ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic)最新文献_第2页

Machine Learning in Property and Casualty Insurance: A Review for Pricing and Reserving 财产和意外伤害保险中的机器学习:定价和预订综述

ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2020-11-02 DOI: 10.2139/ssrn.3723780

Christopher Blier-Wong, Hélène Cossette, Luc Lamontagne, É. Marceau

引用次数: 3

Discrete–Time Optimal Execution Under a Generalized Price Impact Model With Markovian Exogenous Orders 具有马尔可夫外生订单的广义价格影响模型下离散时间最优执行

ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2020-10-17 DOI: 10.2139/ssrn.3714066

M. Fukasawa, M. Ohnishi, Makoto Shimoshimizu

{"title":"Discrete–Time Optimal Execution Under a Generalized Price Impact Model With Markovian Exogenous Orders","authors":"M. Fukasawa, M. Ohnishi, Makoto Shimoshimizu","doi":"10.2139/ssrn.3714066","DOIUrl":"https://doi.org/10.2139/ssrn.3714066","url":null,"abstract":"This paper examines a discrete-time optimal trade execution problem with generalized price impact. We extend a model recently discussed, which considers price impacts of aggregate random trade orders posed by small traders as well as a large trader. In contrast that assumes aggregate trading volumes submitted by small traders are serially independent, this paper allows a Markovian dependence. \u0000 \u0000Our new problem is formulated as a Markov decision process with state variables including the last small traders' aggregate orders. Over a finite horizon, the large trader with Constant Absolute Risk Aversion (CARA) von Neumann-Morgenstern (vN-M) utility function maximizes the expected utility from the final wealth. By applying the backward induction method of dynamic programming, we characterize the optimal value function and optimal trade execution strategy, and conclude that the execution strategy is a time-dependent affine function of three state variables. Moreover, numerical analysis prevails that the optimal execution strategy admits a `statistical arbitrage' via a round-trip trading, although our model considers a linear permanent price impact, which does not admit any price manipulation or arbitrage. The reason is that our model considers price impacts caused by small traders' orders with a Markovian dependence.","PeriodicalId":239853,"journal":{"name":"ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123677278","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: 3

Internet Appendix for State-Varying Factor Models of Large Dimensions 大维度状态变化因子模型的因特网附录

ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2020-10-15 DOI: 10.2139/ssrn.3711840

Markus Pelger, Ruoxuan Xiong

引用次数: 0

Loss Given Default Distributions in Different Countries: The Modality Defines the Estimation Method 不同国家的违约损失分布:模态定义了估计方法

ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2020-10-14 DOI: 10.2139/ssrn.3711525

Marc Gürtler, M. Zöllner

引用次数: 0

Roughness in Spot Variance? A GMM Approach for Estimation of Fractional Log-Normal Stochastic Volatility Models Using Realized Measures 现场粗糙度方差?利用已实现测度估计分数阶对数正态随机波动模型的GMM方法

ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2020-10-09 DOI: 10.2139/ssrn.3708167

Anine Eg Bolko, Kim Christensen, Bezirgen Veliyev, Mikko S. Pakkanen

{"title":"Roughness in Spot Variance? A GMM Approach for Estimation of Fractional Log-Normal Stochastic Volatility Models Using Realized Measures","authors":"Anine Eg Bolko, Kim Christensen, Bezirgen Veliyev, Mikko S. Pakkanen","doi":"10.2139/ssrn.3708167","DOIUrl":"https://doi.org/10.2139/ssrn.3708167","url":null,"abstract":"In this paper, we develop a generalized method of moments approach for joint estimation of the parameters of a fractional log-normal stochastic volatility model. We show that with an arbitrary Hurst exponent an estimator based on integrated variance is consistent. Moreover, under stronger conditions we also derive a central limit theorem. These results stand even when integrated variance is replaced with a realized measure of volatility calculated from discrete high-frequency data. However, in practice a realized estimator contains sampling error, the effect of which is to skew the fractal coefficient toward \"roughness\". We construct an analytical approach to control this error. In a simulation study, we demonstrate convincing small sample properties of our approach based both on integrated and realized variance over the entire memory spectrum. We show that the bias correction attenuates any systematic deviance in the estimated parameters. Our procedure is applied to empirical high-frequency data from numerous leading equity indexes. With our robust approach the Hurst index is estimated around 0.05, confirming roughness in integrated variance.","PeriodicalId":239853,"journal":{"name":"ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122065085","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: 7

