Recherche avancée

René Garcia et Alissa Marinenko

sous la direction de Marco Corazza, René Garcia, Faisal Shah Khan, Davide La Torre et Hatem Masri, World Scientific Publishing, chapitre 3, 2024, p. 103–148

In this chapter, we briefly review the methodology of reinforcement learning and describe its application to the financial problem of portfolio allocation. In this context, we define the environment as a set of states, captured by such financial variables as stock returns or technical indicators,...

René Garcia, Marco Corazza, Faisal Shah Khan, Davide La Torre et Hatem Masri

sous la direction de Marco Corazza, René Garcia, Faisal Shah Khan, Davide La Torre et Hatem Masri, World Scientific Publishing, 2024

Caio Almeida, Kim Ardison, Gustavo Freire, René Garcia et Piotr Orlowski

vol. 59, n° 8, décembre 2024, p. 3633–3670

We propose a novel measure of the market return tail risk premium based on minimum- distance state price densities recovered from high-frequency data. The tail risk premium extracted from intra-day S&P 500 returns predicts the market equity and variance risk premiums and expected excess returns...

Francesca Barigozzi, Helmuth Cremer et Emmanuel Thibault

vol. 37:74, 2024

We present a simple dynamic model based on on-the-job human capital accumulation affecting the dynamic of wage rates and labor earnings. The model can generate and explain the different dynamics of women’s earnings after childbirth documented in the empirical literature on child penalties. We show...

Jairo F. Gudino, Umberto Grandi et César Hidalgo

vol. 382, n° 2285, décembre 2024

We explore an augmented democracy system built on off-the-shelf large language models (LLMs) fine-tuned to augment data on citizens’ preferences elicited over policies extracted from the government programmes of the two main candidates of Brazil’s 2022 presidential election. We use a train-test...

César Hidalgo

sous la direction de Wolfram Elsner, Ping Chen et Andreas Pyka, chapitre 3, 2024, p. 50–63

Barry Hewlett, Adam H. Boyette, Vinod Chellan, Samuel Dira, Hillary Fouts, Kim Hill, Haneul Jang, Seetha Kakkoth, Tomoe Noguchi, Keiichi Omura, Eric Schniter, Akira Takada, Nikhil Chaudhary, Gul Deniz Salali et Michelle Scalise Sugiyama

vol. 9, n° 3-4, décembre 2024, p. 323–348

Generally high rates of adult mortality coupled with cultural approval of divorce/remarriage mean that alternatives to the ‘nuclear model’ of the family can be common in contemporary hunter-gatherer communities. While many studies of hunter-gatherer societies have emphasised the flexible,...

Adam H. Boyette, Laurel Fogarty, Amandine E. Visine et Haneul Jang

vol. 9, n° 3-4, décembre 2024, p. 323–348

Generally high rates of adult mortality coupled with cultural approval of divorce/remarriage mean that alternatives to the ‘nuclear model’ of the family can be common in contemporary hunter-gatherer communities. While many studies of hunter-gatherer societies have emphasised the flexible,...

Alexei Parakhonyak et Andrew Rhodes

n° 24-1606, décembre 2024

We consider a model in which consumers wish to buy a product repeatedly over time, but need to engage in costly search to learn prices and find a product that matches them well. The optimal search rule has two reservation values, one for newly-searched products, and another for products that were...

Sandeep Bhupatiraju, Daniel L. Chen, Shareen Joshi et Peter Neis

vol. 2, 2024, p. 151–178

This study investigates the impact of social identity on judicial processes and outcomes at the Patna High Court over a decade (2009 to 2019). We employ machine learning algorithms to infer caste status from surnames (names) in court records. We note that a majority of court participants have ‘...