2,771 research outputs found
Decentralized interaction and co-adaptation in the repeated prisoner's dilemma
The purpose of this paper is to propose a nonparametric interest rate term structure model and investigate its implications on term structure dynamics and prices of interest rate derivative securities. The nonparametric spot interest rate process is estimated from the observed short-term interest rates following a robust estimation procedure and the market price of interest rate risk is estimated as implied from the historical term structure data. That is, instead of imposing a priori restrictions on the model, data are allowed to speak for themselves, and at the same time the model retains a parsimonious structure and the computational tractability. The model is implemented using historical Canadian interest rate term structure data. The parametric models with closed form solutions for bond and bond option prices, namely the Vasicek (1977) and CIR (1985) models, are also estimated for comparison purpose. The empirical results not only provide strong evidence that the traditional spot interest rate models and market prices of interest rate risk are severely misspecified but also suggest that different model specifications have significant impact on term structure dynamics and prices of interest rate derivative securities.
Chiral power counting of one- and two-body currents in direct detection of dark matter
We present a common chiral power-counting scheme for vector, axial-vector,
scalar, and pseudoscalar WIMP-nucleon interactions, and derive all one- and
two-body currents up to third order in the chiral expansion. Matching our
amplitudes to non-relativistic effective field theory, we find that chiral
symmetry predicts a hierarchy amongst the non-relativistic operators. Moreover,
we identify interaction channels where two-body currents that so far have not
been accounted for become relevant.Comment: 8 pages, 1 table; journal versio
Effect of short- and long-range scattering in the conductivity of graphene: Boltzmann approach vs tight-binding calculations
We present a comparative study of the density dependence of the conductivity
of graphene sheets calculated in the tight-binding (TB) Landauer approach and
on the basis of the Boltzmann theory. The TB calculations are found to give the
same density dependence of the conductivity, , for short-range
and long-range Gaussian scatterers. In the case of short-range scattering the
TB calculations are in agreement with the predictions of the Boltzmann theory
going beyond the Born approximation, but in qualitative and quantitative
disagreement with the standard Boltzmann approach within the Born
approximation, predicting const. Even for the long-range Gaussian
potential in a parameter range corresponding to realistic systems the standard
Boltzmann predictions are in quantitative and qualitative disagreement with the
TB results. This questions the applicability of the standard Boltzmann approach
within the Born approximation, commonly used for the interpretation of the
results of experimental studies of the transport in graphene.Comment: 5 page
Negotiating over Bundles and Prices Using Aggregate Knowledge
Combining two or more items and selling them as one good, a practice called
bundling, can be a very effective strategy for reducing the costs of producing,
marketing, and selling goods. In this paper, we consider a form of multi-issue
negotiation where a shop negotiates both the contents and the price of bundles
of goods with his customers. We present some key insights about, as well as a
technique for, locating mutually beneficial alternatives to the bundle
currently under negotiation. The essence of our approach lies in combining
historical sales data, condensed into aggregate knowledge, with current data
about the ongoing negotiation process, to exploit these insights. In
particular, when negotiating a given bundle of goods with a customer, the shop
analyzes the sequence of the customer's offers to determine the progress in the
negotiation process. In addition, it uses aggregate knowledge concerning
customers' valuations of goods in general. We show how the shop can use these
two sources of data to locate promising alternatives to the current bundle.
When the current negotiation's progress slows down, the shop may suggest the
most promising of those alternatives and, depending on the customer's response,
continue negotiating about the alternative bundle, or propose another
alternative. Extensive computer simulation experiments show that our approach
increases the speed with which deals are reached, as well as the number and
quality of the deals reached, as compared to a benchmark. In addition, we show
that the performance of our system is robust to a variety of changes in the
negotiation strategies employed by the customers.Comment: 15 pages, 7 eps figures, Springer llncs documentclass. Extended
version of the paper published in "E-Commerce and Web Technologies," Kurt
Bauknecht, Martin Bichler and Birgit Pr\"{o}ll (eds.). Springer Lecture Notes
in Computer Science, Volume 3182, Berlin: Springer, p. 218--22
Online Learning of Aggregate Knowledge about Non-linear Preferences Applied to Negotiating Prices and Bundles
In this paper, we consider a form of multi-issue negotiation where a shop
negotiates both the contents and the price of bundles of goods with his
customers. We present some key insights about, as well as a procedure for,
locating mutually beneficial alternatives to the bundle currently under
negotiation. The essence of our approach lies in combining aggregate
(anonymous) knowledge of customer preferences with current data about the
ongoing negotiation process. The developed procedure either works with already
obtained aggregate knowledge or, in the absence of such knowledge, learns the
relevant information online. We conduct computer experiments with simulated
customers that have_nonlinear_ preferences. We show how, for various types of
customers, with distinct negotiation heuristics, our procedure (with and
without the necessary aggregate knowledge) increases the speed with which deals
are reached, as well as the number and the Pareto efficiency of the deals
reached compared to a benchmark.Comment: 10 pages, 5 eps figures, ACM Proceedings documentclass, Published in
"Proc. 6th Int'l Conf. on Electronic Commerce ICEC04, Delft, The
Netherlands," M. Janssen, H. Sol, R. Wagenaar (eds.). ACM Pres
Skew-normal shocks in the linear state space form DSGE model
Observed macroeconomic data – notably GDP growth rate, inflation and interest rates – can be, and usually are skewed. Economists attempt to fit models to data by matching first and second moments or co-moments, but skewness is usually neglected. It is so probably because skewness cannot appear in linear (or linearized) models with Gaussian shocks, and shocks are usually assumed to be Gaussian. Skewness requires non-linearities or non-Gaussian shocks. In this paper we introduce skewness into the DSGE framework assuming skewed normal distribution for shocks while keeping the model linear (or linearized). We argue that such a skewness can be perceived as structural, since it concerns the nature of structural shocks. Importantly, the skewed normal distribution nests the normal one, so that skewness is not assumed, but only allowed for. We derive elementary facts about skewness propagation in the state space model and, using the well-known Lubik-Schorfheide model, we run simulations to investigate how skewness propagates from shocks to observables in a standard DSGE model. We also assess properties of an ad hoc two-steps estimator of models’ parameters, shocks’ skewness parameters among them.
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