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Publications associées (28)

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The Time‐Varying Price of Financial Intermediation in the Mortgage Market

Andreas Fuster

We introduce a new measure of the price charged by ﬁnancial intermediaries for con-necting mortgage borrowers with capital market investors. Based on administrativelender pricing data, we document that the price of intermediation reacts stronglyto variatio ...

2024

Monopoly Pricing with Unknown Demand

Thomas Alois Weber

The optimal pricing of goods, especially when they are new and the innovating firm is a monopolist, must proceed without precise knowledge of the demand curve. This paper provides a pricing method with a relative robustness guarantee by maximizing a perfor ...

Wiley2025

Energy Management of Price-Maker Community Energy Storage by Stochastic Dynamic Programming

Xue Zhang, Tianshu Yang

In this paper, we propose an analytical stochastic dynamic programming (SDP) algorithm to address the optimal management problem of price-maker community energy storage. As a price-maker, energy storage smooths price differences, thus decreasing energy arb ...

China Electric Power Research Inst2024

Цена автономии^ Университет, «украинский вопрос», (не)академическая память в долгом двадцатом веке [The Price of Autonomy: University, the "Ukrainian question," (un)academic memory In the long twentieth century]

Alexander Dmitriev

The subject of the book is the specificity of social, national-cultural and historical self-consciousness of the "educated class" of the former Russian Empire and the former Soviet Union. The phenomenon of "intelligentsia" is considered in the spirit of V ...

Peter Lang Verlag2024

Dataset for the article "Frequency regulation with storage: On losses and profits"

Daniel Kuhn, François Richard Vuille, Dirk Lauinger

This dataset complements the article "Frequency regulation with storage: On losses and profits" by Dirk Lauinger, François Vuille, and Daniel Kuhn, available at https://arxiv.org/abs/2306.02987. The dataset contains the following files: 1.

Zenodo2023

AI-driven Prices for Externalities and Sustainability in Production Markets

Boi Faltings, Panayiotis Danassis, Aris Filos Ratsikas

Traditional competitive markets do not account for negative externalities; indirect costs that some participants impose on others, such as the cost of over-appropriating a common-pool resource (which diminishes future stock, and thus harvest, for everyone) ...

Cornell University2023

Automated Design Appraisal: Estimating Real Estate Price Growth and Value at Risk Due to Local Development

Adam Robert Swietek

Financial criteria in architectural design evaluation are limited to cost performance. Here, I introduce a method – Automated Design Appraisal (ADA) – to predict the market price of a generated building design concept within a local urban context. Integrat ...

2023

Resource aware pricing for electric vehicle charging

Nils Gustav Nilsson

Electric vehicle charging facilities offer their capacity constrained electric charge and parking to users for a fee. As electric vehicle adoption grows, so too does the potential for excessive resource utilization. In this paper, we study how prices set b ...

PERGAMON-ELSEVIER SCIENCE LTD2023

Heterogeneity in decentralized asset markets

Julien Hugonnier

We study a canonical model of decentralized exchange for a durable good or asset, where agents are assumed to have time-varying, heterogeneous utility types. Whereas the existing literature has focused on the special case of two types, we allow agents' uti ...

ECONOMETRIC SOCIETY2022

The Price of Distributed: Rate Loss in the CEO Problem

Michael Christoph Gastpar, Alper Köse, Ahmet Arda Atalik

In the distributed remote (CEO) source coding problem, many separate encoders observe independently noisy copies of an underlying source. The rate loss is the difference between the rate required in this distributed setting and the rate that would be requi ...

2022

Scalable Multi-agent Coordination and Resource Sharing

Panayiotis Danassis

A plethora of real world problems consist of a number of agents that interact, learn, cooperate, coordinate, and compete with others in ever more complex environments. Examples include autonomous vehicles, robotic agents, intelligent infrastructure, IoT de ...

EPFL2022

Essays in Empirical Asset Pricing

Alexis Arilès Marchal

This thesis consists of three applications of machine learning techniques to empirical asset pricing. In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...

EPFL2022

Essays on the Economics of Innovation: Incentives, Diffusion, and Disparity

Ling Zhou

As an important policy instrument for guiding innovation, the patent system involves a long-standing tension between creating economic rewards for the original innovators and stifling subsequent R&D activities. The availability of new data allows us to pro ...

EPFL2021

Market Structure and Transaction Costs of Index CDSs

Pierre Collin-Dufresne, Jan Benjamin Junge

Despite regulatory efforts to promote all-to-all trading, the post-Dodd-Frank index credit default swap market remains two-tiered. Transaction costs are higher for dealer-to-client than interdealer trades, but the difference is explained by the higher, lar ...

WILEY2020

Informed Trading in the Stock Market and Option Price Discovery

Pierre Collin-Dufresne

When activist shareholders file Schedule 13D filings, the average excess return on target stocks is 6% and stock price volatility drops by about 10%. Prior to filing days, volatility (price) information is reflected in option (stock) prices. Using a compre ...

2021

Strategic Durability with Sharing Markets

Thomas Alois Weber, Maryam Razeghian Jahromi

Electronic sharing markets are contributing to a paradigm shift, from consuming products to accessing products. This paper studies the effects of sharing markets on the prices for new products and on product design in terms of durability. In a dynamic econ ...

2019

Product Market Competition and Option Prices

Erwan Morellec

Most firms face some form of competition in product markets. The degree of competition a firm faces feeds back into its cash flows and affects the values of the securities it issues. Through its effects on stock prices, product market competition affects t ...

OXFORD UNIV PRESS INC2019

Three Problems of Liquidity under Asymmetric Information

Sylvain Jean Pascal Carré

This thesis develops models for three problems of liquidity under asymmetric information. In the chapter "Disclosures, Rollover Risk, and Debt Runs" I build a model of dynamic debt runs without perfect information in order to understand the impact of asset ...

EPFL2019

Application of a Tetra-TPD-Type Hole-Transporting Material Fused by a Troger's Base Core in Perovskite Solar Cells

Mohammad Khaja Nazeeruddin, Paul Joseph Dyson, Zhaofu Fei, Cristina Roldán Carmona, Maria Cristina Momblona Rincón

One of the obstacles to the commercialization of perovskite solar cells (PSCs) is the high price and morphological instability of the most common hole-transporting material (HTM) Spiro-OMeTAD. Herein, a novel HTM, termed V1160, based on four N,N '-bis(3-me ...

WILEY-V C H VERLAG GMBH2019

Production, characterization and upgrading of biomass-derived acetal-stabilized carbohydrates

Ydna Marie Questell-Santiago

Biomass is an attractive source of renewable carbon-based fuels and chemicals. Multiple research efforts are centered around integrated biorefineries, where all fractions of biomass are converted to fuels or chemical products. These efforts are focused aro ...

EPFL2019