Playlist

Quantitative Finance & Risk

Risk management, quantitative finance, and econometrics

PaperCast•69 episodes•about 11 hr
Broken Symmetry of Stock Returns -- a Modified Jones-Faddy Skew t-Distribution
Broken Symmetry of Stock Returns -- a Modified Jones-Faddy Skew t-Distribution

Siqi Shao et al.

8:34•No ratings
The Big Three in Marriage Talk: LLM-Assisted Analysis of Moral Ethics and Sentiment on Weibo and Xiaohongshu
The Big Three in Marriage Talk: LLM-Assisted Analysis of Moral Ethics and Sentiment on Weibo and Xiaohongshu

Frank Tian-Fang Ye & Xiaozi Gao

7:32•No ratings
Axiomatic Foundations of Bayesian Persuasion
Axiomatic Foundations of Bayesian Persuasion

Youichiro Higashi et al.

10:15•No ratings
The Revealed Preference Theory of Aggregate Object Allocations
The Revealed Preference Theory of Aggregate Object Allocations

Umutcan Salman

11:34•No ratings
Dynamic Decoupling in Multidimensional Screening
Dynamic Decoupling in Multidimensional Screening

Eric Gao

8:33•No ratings
Deep Learning for Art Market Valuation
Deep Learning for Art Market Valuation

Jianping Mei et al.

8:08•No ratings
When Indemnity Insurance Fails: Parametric Coverage under Binding Budget and Risk Constraints
When Indemnity Insurance Fails: Parametric Coverage under Binding Budget and Risk Constraints

Benjamin Avanzi et al.

9:38•No ratings
Nonparametric methods for comparing distribution functionals for dependent samples with application to inequality measures
Nonparametric methods for comparing distribution functionals for dependent samples with application to inequality measures

Jean-Marie Dufour & Tianyu He

9:50•
(1)
The Impact of Dodd-Frank and the Huawei Shock on DRC Tin Exports
The Impact of Dodd-Frank and the Huawei Shock on DRC Tin Exports

Haruka Nagamori & Kazuhiko Nishimura

14:24•No ratings
Mean-Field Price Formation on Trees with a Network of Relative Performance Concerns
Mean-Field Price Formation on Trees with a Network of Relative Performance Concerns

Masaaki Fujii

7:55•
(2)
Legacy Lending Relationships and Credit Rationing: Evidence from the Paycheck Protection Program
Legacy Lending Relationships and Credit Rationing: Evidence from the Paycheck Protection Program

Chunyu Qu

9:20•No ratings
Structure, Risk, and Access to Credit: Reassessment of the Paycheck Protection Program Effectiveness
Structure, Risk, and Access to Credit: Reassessment of the Paycheck Protection Program Effectiveness

Chunyu Qu

8:21•
(1)
The Peter Principle Revisited: An Agent-Based Model of Promotions, Efficiency, and Mitigation Policies
The Peter Principle Revisited: An Agent-Based Model of Promotions, Efficiency, and Mitigation Policies

P. Rajguru et al.

8:21•
(1)
US labor market conditions and migration: a reassessment of Bahar (2025)
US labor market conditions and migration: a reassessment of Bahar (2025)

Francisco Rodriguez & Giancarlo Bravo

7:21•
(1)
Why Bahar and Hausmann Tell Us Nothing About Venezuelan Migration Flows to the United States
Why Bahar and Hausmann Tell Us Nothing About Venezuelan Migration Flows to the United States

Francisco Rodríguez & Giancarlo Bravo

9:45•No ratings
Difference-in-Differences in the Presence of Unknown Interference
Difference-in-Differences in the Presence of Unknown Interference

Fabrizia Mealli & Javier Viviens

10:42•No ratings
Portfolio Optimization for Index Tracking with Constraints on Downside Risk and Carbon Footprint
Portfolio Optimization for Index Tracking with Constraints on Downside Risk and Carbon Footprint

Suparna Biswas & Rituparna Sen

9:38•No ratings
Learning the Macroeconomic Language
Learning the Macroeconomic Language

Siddhartha Chib & Fei Tan

8:06•No ratings
Testing Exclusion and Shape Restrictions in Potential Outcomes Models
Testing Exclusion and Shape Restrictions in Potential Outcomes Models

Hiroaki Kaido & Kirill Ponomarev

9:35•No ratings
Pricing of wrapped Bitcoin and Ethereum on-chain options
Pricing of wrapped Bitcoin and Ethereum on-chain options

Anastasiia Zbandut

8:18•
(1)
Origins and Nature of Macroeconomic Instability in Vector Autoregressions
Origins and Nature of Macroeconomic Instability in Vector Autoregressions

Pooyan Amir-Ahmadi et al.

6:38•No ratings
Assumption-lean covariate adjustment under covariate adaptive randomization when $p = o (n)$
Assumption-lean covariate adjustment under covariate adaptive randomization when $p = o (n)$

Yujia Gu et al.

