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How Risky are the U.S. Corporate Assets? 美国公司资产的风险有多大?
ERN: Simulation Methods (Topic) Pub Date : 2022-12-11 DOI: 10.2139/ssrn.3557559
T. Davydiuk, S. Richard, Ivan Shaliastovich, A. Yaron
{"title":"How Risky are the U.S. Corporate Assets?","authors":"T. Davydiuk, S. Richard, Ivan Shaliastovich, A. Yaron","doi":"10.2139/ssrn.3557559","DOIUrl":"https://doi.org/10.2139/ssrn.3557559","url":null,"abstract":"We use market data on corporate bonds and equities to measure the value of U.S. corporate assets and their payouts to investors. In contrast to per share equity dividends, total corporate payouts are very volatile, turn negative when corporations raise capital, and are acyclical. This challenges the notion of risk and return since the risk premium on corporate assets is comparable to the standard equity premium. To reconcile this evidence, we show empirically that aggregate net issuances are acyclical and highly volatile, and mask a strong exposure of total payouts' cash components to low-frequency growth risks. We develop an asset-pricing framework to quantitatively assess this economic channel.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132022313","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: 2
Smooth Tests for Normality in ANOVA 方差分析中正态性的平滑检验
ERN: Simulation Methods (Topic) Pub Date : 2021-10-10 DOI: 10.2139/ssrn.3939957
Haoyu Wei, Xiaojun Song
{"title":"Smooth Tests for Normality in ANOVA","authors":"Haoyu Wei, Xiaojun Song","doi":"10.2139/ssrn.3939957","DOIUrl":"https://doi.org/10.2139/ssrn.3939957","url":null,"abstract":"The normality assumption for errors in the Analysis of Variance (ANOVA) is common when using ANOVA models. But there are few people to test this normality assumption before using ANOVA models, and the existent literature also rarely mentions this problem. In this article, we propose an easy-to-use method to testing the normality assumption in ANOVA models by using smooth tests. The test statistic we propose has asymptotic chi-square distribution and our tests are always consistent in various different types of ANOVA models. Discussion about how to choose the dimension of the smooth model (the number of the basis functions) are also included in this article. Several simulation experiments show the superiority of our method.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117314229","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: 0
Stochastic Localization Methods for Discrete Convex Simulation Optimization 离散凸模拟优化的随机定位方法
ERN: Simulation Methods (Topic) Pub Date : 2020-12-03 DOI: 10.2139/ssrn.3742569
Haixiang Zhang, Zeyu Zheng, J. Lavaei
{"title":"Stochastic Localization Methods for Discrete Convex Simulation Optimization","authors":"Haixiang Zhang, Zeyu Zheng, J. Lavaei","doi":"10.2139/ssrn.3742569","DOIUrl":"https://doi.org/10.2139/ssrn.3742569","url":null,"abstract":"We propose a set of new algorithms based on stochastic localization methods for large-scale discrete simulation optimization problems with convexity structure. All proposed algorithms, with the general idea of \"localizing\" potential good solutions to an adaptively shrinking subset, are guaranteed with high probability to identify a solution that is close enough to the optimal given any precision level. Specifically, for one-dimensional large-scale problems, we propose an enhanced adaptive algorithm with an expected simulation cost asymptotically independent of the problem scale, which is proved to attain the best achievable performance. For multi-dimensional large-scale problems, we propose statistically guaranteed stochastic cutting-plane algorithms, the simulation costs of which have no dependence on model parameters such as the Lipschitz parameter, as well as low polynomial order of dependence on the problem scale and dimension. Numerical experiments are implemented to support our theoretical findings. The theory results, joint the numerical experiments, provide insights and recommendations on which algorithm to use in different real application settings.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"68 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129110465","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: 1
Manufacturing Cost Simulations for Low Cost RFID 低成本RFID制造成本模拟
ERN: Simulation Methods (Topic) Pub Date : 2020-09-10 DOI: 10.2139/ssrn.3690073
G. Swamy
{"title":"Manufacturing Cost Simulations for Low Cost RFID","authors":"G. Swamy","doi":"10.2139/ssrn.3690073","DOIUrl":"https://doi.org/10.2139/ssrn.3690073","url":null,"abstract":"In a previous Auto-ID publication, “Towards a 5¢ Tag”, we speculated on manufacturing and system methods to approach the elusive goal of a 5¢ Radio Frequency Identification (or RFID) tag. We extend our cost analysis in this paper and simulate manufacturing and assembly processes to examine the feasibility of the 5¢ tag. We do so assuming that large volumes are being manufactured achieving which is, of course, another challenge entirely. We experiment with variations in process, throughput and component variables to estimate what will be required to approach the 5¢ goal. As part of this experiment, we examine both the semiconductor manufacturing and the assembly of RFID tags. Our approach consists of two steps: bench-marking the processes employed and the equipment used, and 2) cost model simulation using this benchmark data. Our simulation models are inspired on earlier work on semiconductor costing at SEMATECH and at the University of California at Berkeley.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"126 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115186606","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: 2
How COVID-19 can Affect the Worldwide Stock Markets? COVID-19如何影响全球股市?
