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Central limit theorems and uniform laws of large numbers for arrays of random fields
Random field Spatial process Central limit theorem Uniform law of large numbers Law of large numbers
2015/9/24
Over the last decades, spatial-interaction models have been increasingly used in economics. However, the development of a sufficiently general asymptotic theory for nonlinear spatial models has been h...
Test of Random vs Fixed E§ects with Small Within Variation
Test of Random Fixed E§ects Small Within Variation
2015/9/18
Comparisons of within and between estimators using the conventional Hausman test may besubject to statistical problems if the within variation is not su￠ ciently large. Adopting an alternative asympto...
On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Stock price model random walk Gaussian processes weak con-vergence
2012/9/14
This paper considers a sequence of discrete-time random walk markets with a safe and a single risky investment opportunity, and gives conditions for the existence of arbitrages or free lunches with va...
Record statistics and persistence for a random walk with a drift
Record statistics persistence random walk with a drift
2012/9/14
We study the statistics of records of a one-dimensional random walk of nsteps,starting from the origin, and in presence of a constant bias c. At each time-step
the walker makes a random jump of lengt...
Directed Random Markets: Connectivity determines Money
Econophysics gas-like models networks money distribution.
2012/9/14
Boltzmann-Gibbs distribution arises as the statistical equilibrium probability distribu-tion of money among the agents of a closed economic system where random and undi-rected exchanges are allowed. W...
The Wronskian parameterizes the class of diffusions with a given distribution at a random time
Wronskian distribution random time
2012/9/14
We provide a complete characterization of the class of one-dimensional time-homogeneous di usions consistent with a given law at an exponentially distributed time using classical results in di usion t...
State-independent importance sampling for regularly varying random walks
State-independent regularly random walks
2012/9/14
Efficient simulation of rare events involving sums of heavy-tailed random vari-ables has been an active research area in applied probability in the lastfifteen years.These rare events arise in many ap...
Record Statistics for Multiple Random Walks
Record Statistics Multiple Random Walks Statistical Finance
2012/4/28
We study the statistics of the number of records R_{n,N} for N identical and independent symmetric discrete-time random walks of n steps in one dimension, all starting at the origin at step 0. At each...
We develop a new model of random choice to study violations of the weak axiom of
revealed preference. We introduce the notion of a stochastic preference and show that it
implies the Luce model. Our ...
Building portfolios of stocks in the Sao Paulo Stock Exchange using Random Matrix Theory
Building portfolios stocks the Sao Paulo Stock Exchange Random Matrix Theory
2012/3/2
Using Random Matrix Theory, we build a covariance matrix between stocks of the BM&F-Bovespa (Bolsa de Valores, Mercadorias e Futuros de S\~ao Paulo) which is cleaned of some of the noise due to the co...
Predicting the amount individuals withdraw at cash machines using a random effects multinomial model
ATM cash withdrawal customer personal banking
2011/9/24
Retail finance organizations use data on past behaviour to make predictions for customer value management strategies. Random-effects models, where each individual has a behavioural pattern drawn from ...
Additive habit formation: Consumption in incomplete markets with random endowments
Optimal Consumption Investment Utility Maximization Habit Formation Random Endowments Incomplete Markets
2011/7/4
We provide a detailed characterization of the optimal consumption
stream for the additive habit-forming utility maximization problem, in
a framework of general discrete-time incomplete markets and r...
Asymmetric random matrices: What do we need them for?
Asymmetric random matrices standard correlation matrices Complex systems
2011/7/4
Complex systems are typically represented by large ensembles of observations.
Correlation matrices provide an efficient formal framework
to extract information from such multivariate ensembles and i...
Exponential wealth distribution in a random market. A rigorous explanation
economic gas-like initial wealth wealth distribution
2011/3/31
In simulations of some economic gas-like models, the asymptotic regime shows an exponential wealth distribution, independently of the initial wealth distribution given to the system. The appearance of...
The fine structure of spectral properties for random correlation matrices: an application to financial markets
financial correlation matrices eigenvalue factor models
2011/3/23
We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we investigate the nature of the large eigenvalue bulks which are observed empirically, and which have ...