9:30•No ratings
Numerical Analysis of Test Optimality
Numerical Analysis of Test Optimality

Philipp Ketz et al.

8:08•No ratings
Limit Regret in Binary Treatment Choice with Misspecified Plug-In Predictors and Decision Thresholds
Limit Regret in Binary Treatment Choice with Misspecified Plug-In Predictors and Decision Thresholds

Jeff Dominitz & Charles F. Manski

8:20•No ratings
srvar-toolkit: A Python Implementation of Shadow-Rate Vector Autoregressions with Stochastic Volatility
srvar-toolkit: A Python Implementation of Shadow-Rate Vector Autoregressions with Stochastic Volatility

Charles Shaw

8:47•No ratings
Semiparametric Efficiency in Policy Learning with General Treatments
Semiparametric Efficiency in Policy Learning with General Treatments

Yue Fang et al.

8:36•No ratings
Optimal Catastrophe Risk Pooling
Optimal Catastrophe Risk Pooling

Minh Chau Nguyen et al.

12:15•No ratings
(Debiased) Inference for Fixed Effects Estimators with Three-Dimensional Panel and Network Data
(Debiased) Inference for Fixed Effects Estimators with Three-Dimensional Panel and Network Data

Daniel Czarnowske & Amrei Stammann

8:00•No ratings
Back to Feedback: Dynamics and Heterogeneity in Panel Data
Back to Feedback: Dynamics and Heterogeneity in Panel Data

Stephane Bonhomme

11:55•No ratings
Principled Identification of Structural Dynamic Models
Principled Identification of Structural Dynamic Models

Neville Francis et al.

10:22•No ratings
Smart Data Portfolios: A Quantitative Framework for Input Governance in AI
Smart Data Portfolios: A Quantitative Framework for Input Governance in AI

A. Talha Yalta & A. Yasemin Yalta

6:32•No ratings
Environmental Policy and Firm Performance in Europe: A Difference-in-Differences Approach with Spillovers
Environmental Policy and Firm Performance in Europe: A Difference-in-Differences Approach with Spillovers

Andrea Ciaccio et al.

8:12•No ratings
Non-parametric Causal Inference in Dynamic Thresholding Designs
Non-parametric Causal Inference in Dynamic Thresholding Designs

Aditya Ghosh & Stefan Wager

10:04•No ratings
Estimating Program Participation with Partial Validation
Estimating Program Participation with Partial Validation

Augustine Denteh & Pierre E. Nguimkeu

9:30•No ratings
A General Theory of Piping Transportation: Unifying System Dynamics for Resilience and Sustainable Development
A General Theory of Piping Transportation: Unifying System Dynamics for Resilience and Sustainable Development

Samuel Darwisman

7:50•No ratings
Spatial-Network Treatment Effects: A Continuous Functional Approach
Spatial-Network Treatment Effects: A Continuous Functional Approach

Tatsuru Kikuchi

8:33•No ratings
Deep Hedging with Reinforcement Learning: A Practical Framework for Option Risk Management
Deep Hedging with Reinforcement Learning: A Practical Framework for Option Risk Management

Travon Lucius et al.

12:16•No ratings
Anticipatory Governance in Data-Constrained Environments: A Predictive Simulation Framework for Digital Financial Inclusion
Anticipatory Governance in Data-Constrained Environments: A Predictive Simulation Framework for Digital Financial Inclusion

Elizabeth Irenne Yuwono et al.

9:29•No ratings
Defunding Sexual Healthcare: A Topological Investigation of Resource Accessibility
Defunding Sexual Healthcare: A Topological Investigation of Resource Accessibility

Denise Gonzalez-Cruz et al.

7:58•No ratings
Institutionalizing risk curation in decentralized credit
Institutionalizing risk curation in decentralized credit

Anastasiia Zbandut & Carolina Goldstein

8:48•No ratings
Risk Limited Asset Allocation with a Budget Threshold Utility Function and Leptokurtotic Distributions of Returns
Risk Limited Asset Allocation with a Budget Threshold Utility Function and Leptokurtotic Distributions of Returns

Graham L Giller

8:32•
(1)
How AI Agents Follow the Herd of AI? Network Effects, History, and Machine Optimism
How AI Agents Follow the Herd of AI? Network Effects, History, and Machine Optimism

Yu Liu et al.

7:53•No ratings
Pareto-optimal reinsurance under dependence uncertainty
Pareto-optimal reinsurance under dependence uncertainty

Tim J. Boonen et al.

