The advent of generative AI (GenAI) conversational agents has disrup ...

2024

Demand-based Asset Pricing: Theory, Estimation and Applications

Philippe van der Beck

This thesis investigates the relationship between investors' demand shocks and asset prices through the use of data on portfolio holdings. In three chapters, I study the theory, estimation, and application of demand-based asset pricing models, which incorp ...

EPFL2023

Asset purchases, limited asset markets participation and inequality

Stylianos Tsiaras

This paper analyses the effects of quantitative easing (QE) on households' income and consumption inequality in the Euro Area. Using a SVAR with high frequency identification, I show that an identified QE shock is redistributive and expansionary. To ration ...

ELSEVIER2023

Backtracking Dynamical Cavity Method

Barbora Hudcová, Lenka Zdeborová, Freya Behrens

The cavity method is one of the cornerstones of the statistical physics of disordered systems such as spin glasses and other complex systems. It is able to analytically and asymptotically exactly describe the equilibrium properties of a broad range of mode ...

American Physical Society2023

Effect of a temperature gradient on the screening properties of ionic fluids

Andrea Grisafi, Federico Grasselli

The electrostatic screening properties of ionic fluids are of paramount importance in countless physical processes. Yet the screening behavior of ionic conductors out of thermal equilibrium has to date mainly been studied in the context of thermoelectric p ...

AMER PHYSICAL SOC2023

Structural topology exploration through policy-based generation of equilibrium representations

Corentin Jean Dominique Fivet, Ioannis Mirtsopoulos

Mainstream approaches to design spatial architectural forms that are structurally relevant consist either in adapting well-known and catalogued conventional types or in searching for close-to-optimum solutions of well-defined problems. Few means exist to e ...

2023

Growth and investigation of Argon thin films adsorbed on graphite by means of Ultrafast Electron Diffraction

Paolo Usai

Starting from our big universe to the microscopic world, phase transitions play an important role in nature. Just after the Big Bang our universe experienced multiple phase transitions, from high-temperature plasma to the matter we know today. Phase transi ...

EPFL2023

International Portfolio Choice with Frictions: Evidence from Mutual Funds

Simon Tièche

Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month a ...

OXFORD UNIV PRESS INC2023

Mutual information in changing environments: Nonlinear interactions, out-of-equilibrium systems, and continuously varying diffusivities

Daniel Maria Busiello, Giorgio Nicoletti

Biochemistry, ecology, and neuroscience are examples of prominent fields aiming at describing interacting systems that exhibit nontrivial couplings to complex, ever-changing environments. We have recently shown that linear interactions and a switching envi ...

AMER PHYSICAL SOC2022

The Rebound Effects from Industrial Energy Efficiency Improvements

Michel Zimmermann

In energy policy, energy efficiency constitutes a central element in reducing domestic and, specifically, industrial en-ergy use. Unfortunately, the effectiveness of energy efficiency improvements in achieving its targets is known to be limited by rebound ...

EPFL2022

Bending and Stretching in a Narrow Ribbon of Nematic Polymer Networks

Harmeet Singh

We study the spontaneous out-of-plane bending of a planar untwisted ribbon composed of nematic polymer networks activated by a change in temperature. Our theory accounts for both stretching and bending energies, which compete to establish equilibrium. We s ...

SPRINGER2023

Exploration of static equilibrium representations; policies and genetic algorithms

Corentin Jean Dominique Fivet, Ioannis Mirtsopoulos

Design exploration consists in browsing the design space and through the incremental generation of diverse design candidates increases creativity and diversity. When integrated into the early stages of the structural design process, the task is expected to ...

CRC Press2022

Individual and combined benefits of different nonequilibrium proofreading mechanisms

Paolo De Los Rios, Daniel Maria Busiello, Stefano Zamuner, Adélaïde Alice Mohr

Genome duplication, transcription, and translation are among many crucial cellular processes that need to be performed with high fidelity. However, those extremely low error rates cannot be explained with simple equilibrium thermodynamic considerations. Th ...

Amer Physical Soc2023

The influence of the gas on the dynamics of cavitation bubbles

Davide Bernardo Preso

Cavitation bubbles, extensively investigated in fluid mechanics, present enduring challenges in hydraulic machinery, while holding considerable potential for practical applications in biomedicine and sonochemistry. Despite more than a century of research, ...

EPFL2023

Neural Energy Casimir Control for Port-Hamiltonian Systems

Giancarlo Ferrari Trecate, Muhammad Zakwan, Liang Xu

The energy Casimir method is an effective controller design approach to stabilize port-Hamiltonian systems at a desired equilibrium. However, its application relies on the availability of suitable Casimir and Lyapunov functions, whose computation are gener ...

2022

Computational conceptual design — typological exploration of spatial truss systems through optimization

Corentin Jean Dominique Fivet, Jonas Warmuth

Exploring a wide range of design options is crucial for every sound conceptual design process. In the conventional structural design workflow, optimization techniques are generally employed to generate well-performing design options. However, focusing only ...

International Association for Shell and Spatial Structures (IASS)2023