ERN: Simulation Methods (Topic) Pub Date : 2020-05-03 DOI: 10.2139/ssrn.3591698
Mario Arturo Ruiz Estrada, Minsoo Lee
{"title":"How COVID-19 can Affect the Worldwide Stock Markets?","authors":"Mario Arturo Ruiz Estrada, Minsoo Lee","doi":"10.2139/ssrn.3591698","DOIUrl":"https://doi.org/10.2139/ssrn.3591698","url":null,"abstract":"This research is interested to evaluate the impact of COVID-19 on different stock markets globally. Therefore, we propose a new simulator that is entitled “The Massive Pandemic Contagious Diseases Damage on Stock Markets Simulator (φ-Simulator).” The main objective is to evaluate from a multidimensional graphical perspective the impact of COVID-19 on different stock markets globally. The φ-Simulator can evaluate the COVID-19 impact in the short and long-run. The main objective of the φ-Simulator is to make different simulations under different levels of massive pandemic contagious disease growth rates and the stock market growth rates performance simultaneously. The application of φ-Simulator can show the impact of COVID-19 in different stock markets such as S&P 500, TWSE, Shanghai Stock Exchange, Nikkei 225, DAX, Hang Seng, U.K.-FTSE, KRX, SGX, and Malaysia-FTSE. The issue of COVID-19 is a global issue, which requires an effective global integral medical assistance programs worldwide as well as a stronger and dynamic detection systems and vaccination research collaborations that will render richer welfare and will increase the opportunity to reduce the damage of COVID-19 on the stocks markets anytime and anywhere.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"34 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-05-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120872274","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: 5
Testing for Structural Changes in Large Dimensional Factor Models via Discrete Fourier Transform 用离散傅立叶变换测试大尺寸因子模型的结构变化
ERN: Simulation Methods (Topic) Pub Date : 2020-03-24 DOI: 10.2139/ssrn.3559936
Zhonghao Fu, Yongmiao Hong, Xia Wang
{"title":"Testing for Structural Changes in Large Dimensional Factor Models via Discrete Fourier Transform","authors":"Zhonghao Fu, Yongmiao Hong, Xia Wang","doi":"10.2139/ssrn.3559936","DOIUrl":"https://doi.org/10.2139/ssrn.3559936","url":null,"abstract":"We propose a new test for structural changes in large dimensional factor models via a discrete Fourier transform (DFT) approach. If structural changes occur, the conventional principal component analysis fails to estimate common factors and factor loadings consistently. The estimated residuals will contain information about structural changes. Therefore, we can compare the DFT of the estimated residuals with the null (zero) spectrum implied by no structural change. The proposed test is powerful against both smooth structural changes and abrupt structural breaks with a possibly unknown number of breaks and unknown break dates in factor loadings. It can detect a class of local alternatives at the parametric rate. As a result, the test is asymptotically more efficient than the existing tests in the factor model literature. And our test is also robust to serial and cross-sectional dependence of unknown form without having to estimate any long-run variance-covariance matrix. Moreover, it is easy to implement and tuning parameter-free. Monte Carlo studies demonstrate its reasonable size and excellent power in detecting various forms of structural changes in factor loadings. In an application to the U.S. macroeconomic data, we find significant and robust evidence of time-varying factor loadings.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"119 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124583729","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: 2
Realistic Expectations and Limitations to Consumer-Facing Robo-tic Advisors 面向消费者的机器人顾问的现实期望和限制
ERN: Simulation Methods (Topic) Pub Date : 2019-12-18 DOI: 10.2139/ssrn.3506056
D. Cotton, Neville R. Francis
{"title":"Realistic Expectations and Limitations to Consumer-Facing Robo-tic Advisors","authors":"D. Cotton, Neville R. Francis","doi":"10.2139/ssrn.3506056","DOIUrl":"https://doi.org/10.2139/ssrn.3506056","url":null,"abstract":"We present a benchmark life-cycle simulation model (RFSM) that incorporates the financial, demographic, and mortality positions of retired households. By adjusting several features we nest a specific type of consumer-facing (generic) robo model that attempts to minimize the user's workload by imputing key inputs. We calibrate both models under robo policies using the Health and Retirement data for our benchmark model and robo-imputed data for the Generic-Robo model. Our findings indicate that retirees using Robo advisors tend to have large variances in consumption; overspending in a few years with sizeable shortfalls in a number of years. Our RFSM model, however, promotes smoother consumption profiles for retirees. Lastly, retirees using the Generic-Robo model experience more underfunded years and scenarios than those using our RFSM approach.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131799736","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: 0
