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Juan Passadore (Einaudi Institute for Economics and Finance)
TSE, 11 octobre 2016, 17h00–18h30, salle MS 001
We study debt policy of emerging economies accounting for credit and liquidity risk. To account for credit risk we study an incomplete markets model with limited commitment and exogenous costs of default following the quantitative literature of sovereign debt. To account for liquidity risk, we...
Roberto Renò (University of Verona)
TSE, 11 octobre 2016, 15h30–17h00, salle MS 001
The Drift Burst Hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent US equity and Treasury flash crashes can be viewed as two high profile manifestations of such dynamics, but we argue that drift bursts of varying magnitude...
Alessandro Bonatti (MIT Sloan School of Management)
Toulouse : TSE, 11 octobre 2016, 11h00–12h30, salle MS 001
We analyze strategic experimentation in which information arrives through fully revealing, publicly observable “breakdowns.” When actions are hidden, there exists a unique symmetric equilibrium that involves randomization over stopping times. With two players, this is the unique equilibrium....
Krzysztof Kurdyka (Université de Savoie - Chambéry)
Toulouse : TSE, 10 octobre 2016, 15h00–16h00, salle ENSEEIHT - Salle des thèses
We prove that if $f$ is a positive $C^2$ function on a convex compact set $X$ then it becomes strongly convex when multiplied by $(1+|x|^2)^N$ with $N$ large enough. For $f$ polynomial we give an explicit estimate for $N$, which depends on the size of the coefficients of $f$ and on the lower bound...
Hélène Frankowska (Université Pierre et Marie Curie)
Toulouse : TSE, 10 octobre 2016, 14h00–15h00, salle ENSEEIHT Toulouse - Salle des thèses
Dans cet exposé je discuterai les conditions nécessaires d’optimalité (principe de maximum et les relations de sensibilité) pour les problèmes de contrôle à l’horizon infini impliquant un coût avec ou sans le facteur d’actualisation. Dans ce cadre les difficultés majeures sont liées au choix des...
Ali Yurukoglu (Stanford University - Graduate School of Business)
TSE, 10 octobre 2016, 14h00–15h30, salle MF 323
We measure the persuasive effects of slanted news and tastes for like-minded news, exploiting cable channel positions as exogenous shifters of cable news viewership. Channel positions do not correlate with demographics that predict viewership and voting, nor with local satellite viewership. We...
José Penalva (Université Charles III de Madrid)
IDEI, 10 octobre 2016, 12h30–14h00, salle MF 323
This paper analyzes the effect of the tick size on market quality variables with a view of making specific predictions of what to expect from the SEC pilot program on tick size. We make three analyses with two different datasets. One dataset is a cross-section of over 2000 assets selected from the...
Matthieu Glachant (Mines ParisTech)
Toulouse : TSE, 10 octobre 2016, 11h00–12h15, salle MS 003
We develop a theory of constrained communication about corporate social behavior between a NGO and an imperfectly informed stakeholder. We seek to understand when and why the NGO reveals socially-beneficial activities (good news) or socially detrimental ones (bad news). The model provides two main...
David Gilo
Toulouse : TSE, 7 octobre 2016, 15h30–17h30, salle MF 323
Agnieszka Tymula
Toulouse : IAST, 7 octobre 2016, 11h30–12h30, salle MF323
We present a descriptive model of choice that incorporates neurobiological constraints, representational structures and costs into a traditional economic framework. An individual's behavior is fully described by two, in principle observable, primitives: an individual's neural/mental capacity and an...
