Research articles for the 2021-04-04
arXiv
We propose a general methodology to measure labour market dynamics, inspired by the search and matching framework, based on the estimate of the transition rates between labour market states. We show how to estimate instantaneous transition rates starting from discrete time observations provided in longitudinal datasets, allowing for any number of states. We illustrate the potential of such methodology using Italian labour market data. First, we decompose the unemployment rate fluctuations into inflow and outflow driven components; then, we evaluate the impact of the implementation of a labour market reform, which substantially changed the regulations of temporary contracts.
arXiv
Flextime is one of the efficient approaches in travel demand management to reduce peak hour congestion and encourage social distancing in epidemic prevention. Previous literature has developed bi-level models of the work starting time choice considering both labor output and urban mobility. Yet, most analytical studies assume the single trip purpose in peak hours (to work) only and do not consider the household travels (daycare drop-off/pick-up). In fact, as one of the main reasons to adopt flextime, household travel plays an influential role in travelers' decision making on work schedule selection. On this account, we incorporate household travels into the work starting time choice model in this study. Both short-run travel behaviours and long-run work start time selection of heterogenous commuters are examined under agglomeration economies. If flextime is not flexible enough, commuters tend to agglomerate in work schedule choice at long-run equilibrium. Further, we analyze optimal schedule choices with two system performance indicators. For total commuting cost, it is found that the rigid school schedule for households may impede the benefits of flextime in commuting cost saving. In terms of total net benefit, while work schedule agglomeration of all commuters leads to the maximum in some cases, the polarized agglomeration of the two heterogenous groups can never achieve the optimum.
arXiv
This paper addresses distributional offline continuous-time reinforcement learning (DOCTR-L) with stochastic policies for high-dimensional optimal control. A soft distributional version of the classical Hamilton-Jacobi-Bellman (HJB) equation is given by a semilinear partial differential equation (PDE). This `soft HJB equation' can be learned from offline data without assuming that the latter correspond to a previous optimal or near-optimal policy. A data-driven solution of the soft HJB equation uses methods of Neural PDEs and Physics-Informed Neural Networks developed in the field of Scientific Machine Learning (SciML). The suggested approach, dubbed `SciPhy RL', thus reduces DOCTR-L to solving neural PDEs from data. Our algorithm called Deep DOCTR-L converts offline high-dimensional data into an optimal policy in one step by reducing it to supervised learning, instead of relying on value iteration or policy iteration methods. The method enables a computable approach to the quality control of obtained policies in terms of both their expected returns and uncertainties about their values.
arXiv
The Internet of Value (IOV) with its distributed ledger technology (DLT) underpinning has created new forms of lending markets. As an integral part of the decentralised finance (DeFi) ecosystem, lending protocols are gaining tremendous traction, holding an aggregate liquidity supply of over $40 billion at the time of writing. In this paper, we enumerate the challenges of traditional money markets led by banks and lending platforms, and present advantageous characteristics of DeFi lending protocols that might help resolve deep-rooted issues in the conventional lending environment. With the examples of Maker, Compound and Aave, we describe in detail the mechanism of DeFi lending protocols. We discuss the persisting reliance of DeFi lending on the traditional financial system, and conclude with the outlook of the lending market in the IOV era.
arXiv
The initial purpose of the study is to search whether the market exhibits herd behaviour or not by examining the crypto-asset market in the context of behavioural finance. And the second purpose of the study is to measure whether the financial information stimulates the herd behaviour or not. Within this frame, the announcements of the Federal Open Market Committee (FOMC), Governing Council of European Central Bank (ECB) and Policy Board of Bank of Japan (BOJ) for interest change, and S&P 500, Nikkei 225, FTSE 100 and GOLD SPOT indices data were used. In the study, the analyses were made over 100 cryptocurrencies with the highest trading volume by the use of the 2014:5 - 2019:12 period. For the analysis, the Markov Switching approach, as well as loads of empiric models developed by Chang et al. (2000), were used. According to the results obtained, the presence of herd behaviour in the crypto-asset market was determined in the relevant period. But it was found that interest rate announcements and stock exchange performances had no effect on herd behaviour.