Recursive Lower- and Dual Upper-Bounds for Bermudan-Style Options 百慕大式期权的递归下界和对偶上界
ERN: Simulation Methods (Topic) Pub Date : 2019-07-12 DOI: 10.2139/ssrn.2512659
Alfredo Ibáñez, C. Velasco
{"title":"Recursive Lower- and Dual Upper-Bounds for Bermudan-Style Options","authors":"Alfredo Ibáñez, C. Velasco","doi":"10.2139/ssrn.2512659","DOIUrl":"https://doi.org/10.2139/ssrn.2512659","url":null,"abstract":"Bermudan-style options are priced by simulation by computing lower- and (dual) upper-bounds. However, much less is known about the associated two optimal bounds. This paper adresses this gap and shows that the exercise strategy that maximizes the Bermudan price (Ibanez and Velasco (2016) local least-squares method) also minimizes (no the dual upper-bound itself, but) the gap between the lower- and the upper-bound in a recursive way. We then price Bermudan max-call options with an up-and-out barrier, which is a difficult stopping-time problem, reducing the gap produced by state-of-the-art methods (including least-squares and pathwise optimization) from 200 basis points -- or more to just one figure. Our results indicate that upper-bounds are tighter than lower-bounds, and hence a mid-point will be lower biased (contrary to conventional wisdom).","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"76 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124917133","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: 2
Economic Simulation Of Cryptocurrencies & Their Control Mechanisms 加密货币的经济模拟及其控制机制
ERN: Simulation Methods (Topic) Pub Date : 2019-05-01 DOI: 10.5195/LEDGER.2019.130
M. Mainelli, M. Leitch, Dionysios S. Demetis
{"title":"Economic Simulation Of Cryptocurrencies & Their Control Mechanisms","authors":"M. Mainelli, M. Leitch, Dionysios S. Demetis","doi":"10.5195/LEDGER.2019.130","DOIUrl":"https://doi.org/10.5195/LEDGER.2019.130","url":null,"abstract":"A cryptocurrency needs a relatively stable value if it is to fulfill the traditional functions of money and be useful as a currency. To achieve this, controls are needed within the ecosystem of the cryptocurrency. Although a simulation cannot predict future currency rates or other variables exactly, it is argued that a model that simulates a range of challenging behavior can be a useful testbed for control schemes. To illustrate and explore this idea, an agent-based economic model was used to simulate the early period of a hypothetical cryptocurrency and test two control mechanisms. The results suggest that this approach may be fruitful and that it may be important to include more than just coin minting within the control scheme. An economic simulation model is likely to be a valuable tool in developing and regulating effective cryptocurrency systems.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123267762","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: 5
Stacked Monte Carlo for Option Pricing 堆叠蒙特卡罗期权定价
ERN: Simulation Methods (Topic) Pub Date : 2019-03-26 DOI: 10.2139/ssrn.3360332
A. Jacquier, E. Malone, Mugad Oumgari
{"title":"Stacked Monte Carlo for Option Pricing","authors":"A. Jacquier, E. Malone, Mugad Oumgari","doi":"10.2139/ssrn.3360332","DOIUrl":"https://doi.org/10.2139/ssrn.3360332","url":null,"abstract":"We introduce a stacking version of the Monte Carlo algorithm in the context of option pricing. Introduced recently for aeronautic computations, this simple technique, in the spirit of current machine learning ideas, learns control variates by approximating Monte Carlo draws with some specified function. We describe the method from first principles and suggest appropriate fits, and show its efficiency to evaluate European and Asian Call options in constant and stochastic volatility models.","PeriodicalId":364869,"journal":{"name":"ERN: Simulation Methods (Topic)","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130277367","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: 4
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