New York University Stern School of Business Research Paper Series最新文献_第4页

Pricing Stock Options with Stochastic Interest Rate 随机利率下股票期权定价

New York University Stern School of Business Research Paper Series Pub Date : 2011-09-01 DOI: 10.2139/ssrn.1937633

M. Abudy, Yehuda Izhakian

引用次数: 30

Bailout Uncertainty in a Microfounded General Equilibriummodelofthefinancial System 金融体系微观一般均衡模型中的救助不确定性

New York University Stern School of Business Research Paper Series Pub Date : 2011-06-01 DOI: 10.2139/ssrn.1888967

A. Cukierman, Yehuda Izhakian

引用次数: 13

REQUEST: A Query Language for Customizing Recommendations REQUEST:用于定制推荐的查询语言

New York University Stern School of Business Research Paper Series Pub Date : 2011-03-01 DOI: 10.1287/isre.1100.0274

G. Adomavicius, A. Tuzhilin, Rong Zheng

引用次数: 55

Prediction in financial markets: The case for small disjuncts 金融市场的预测:小脱节的理由

New York University Stern School of Business Research Paper Series Pub Date : 2009-09-01 DOI: 10.1145/1961189.1961191

V. Dhar

{"title":"Prediction in financial markets: The case for small disjuncts","authors":"V. Dhar","doi":"10.1145/1961189.1961191","DOIUrl":"https://doi.org/10.1145/1961189.1961191","url":null,"abstract":"Predictive models in regression and classification problems typically have a single model that covers most, if not all, cases in the data. At the opposite end of the spectrum is a collection of models, each of which covers a very small subset of the decision space. These are referred to as “small disjuncts.” The trade-offs between the two types of models have been well documented. Single models, especially linear ones, are easy to interpret and explain. In contrast, small disjuncts do not provides as clean or as simple an interpretation of the data, and have been shown by several researchers to be responsible for a disproportionately large number of errors when applied to out-of-sample data. This research provides a counterpoint, demonstrating that a portfolio of “simple” small disjuncts provides a credible model for financial market prediction, a problem with a high degree of noise. A related novel contribution of this article is a simple method for measuring the “yield” of a learning system, which is the percentage of in-sample performance that the learned model can be expected to realize on out-of-sample data. Curiously, such a measure is missing from the literature on regression learning algorithms. Pragmatically, the results suggest that for problems characterized by a high degree of noise and lack of a stable knowledge base it makes sense to reconstruct the portfolio of small rules periodically.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133898077","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 21

Precautionary Hoarding of Liquidity and Inter-Bank Markets: Evidence from the Sub-Prime Crisis 流动性的预防性囤积与银行间市场:来自次贷危机的证据

New York University Stern School of Business Research Paper Series Pub Date : 2009-07-01 DOI: 10.1093/ROF/RFS022

V. Acharya, Ouarda Merrouche

{"title":"Precautionary Hoarding of Liquidity and Inter-Bank Markets: Evidence from the Sub-Prime Crisis","authors":"V. Acharya, Ouarda Merrouche","doi":"10.1093/ROF/RFS022","DOIUrl":"https://doi.org/10.1093/ROF/RFS022","url":null,"abstract":"We study the liquidity demand of large settlement (first-tier) banks in the UK and its effect on the Sterling Money Markets before and during the sub-prime crisis of 2007-08. Liquidity holdings of large settlement banks experienced on average a 30% increase in the period immediately following 9th August, 2007, the day when money markets froze, igniting the crisis. In the UK, unlike in the US until October 2008, the remuneration of reserves accounts provides strong incentives for banks to park liquidity at the central bank rather than lend in the market. We show that following this structural break, settlement bank liquidity had a precautionary nature in that it rose on calendar days with a large amount of payment activity and for banks with greater credit risk. We establish that the liquidity demand by settlement banks caused overnight inter-bank rates to rise and volumes to decline, an effect virtually absent in the pre-crisis period. This liquidity effect on inter-bank rates occurred in both unsecured borrowing as well as borrowing secured by UK government bonds. Further, using bilateral data we show that the effect was more strongly linked to lender risk than to borrower risk.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126665959","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 263

Costly Search and Design 昂贵的搜索和设计

New York University Stern School of Business Research Paper Series Pub Date : 2009-04-08 DOI: 10.2139/ssrn.1435257

Heski Bar-Isaac, Guillermo Caruana, V. Cuñat

引用次数: 1

The Re-Emergence of Distressed Exchanges in Corporate Restructurings 不良交易所在公司重组中的重新出现

New York University Stern School of Business Research Paper Series Pub Date : 2009-03-01 DOI: 10.21314/JCR.2009.087

E. Altman, Brenda Karlin

引用次数: 34

Leveraging aggregate ratings for improving predictive performance of recommender systems 利用综合评级来提高推荐系统的预测性能

New York University Stern School of Business Research Paper Series Pub Date : 2008-10-23 DOI: 10.1145/1454008.1454064

Akhmed Umyarov

引用次数: 2

A Column Generation Algorithm for Choice-Based Network Revenue Management 基于选择的网络收益管理的列生成算法

New York University Stern School of Business Research Paper Series Pub Date : 2008-10-01 DOI: 10.1287/opre.1080.0567

Juan José Miranda Bront, I. Méndez-Díaz, Gustavo J. Vulcano

{"title":"A Column Generation Algorithm for Choice-Based Network Revenue Management","authors":"Juan José Miranda Bront, I. Méndez-Díaz, Gustavo J. Vulcano","doi":"10.1287/opre.1080.0567","DOIUrl":"https://doi.org/10.1287/opre.1080.0567","url":null,"abstract":"During the past few years, there has been a trend to enrich traditional revenue management models built upon the independent demand paradigm by accounting for customer choice behavior. This extension involves both modeling and computational challenges. One way to describe choice behavior is to assume that each customer belongs to a segment, which is characterized by a consideration set, i.e., a subset of the products provided by the firm that a customer views as options. Customers choose a particular product according to a multinomial-logit criterion, a model widely used in the marketing literature. \u0000 \u0000In this paper, we consider the choice-based, deterministic, linear programming model (CDLP) of Gallego et al. (2004) [Gallego, G., G. Iyengar, R. Phillips, A. Dubey. 2004. Managing flexible products on a network. Technical Report CORC TR-2004-01, Department of Industrial Engineering and Operations Research, Columbia University, New York], and the follow-up dynamic programming decomposition heuristic of van Ryzin and Liu (2008) [van Ryzin, G. J., Q. Liu. 2008. On the choice-based linear programming model for network revenue management. Manufacturing Service Oper. Management10(2) 288--310]. We focus on the more general version of these models, where customers belong to overlapping segments. To solve the CDLP for real-size networks, we need to develop a column generation algorithm. We prove that the associated column generation subproblem is indeed NP-hard and propose a simple, greedy heuristic to overcome the complexity of an exact algorithm. Our computational results show that the heuristic is quite effective and that the overall approach leads to high-quality, practical solutions.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129968810","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 309

Semiparametric Vector MEM 半参数向量MEM

New York University Stern School of Business Research Paper Series Pub Date : 2008-09-04 DOI: 10.2139/ssrn.1282155

F. Cipollini, R. Engle, G. Gallo

引用次数: 63