Publications associées à Financial Markets Equilibrium with Heterogeneous Agents

Publications associées (27)

Machine Learning for Modeling Stock Returns

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

Using automated design appraisal to model building-specific devaluation risk due to land-use change

Adam Robert Swietek

Uncertainty of spillover effects – including property devaluation - from proposed land-use change elicits opposition to local development. This hinders cities’ ability to implement land-use policy aimed at housing affordability and environmental sustainabi ...

2024

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

Portfolio Construction with Hierarchical Momentum

Urban Ulrych

This article presents a portfolio construction approach that combines the hierarchical clustering of a large asset universe with the stock price momentum. On one hand, investing in high-momentum stocks enhances returns by capturing the momentum premium. On ...

Pageant Media Ltd2024

Quartiers rhodaniens en transition

Sara Sonia Formery Regazzoni

Over the course of history, the relationship between cities and their waters has shown different gradients of interweaving, marked by cycles of bonding and distancing. Following a period of complete neglect of urban watercourses, the versatile, multifacete ...

EPFL2024

How Integrated are Credit and Equity Markets? Evidence from Index Options

Pierre Collin-Dufresne, Jan Benjamin Junge

We study the extent to which credit index (CDX) options are priced consistent with S&P 500 (SPX) equity index options. We derive analytical expressions for CDX and SPX options within a structural credit-risk model with stochastic volatility and jumps using ...

Wiley2024

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

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

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

A lunar reconnaissance drone for cooperative exploration and high-resolution mapping of extreme locations

Hippolyte Pierre Antoine Gustave Charles Rauch, David Rodriguez Martinez

An efficient characterization of scientifically significant locations is essential prior to the return of humans to the Moon. The highest resolution imagery acquired from orbit of south-polar shadowed regions and other relevant locations remains, at best, ...

Pergamon-Elsevier Science Ltd2024

Stochastic pairwise preference convergence in Bayesian agents

Max-Olivier Hongler

Beliefs inform the behaviour of forward-thinking agents in complex environments. Recently, sequential Bayesian inference has emerged as a mechanism to study belief formation among agents adapting to dynamical conditions. However, we lack critical theory to ...

2024

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 Generalization of Stochastic Gradient Descent with Momentum

Volkan Cevher, Kimon Antonakopoulos

While momentum-based accelerated variants of stochastic gradient descent (SGD) are widely used when training machine learning models, there is little theoretical understanding on the generalization error of such methods. In this work, we first show that th ...

Microtome Publishing2024

Closed form approximation methods for portfolio valuation and risk management

Lotfi Boudabsa

In this thesis we present three closed form approximation methods for portfolio valuation and risk management. The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and ...

EPFL2023

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

Circularity by stock in Sri Lanka: Economic necessity meets urban fabric renovation

Paolo Tombesi, Milinda Pathiraja

Persistent fiscal and political mismanagement, together with the financial pressures of the COVID-19 pandemic, have driven Sri Lanka into a social and economic crisis triggering a decrease in national foreign exchange reserves, an inability to purchase vit ...

FRONTIERS MEDIA SA2023

Can one hear the shape of a target zone?

Max-Olivier Hongler

We develop an exchange rate target zone model with finite exit time and non-Gaussian tails. We show how the tails are a consequence of time-varying investor risk aversion, which generates mean-preserving spreads in the fundamental distribution. We solve ex ...

2023

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

Greening the Swiss National Bank's Portfolio

Rüdiger Fahlenbrach, Eric Jondeau

Central banks are increasingly concerned about climate-related risks and want to ensure that the financial system is resilient to them. As they integrate these risks into financial stability monitoring, they also discuss how to apply environmental criteria ...

OXFORD UNIV PRESS2023