Dynamic Modeling of Price Responsive Demand in Real-time Electricity Market:...
In this paper, we study the price responsiveness of electricity consumption from empirical commercial and industrial load data obtained from Texas. Employing a dynamical system perspective, we show...
View ArticleA diagnostic criterion for approximate factor structure. (arXiv:1612.04990v1...
We build a simple diagnostic criterion for approximate factor structure in large cross-sectional equity datasets. Given a model for asset returns with observable factors, the criterion checks whether...
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Bank lending and loan quality: the case of India
This paper analyses how non-performing loans (NPLs) of Indian banks behave through the cycle. We find that a one-percentage point increase in loan growth is associated with an increase in NPLs over...
View ArticleEconomic resilience: a financial perspective
"Economic resilience: a financial perspective", note submitted to the G20 on 7 November 2016. One aspect of resilience that is often underappreciated concerns financial imbalances. A resilient economy...
View Article5 Tools to Organize Your Research in 2017
When I’m researching my desk looks like a tornado of pdfs hit my computer desktop and blew them clear onto my actual desktop. It’s a mess, but I can’t touch anything or else I won’t know where anything...
View ArticleHigh Returns from Low Risk: A Remarkable Stock Market Paradox
For generations investors have believed that risk and return are inseparable. But is this really true? In High Returns from Low Risk, Pim van Vliet, founder and fund manager of multi-billion...
View ArticleWiley: Plumbers and Visionaries by Peter Norman Selected as the Yearâs...
New book! Plumbers and Visionaries by Peter Norman Selected as the Yearâs Most Popular Financ... https://t.co/N5A9DYieDL via @wiley_finance â moneyscienceâ¦
View ArticleWhen Donald Trump Hate-Tweeted Lockheed Martin, Hedge Funds Were Ready
Sentiment, Donald Trump & Lockheed Martin https://t.co/aGptRZNJmN â moneyscience (@moneyscience) December 15, 2016
View ArticleForbes Welcome
Billionaire Dan Loeb's Quant Trading Effort Sparked Legal Battle Over 32-Year-Old Data Scientisthttps://t.co/rEHRLLpnBD â moneyscience (@moneyscience) Decemberâ¦
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A Failure of Insurance Regulation
Credit: Bloomberg || Graph of Penn Treaty’s stock price 2002-2009read more...
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Extreme prices in electricity balancing markets from an approach of...
An increase in energy production from renewable energy sources is viewed as a crucial achievement in most industrialized countries. read more...
View ArticleStratified regression-based variance reduction approach for weak...
In this paper we suggest a modification of the regression-based variance reduction approach recently proposed in Belomestny et al. This modification is based on the stratification technique and allows...
View ArticleMacroeconomics of bank capital and liquidity regulations
We study the transmission mechanisms of liquidity and capital regulations as well as their effects on the economy and welfare. We propose a macro-economic model in which a regulator faces the following...
View ArticleNot All Measures of GDP are Created Equal
"Not All Measures of GDP are Created Equal" https://t.co/Xg7cHVlkCW #feedly â Miguel A. Arranz (@miguelarrnz6) December 19, 2016
View ArticleSolar can already generate more energy than oil, says major scientific review...
Solar power is already able to produce more energy than oil and gas for every unit of energy invested. https://t.co/6Zrg8vNedS â moneyscience (@moneyscience)â¦
View ArticleLearning, Confidence, and Business Cycles -- by Cosmin L. Ilut, Hikaru Saijo
We build a tractable heterogeneous-firm business cycle model where firms face Knightian uncertainty about their profitability and learn it through production. The cross-sectional mean of firm-level...
View ArticleEstimating market power Evidence from the US Brewing Industry -- by Jan De...
While inferring markups from demand data is common practice, estimation relies on difficult-to-test assumptions, including a specific model of how firms compete. Alternatively, markups can be inferred...
View ArticleEnergy Efficiency Standards Are More Regressive Than Energy Taxes: Theory and...
Economists promote energy taxes as cost-effective. But policymakers raise concerns about their regressivity, or disproportional burden on poorer families, preferring to set energy efficiency standards...
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