Publications associées à Three Problems of Liquidity under Asymmetric Information

Publications associées (31)

Convex Computation of Value-at-risk Bounds for Stochastic Processes

This article formulates algorithms to upper-bound the maximum value-at-risk (VaR) of a state function along trajectories of stochastic processes. The VaR is upper bounded by two methods: minimax tail-bounds (Cantelli/Vysochanskij-Petunin) and Expected Shor ...

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC2025

Hitting with Probability One for Stochastic Heat Equations with Additive Noise

Robert Dalang, Fei Pu

We study the hitting probabilities of the solution to a system of d stochastic heat equations with additive noise subject to Dirichlet boundary conditions. We show that for any bounded Borel set with positive (d-6)\documentclass[12pt]{minimal} \usepackage{ ...

Springer/Plenum Publishers2024

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

Global existence for perturbations of the 2D stochastic Navier-Stokes equations with space-time white noise

Martin Hairer

We prove global in time well-posedness for perturbations of the 2D stochastic Navier-Stokes equations partial derivative( t)u + u center dot del u = Delta u - del p + sigma + xi, u(0, center dot ) = u(0),div (u) = 0, driven by additive space-time white noi ...

Springernature2024

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

Spectral Estimators for High-Dimensional Matrix Inference

Farzad Pourkamali

A key challenge across many disciplines is to extract meaningful information from data which is often obscured by noise. These datasets are typically represented as large matrices. Given the current trend of ever-increasing data volumes, with datasets grow ...

EPFL2024

Dynamical system approach to navigation around obstacles

Aude Billard, Aradhana Nayak

In this article, we propose a dynamical system to avoid obstacles which are star shaped and simultaneously converge to a goal. The convergence is almost-global in a domain and the stationary points are identified explicitly. Our approach is based on the id ...

2024

Fly-Swat or Cannon? Cost-Effective Language Model Choice via Meta-Modeling

Robert West, Maxime Jean Julien Peyrard, Marija Sakota

Generative language models (LMs) have become omnipresent across data science. For a wide variety of tasks, inputs can be phrased as natural language prompts for an LM, from whose output the solution can then be extracted. LM performance has consistently be ...

Assoc Computing Machinery2024

Spatial Modeling for Building Design Evaluation: from Visual Landscape Quality Assessment to Devaluation Risk Estimation

Adam Robert Swietek

Zoning reform is a crucial tool for cities to adapt to contemporary challenges. However, its implementation remains challenging. Property owners, with a vested interest in the value of their neighborhoods, are sensitive to local developments and the potent ...

EPFL2024

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

Reliable data-driven decision-making through optimal transport

Bahar Taskesen

Decision-making permeates every aspect of human and societal development, from individuals' daily choices to the complex decisions made by communities and institutions. Central to effective decision-making is the discipline of optimization, which seeks th ...

EPFL2024

Tiers of joy? Reserve tiering and bank behavior in a negative-rate environment

Andreas Fuster

Negative interest rate regimes typically involve reserve tiering to exempt a portion of bank reserves from negative rates. We study the effects on bank behavior of a large and unanticipated change in reserve tiering by the Swiss National Bank that generate ...

2024

Reducing uncertainties in response predictions of earthquake-damaged masonry buildings using data from image-based inspection

Ian Smith, Katrin Beyer, Bryan German Pantoja Rosero, Mathias Christian Haindl Carvallo

Image information about the state of a building after an earthquake, which can be collected without endangering the post-earthquake reconnaissance activities, can be used to reduce uncertainties in response predictions for future seismic events. This paper ...

Springer2024

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

Takeover Protections and Asset Prices

Erwan Morellec

We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...

Informs2024

Exploiting the Signal-Leak Bias in Diffusion Models

Athanasios Fitsios, Sabine Süsstrunk, Radhakrishna Achanta, Mahmut Sami Arpa, Martin Nicolas Everaert

There is a bias in the inference pipeline of most diffusion models. This bias arises from a signal leak whose distribution deviates from the noise distribution, creating a discrepancy between training and inference processes. We demonstrate that this signa ...

2024

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

A Note on Lenses in Arrangements of Pairwise Intersecting Circles in the Plane

Rom Pinchasi

Let F be a family of n pairwise intersecting circles in the plane. We show that the number of lenses, that is convex digons, in the arrangement induced by F is at most 2n - 2. This bound is tight. Furthermore, if no two circles in F touch, then the geometr ...

Electronic Journal Of Combinatorics2024

Optimizing Sales Forecasting, Inventory, Pricing and Sourcing Decisions

Yara Kayyali El Alem

In this thesis we address various factors that contribute both theoretically and practically to mitigating supply demand mismatches. The thesis is composed of three chapters, where each chapter is an independent scientific paper. In the first paper, we dev ...

EPFL2023

Machine Learning for Modeling Stock Returns

Teng Andrea Xu

Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...

EPFL2024