8:03•No ratings
Reconstructing Transportation Cost Planning Theory: A Multi-Layered Framework Integrating Stepwise Functions, AI-Driven Dynamic Pricing, and Sustainable Autonomy
Reconstructing Transportation Cost Planning Theory: A Multi-Layered Framework Integrating Stepwise Functions, AI-Driven Dynamic Pricing, and Sustainable Autonomy

Samuel Darwisman

8:15•No ratings
Applying an axiomatic approach to revenue allocation in airlines problems
Applying an axiomatic approach to revenue allocation in airlines problems

Gustavo Bergantiños & Leticia Lorenzo

9:57•No ratings
Motivated Reasoning and Information Aggregation
Motivated Reasoning and Information Aggregation

Avidit Acharya et al.

9:28•No ratings
Power and Freedom in Mechanisms
Power and Freedom in Mechanisms

Christian Basteck & Ulysse Lojkine

10:04•No ratings
The Moroccan Public Procurement Game
The Moroccan Public Procurement Game

Nizar Riane

11:56•No ratings
Risk-insurance parity
Risk-insurance parity

Benjamin Côté et al.

10:00•No ratings
Procurement without Priors: A Simple Mechanism and its Notable Performance
Procurement without Priors: A Simple Mechanism and its Notable Performance

Dirk Bergemann et al.

10:21•No ratings
A New Application of Hoeffding's Inequality Can Give Traders Early Warning of Financial Regime Change
A New Application of Hoeffding's Inequality Can Give Traders Early Warning of Financial Regime Change

Daniel Egger & Jacob Vestal

8:32•No ratings
Analysis of Contagion in China's Stock Market: A Hawkes Process Perspective
Analysis of Contagion in China's Stock Market: A Hawkes Process Perspective

Junwei Yang

11:14•No ratings
Optimal Auction Design under Costly Learning
Optimal Auction Design under Costly Learning

Kemal Ozbek

8:04•No ratings
VaR at Its Extremes: Impossibilities and Conditions for One-Sided Random Variables
VaR at Its Extremes: Impossibilities and Conditions for One-Sided Random Variables

Nawaf Mohammed

9:28•No ratings
The Suicide Region: Option Games and the Race to Artificial General Intelligence
The Suicide Region: Option Games and the Race to Artificial General Intelligence

David Tan

7:48•No ratings
Standard and stressed value at risk forecasting using dynamic Bayesian networks
Standard and stressed value at risk forecasting using dynamic Bayesian networks

Eden Gross et al.

8:26•No ratings
A choice-based axiomatization of Nash equilibrium
A choice-based axiomatization of Nash equilibrium

Michele Crescenzi

8:22•No ratings
Orlicz-Lorentz premia and distortion Haezendonck-Goovaerts risk measures
Orlicz-Lorentz premia and distortion Haezendonck-Goovaerts risk measures

Aline Goulard & Karl Grosse-Erdmann

7:54•No ratings
A Theoretical Framework Bridging Model Validation and Loss Ratio in Insurance
A Theoretical Framework Bridging Model Validation and Loss Ratio in Insurance

C. Evans Hedges

7:38•
(1)
Does it take two to tango: Interaction between Credit Default Swaps and National Stock Indices
Does it take two to tango: Interaction between Credit Default Swaps and National Stock Indices

Yhlas Sovbetov & Hami Saka

11:15•No ratings
Monopoly Pricing of Weather Index Insurance
Monopoly Pricing of Weather Index Insurance

Tim J. Boonen et al.

9:12•No ratings
An Imbalance-Robust Evaluation Framework for Extreme Risk Forecasts
An Imbalance-Robust Evaluation Framework for Extreme Risk Forecasts

Sotirios D. Nikolopoulos

7:34•No ratings
Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litecoin, and Monero
Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litecoin, and Monero

Yhlas Sovbetov

8:38•
(1)
Random processes for long-term market simulations
Random processes for long-term market simulations

Gilles Zumbach

7:16•No ratings
Discovery of a 13-Sharpe OOS Factor: Drift Regimes Unlock Hidden Cross-Sectional Predictability
Discovery of a 13-Sharpe OOS Factor: Drift Regimes Unlock Hidden Cross-Sectional Predictability

Mainak Singha

10:58•No ratings
Diffolio: A Diffusion Model for Multivariate Probabilistic Financial Time-Series Forecasting and Portfolio Construction
Diffolio: A Diffusion Model for Multivariate Probabilistic Financial Time-Series Forecasting and Portfolio Construction

So-Yoon Cho et al.

8:18•No ratings
Budget Forecasting and Integrated Strategic Planning for Leaders
Budget Forecasting and Integrated Strategic Planning for Leaders

Matt Salehi

9:28•No ratings
Revisiting the Structure of Trend Premia: When Diversification Hides Redundancy
Revisiting the Structure of Trend Premia: When Diversification Hides Redundancy

Alban Etienne et al.

7:08•No ratings
Panel regression for the GDP of the Central and Eastern European countries using time-varying coefficients
Panel regression for the GDP of the Central and Eastern European countries using time-varying coefficients

Lesya Kolinets & Vygintas Gontis

9:20•No ratings