Publications associées à Do Prices Reveal the Presence of Informed Trading?

Publications associées (32)

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

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

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

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

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

The Impact of Data Persistence Bias on Social Media Studies

Tugrulcan Elmas

Social media studies often collect data retrospectively to analyze public opinion. Social media data may decay over time and such decay may prevent the collection of the complete dataset. As a result, the collected dataset may differ from the complete data ...

Assoc Computing Machinery2023

Experimental study on velocity distributions, secondary currents, and coherent structures in open channel flow with submerged riparian vegetation

Haoran Shi

Riparian vegetation, which is commonly found in natural rivers and open channels, has a strong influence on flow structures. This paper describes a laboratory experiment on velocity distributions, secondary currents, and coherent structures in narrow open- ...

ELSEVIER SCI LTD2023

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

Equilibria in Network Constrained Energy Markets

Leonardo Massai

We study an energy market composed of producers who compete to supply energy to different markets and want to maximize their profits. The energy market is modeled by a graph representing a constrained power network where nodes represent the markets and lin ...

Elsevier2023

Johann Sebastian Bach – The Chorales

Martin Alois Rohrmeier, Johannes Hentschel, Ioannis Rammos

This is a README file for a data repository originating from the DCML corpus initiative and serves as welcome page for both the GitHub repo

Zenodo2023

On double-descent in uncertainty quantification in overparametrized models

Lenka Zdeborová, Florent Gérard Krzakala, Bruno Loureiro, Lucas Andry Clarte

Uncertainty quantification is a central challenge in reliable and trustworthy machine learning. Naive measures such as last-layer scores are well-known to yield overconfident estimates in the context of overparametrized neural networks. Several methods, ra ...

PMLR Proceedings of Machine Learning Research2023

A new chapter of healthy indoor air: antiviral air treatments

Shannon Christa David

Aerosol transmission remains a major challenge for the control of respiratory viruses. To date, prevention strategies include masks, vaccinations, physical distancing, travel restrictions, and lockdowns. Such measures are effective but come with heavy soci ...

Wiley2023

Patents, War and Peace. The resilience of the international patent order through the First World War

Nicolas Christophe Chachereau

By the end of the 19th century, an international order had emerged for patents, allowing business actors to use patents in many countries concurrently, and thus supporting a new phase in the development of industrial capitalism. Centered on Europe in spite ...

2023

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

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

A Functional Perspective on Information Measures

Amedeo Roberto Esposito

Since the birth of Information Theory, researchers have defined and exploited various information measures, as well as endowed them with operational meanings. Some were born as a "solution to a problem", like Shannon's Entropy and Mutual Information. Other ...

EPFL2022

Extracting transport channel transmissions in scanning tunneling microscopy using superconducting excess current

Klaus Kern, Jacob Senkpiel

Transport through quantum coherent conductors, such as atomic junctions, is described by conduction channels. Information about the number of channels and their transmissions can be extracted from various sources, such as multiple Andreev reflections, dyna ...

AMER PHYSICAL SOC2022

Nothing New Under the Sun: Novelty Constructs and Measures in Social Studies

Davide Bavato

The concept of novelty is central to questions of creativity, innovation, and discovery. Despite the prominence in scientific inquiry and everyday discourse, there is a chronic ambiguity over its meaning and a surprising variety of empirical measures, whic ...

Emerald Publishing Limited2022

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