Statistical properties and economic implications of Jump-Diffusion Processes with Shot-Noise effects

This paper analyzes the Shot-Noise Jump-Diffusion model of Altmann, Schmidt and Stute (2008), which introduces a new situation where the effects of the arrival of rare, shocking information to the financial markets may fade away in the long run. We analyze several economic implications of the model, providing an analytical expression for the process distribution. We also prove that certain specifications of this model can provide negative serial persistence. Additionally, we find that the degree of serial autocorrelation is related to the arrival and magnitude of abnormal information. Finally, a GMM framework is proposed to estimate the model parameters

The scholarship assignment problem

There are n graduate students and n faculty members. Each student will be assigned a scholarship by the joint faculty. The socially optimal outcome is that the best student should get the most prestigious scholarship, the second-best student should get the second most prestigious scholarship, and so on. The socially optimal outcome is common knowledge among all faculty members. Each professor wants one particular student to get the most prestigious scholarship and wants the remaining scholarships to be assigned according to the socially optimal outcome. We consider the problem of finding a mechanism such that in equilibrium, all scholarships are assigned according to the socially optimal outcome.Publicad