The Structure of State Corporate Taxation and its Impact on State Tax...
This paper documents facts about the state corporate tax structure -- tax rates, base rules, and credits -- and investigates its consequences for state tax revenue and economic activity. We present...
View ArticleRationally Inattentive Behavior: Characterizing and Generalizing Shannon...
We provide a full behavioral characterization of the standard Shannon model of rational inattention. The key axiom is "Invariance under Compression", which identifies this model as capturing an ideal...
View ArticleMonetary Policy in the Capitals of Capital -- by Elena Gerko, Helene Rey
The importance of financial markets and international capital flows have increased greatly since the 1990s. How does this affect the effectiveness of monetary policy? We analyse the transmission of...
View ArticleInvestment-Horizon Spillovers -- by Alexander M. Chinco, Mao Ye
This paper uses wavelets to decompose each stock's trading-volume variance into frequency-specific components. We find that stocks dominated by short-run fluctuations in trading volume have abnormal...
View ArticleValuing Pain using the Subjective Well-being Method -- by Thorhildur...
Chronic pain clearly lowers utility, but it is empirically challenging to estimate the monetary compensation needed to offset this utility reduction. We use the subjective well-being method to estimate...
View ArticleSurvival Ambiguity and Welfare -- by Frank N. Caliendo, Aspen Gorry, Sita Slavov
Nearly all life-cycle models adopt Yaari's (1965) assumption that individuals know the survival probabilities that they face. Given that an individual's exact survival probabilities are likely unknown,...
View ArticlePolitical Distribution Risk and Aggregate Fluctuations -- by Thorsten...
We argue that political distribution risk is an important driver of aggregate fluctuations. To that end, we document significant changes in the capital share after large political events, such as...
View ArticleA Survey of Global Impacts of Climate Change: Replication, Survey Methods,...
The present study has two objectives. The first is a review of studies that estimate the global economic impacts of climate change using a systematic research synthesis (SRS). In this review, we...
View ArticleAddressing the Opioid Epidemic: Is There a Role for Physician Education? --...
Using data on all opioid prescriptions written by physicians from 2006 to 2014, we uncover a striking relationship between opioid prescribing and medical school rank. Even within the same specialty and...
View ArticleMachine learning in sentiment reconstruction of the simulated stock market....
In this paper we continue the study of the simulated stock market framework defined by the driving sentiment processes. We focus on the market environment driven by the buy/sell trading sentiment...
View ArticleOptimal Learning and Ellsberg's Urns. (arXiv:1708.01890v1 [q-fin.EC])
We consider the dynamics of learning under ambiguity when learning is costly and is chosen optimally. The setting is Ellsberg's two-urn thought experiment modified by allowing the agent to postpone her...
View ArticleOn optimal periodic dividend strategies for L\'evy risk processes....
We revisit the optimal periodic dividend problem where dividend payments can only be made at the jump times of an independent Poisson process. Recent results have shown, in the dual (spectrally...
View ArticleA Two Factor Forward Curve Model with Stochastic Volatility for Commodity...
We describe a model for evolving commodity forward prices that incorporates three important dynamics which appear in many commodity markets: mean reversion in spot prices, decorrelation of moves in...
View ArticleIs It That Time? The Ignorance Of The Establishment Has Just Hit A Deafening...
Iâll be putting up a follow-on post to a post from some years ago as it pertains to decesnnial patterns in finance. In that post I noted that we are likely witnessing the Great Depression in reverse....
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Bitcoin's meteoric rise is costing some investors billions
Bitcoin's meteoric rise is costing some investors billions https://t.co/jRNNJZi6OO â moneyscience (@moneyscience) August 8, 2017
View ArticleQuants Are Clamoring for Data, Causing Soul Searching at Large Banks
Quants Are Clamoring for Data, Causing Soul Searching at Large Bankshttps://t.co/SaEv8PF4cS â moneyscience (@moneyscience) August 8, 2017
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Turbocharging Monte Carlo pricing for the rough Bergomi model....
The rough Bergomi model, introduced by Bayer, Friz and Gatheral [Quant. Finance 16(6), 887-904, 2016], is one of the recent rough volatility models that are consistent with the stylised fact of implied...
View ArticleCardinality constrained portfolio selection via factor models....
In this paper we propose and discuss different 0-1 linear models in order to solve the cardinality constrained portfolio problem by using factor models. Factor models are used to build portfolios to...
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