2,233 research outputs found
Robust Identification of Investor Beliefs
This paper develops a new method informed by data and models to recover information about investor beliefs. Our approach uses information embedded in forward-looking asset prices in conjunction with asset pricing models. We step back from presuming rational expectations and entertain potential belief distortions bounded by a statistical measure of discrepancy. Additionally, our method allows for the direct use of sparse survey evidence to make these bounds more informative. Within our framework, market-implied beliefs may differ from those implied by rational expectations due to behavioral/psychological biases of investors, ambiguity aversion, or omitted permanent components to valuation. Formally, we represent evidence about investor beliefs using a novel nonlinear expectation function deduced using model-implied moment conditions and bounds on statistical divergence. We illustrate our method with a prototypical example from macro-finance using asset market data to infer belief restrictions for macroeconomic growth rates
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Robust identification of investor beliefs
This paper develops a method informed by data and models to recover information about investor beliefs. Our approach uses information embedded in forward-looking asset prices in conjunction with asset pricing models. We step back from presuming rational expectations and entertain potential belief distortions bounded by a statistical measure of discrepancy. Additionally, our method allows for the direct use of sparse survey evidence to make these bounds more informative. Within our framework, market-implied beliefs may differ from those implied by rational expectations due to behavioral/psychological biases of investors, ambiguity aversion, or omitted permanent components to valuation. Formally, we represent evidence about investor beliefs using a nonlinear expectation function deduced using model-implied moment conditions and bounds on statistical divergence. We illustrate our method with a prototypical example from macro-finance using asset market data to infer belief restrictions for macroeconomic growth rates. © 2020 National Academy of Sciences. All rights reserved
Managing expectations and fiscal policy
This paper studies an optimal fiscal policy problem of Lucas and Stokey (1983) but in a situation in which the representative agent's distrust of the probability model for government expenditures puts model uncertainty premia into history-contingent prices. This situation gives rise to a motive for expectation management that is absent within rational expectations and a novel incentive for the planner to smooth the shadow value of the agent's subjective beliefs to manipulate the equilibrium price of government debt. Unlike the Lucas and Stokey (1983) model, the optimal allocation, tax rate, and debt become history dependent despite complete markets and Markov government expenditures.
Hubness Reduction Improves Sentence-BERT Semantic Spaces
Semantic representations of text, i.e. representations of natural language
which capture meaning by geometry, are essential for areas such as information
retrieval and document grouping. High-dimensional trained dense vectors have
received much attention in recent years as such representations. We investigate
the structure of semantic spaces that arise from embeddings made with
Sentence-BERT and find that the representations suffer from a well-known
problem in high dimensions called hubness. Hubness results in asymmetric
neighborhood relations, such that some texts (the hubs) are neighbours of many
other texts while most texts (so-called anti-hubs), are neighbours of few or no
other texts. We quantify the semantic quality of the embeddings using hubness
scores and error rate of a neighbourhood based classifier. We find that when
hubness is high, we can reduce error rate and hubness using hubness reduction
methods. We identify a combination of two methods as resulting in the best
reduction. For example, on one of the tested pretrained models, this combined
method can reduce hubness by about 75% and error rate by about 9%. Thus, we
argue that mitigating hubness in the embedding space provides better semantic
representations of text.Comment: Accepted at NLDL 202
Validation of a modified rat model for erectile function evaluation
The in vivo model for evaluation of erectile function in rats and mice has been widely used to investigate pathophysiology and treatment modalities of erectile function. The model is technically challenging which limits its broad availability. We have recently introduced a simplified surgical technique for dissection of corporal bodies and developed a new method to achieve stable contact between the cavernous nerve and the stimulating electrode without the need to manipulate the nerve between stimulations using 2-component silicone glue. The goal of this study was to validate this new technique and describe in detail the technical aspects of the procedure so that researchers with basic microsurgery skills can adopt it
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