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The equilibrium effects of mortality risk
This paper investigates how mortality risk affects agents’ optimal decisions and asset prices within a general equilibrium framework. A risk-averse households facing a... -
Private Online learning of order flow and market impact with Bayesian change-point de...
The paper proposes the use of Bayesian online change-point detection (BOCPD) methods to identify regime shifts in real-time and enable online predictions of order flow and... -
Private Bayesian autoregressive online change-point detection with time-varying param...
The paper proposes a new methodology on Change-Point Detection in a probabilistic framework that allows for real time updates and uncertainty estimation. It allows to... -
Private CAESar: Conditional Autoregressive Expected Shortfall
The paper proposes a new methodology named Conditional Autoregressive Expected Shortfall (CAESar) which is able to handle dynamic patterns flexibly and includes... -
Private Reinforcement Learning for Optimal Execution When Liquidity Is Time-Varying
The paper investigates the application of Double Deep Q-Learning, a neural network-based Reinforcement Learning approach, to derive optimal trading policies in the presence of... -
Private Information flow in the FTX bankruptcy: A network approach
The paper investigates the cryptocurrency network of the FTX exchange during the collapse of its native token. A filtered correlation matrix is constructed by using... -
Private Modeling shock propagation and resilience in financial temporal networks
The paper proposes a vector autoregressive framework to analytically compute the Impulse Response Function of a network metric conditional to a shock on a node. Moreover, the... -
Estimating and understanding countries' peace index with GDELT
Our objective is to measure the Global Peace Index (GPI) at a monthly frequency, as compared to the official annual GPI score, to have more frequent updates of peacefulness.... -
Estimation of emissions from vehicles' GPS trajectories
We used the mobility-emission methods (https://data.d4science.org/ctlg/ResourceCatalogue/mobility-emissions) to perform experiments on real GPS trajectories describing 433,272... -
Evaluation of home location detection algorithms on three mobile phone record...
We created a dataset that comprises the mobile phone activity of sixty-five participants for whom the geographical coordinates of their residence location are known. The...