Tail-Risk Protection: Machine Learning Meets Modern Econometrics 尾部风险保护:机器学习与现代计量经济学的结合

ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2020-10-07 DOI: 10.2139/ssrn.3714632

Bruno Spilak, W. Härdle

引用次数: 5

Robustness and the General Dynamic Factor Model With Infinite-Dimensional Space: Identification, Estimation, and Forecasting 鲁棒性与无限维空间的一般动态因子模型:辨识、估计与预测

ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2020-09-30 DOI: 10.2139/ssrn.3509166

Carlos Trucíos, J. Mazzeu, L. K. Hotta, Pedro L. Valls Pereira, M. Hallin

引用次数: 5

Generalized Optimized Certainty Equivalent with Applications in the Rank-dependent Utility Model 广义优化确定性等效及其在秩相关实用新型中的应用

ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2020-09-17 DOI: 10.2139/ssrn.3694866

Qinyu Wu, Tiantian Mao, Taizhong Hu

引用次数: 0

Nurse Staffing and Patient Outcomes: Analyzing Within- and Between-Variation 护士人员配备与患者预后:变异内与变异间分析

ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2020-09-17 DOI: 10.2139/ssrn.3694304

Uffe Bjerregaard, B. Hølge-Hazelton, S. Kristensen, K. Olsen

{"title":"Nurse Staffing and Patient Outcomes: Analyzing Within- and Between-Variation","authors":"Uffe Bjerregaard, B. Hølge-Hazelton, S. Kristensen, K. Olsen","doi":"10.2139/ssrn.3694304","DOIUrl":"https://doi.org/10.2139/ssrn.3694304","url":null,"abstract":"Objectives: To study and compare the longitudinal and cross-sectional relationship between nurse hours perpatient day and patient outcomes (30‐day mortality and length of stay [LOS]). Data source: Retrospective administrative register data (2015-2017) with all hospital admissions, LOS, andmortality rates from five medical departments combined with monthly data on staffing levels of registerednurses, physicians, and nurse assistants from the hospital’s payroll systems, as well as detailed patient-levelmorbidity and sociodemographic characteristics. Study design: We used a flexible within‐between random effect (REWB) model to exploit longitudinal andcross-sectional variation among homogenous medical departments. We applied a rich patient‐level dataset, leaving little risk of omitted variable bias due to patient‐level heterogeneity. Data Collection: The study population covered all hospital inpatient discharges from five medical departments over the period 2015-17 (N=172,132). Hospital payroll data were merged using hospital department identification codes. Principal findings: For both outcomes, we found evidence of endogeneity in within estimates when failing to control for patient heterogeneity. When controlling for patient characteristics, we found that a greater nurse to-patient ratio was associated with a statistically significant decrease in LOS when using both within- and between‐department variations. However, only between estimates were significant for nurses when it came to mortality, whereas the significance of the within estimate was absorbed by physicians. Conclusions: Most longitudinal studies apply fixed effects and, hence, only assess within variations. We found that between estimates were higher in magnitude and were more robust to omitted variable bias than within estimates. Therefore, as between variations are likely to identify structural recruitment problems, we argue for the importance of studying between estimators as well as in longitudinal studies.","PeriodicalId":239853,"journal":{"name":"ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115800059","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: 3

Why Forrester Wished to Replace Both Differential Equations and Economics? 为什么弗雷斯特希望取代微分方程和经济学?

ERN: Other Econometrics: Econometric & Statistical Methods - Special Topics (Topic) Pub Date : 2020-09-14 DOI: 10.2139/ssrn.3692759

K. Saeed

引用次数: 0