arXiv
This study investigates the influence of risk tolerance on the expected utility in the long run. We estimate the extent to which the expected utility of optimal portfolios is affected by small changes in the risk tolerance. For this purpose, we adopt the Malliavin calculus method and the Hansen--Scheinkman decomposition, through which the expected utility is expressed in terms of the eigenvalues and eigenfunctions of an operator. We conclude that the influence of risk aversion on the expected utility is determined by these eigenvalues and eigenfunctions in the long run.
arXiv
This paper studies a composite problem involving the decision making of the optimal entry time and dynamic consumption afterwards. In stage-1, the investor has access to full market information subjecting to some information costs and needs to choose an optimal stopping time to initiate stage-2; in stage-2, the investor terminates the costly full information acquisition and starts dynamic investment and consumption under partial observations of free public stock prices. The habit formation preference is employed, in which the past consumption affects the investor's current decisions. By using the stochastic Perron's method, the value function of the composite problem is proved to be the unique viscosity solution of some variational inequalities.
arXiv
This paper investigates problems associated with the valuation of callable American volatility put options. Our approach involves modeling volatility dynamics as a mean-reverting 3/2 volatility process. We first propose a pricing formula for the perpetual American knock-out put. Under the given conditions, the value of perpetual callable American volatility put options is discussed.
arXiv
Agricultural research has fostered productivity growth, but the historical influence of anthropogenic climate change on that growth has not been quantified. We develop a robust econometric model of weather effects on global agricultural total factor productivity (TFP) and combine this model with counterfactual climate scenarios to evaluate impacts of past climate trends on TFP. Our baseline model indicates that anthropogenic climate change has reduced global agricultural TFP by about 21% since 1961, a slowdown that is equivalent to losing the last 9 years of productivity growth. The effect is substantially more severe (a reduction of ~30-33%) in warmer regions such as Africa and Latin America and the Caribbean. We also find that global agriculture has grown more vulnerable to ongoing climate change.
arXiv
More than half a century has passed since the Great Chinese Famine (1959-1961), and China has transformed from a poor, underdeveloped country to the world's leading emerging economy. Does the effect of the famine persist today? To explore this question, we combine historical data on province-level famine exposure with contemporary data on individual wealth. To better understand if the relationship is causal, we simultaneously account for the well-known historical evidence on the selection effect arising for those who survive the famine and those born during this period, as well as the issue of endogeneity on the exposure of a province to the famine. We find robust evidence showing that famine exposure has had a considerable negative effect on the contemporary wealth of individuals born during this period. Together, the evidence suggests that the famine had an adverse effect on wealth, and it is even present among the wealthiest cohort of individuals in present-day China.
arXiv
We model social media as collections of users producing and consuming content. Users value consuming content, but doing so uses up their scarce attention, and hence they prefer content produced by more able users. Users also value receiving attention, creating the incentive to attract an audience by producing valuable content, but also through attention bartering -- users agree to become each others' audience. Attention bartering can profoundly affect the patterns of production and consumption on social media, explains key features of social media behavior and platform decision-making, and yields sharp predictions that are consistent with data we collect from EconTwitter.
arXiv
The first chapter is a critical review and a case study in eBusiness, with special attention to the digital currencies resource and its possibilities. 2. chapter attempts to incorporate the UTAUT model with perceived risk theory to explore its impact on the intention to use m-government services. 3. chapter aims to assess the level of gender inclusivity in the municipal e-procurement processes in the City of Johannesburg as a case study. It uses a GAD approach. 4. chapter examines the impediments that derail the intensive uptake of eLearning programmes in a particular higher education institution. The study adopted an inductive research paradigm that followed a qualitative research strategy. Data were collected by means of one-on-one in-depth interviews from selected faculty members at a nominated institution of higher learning. 5. chapter investigated the role of KMS in enhancing the export performance of firms operating within the manufacturing sector in Zimbabwe. The study used a quantitative approach in which a survey questionnaire was distributed to 555 managers drawn from 185 manufacturing firms based in Harare. Data analyses involved the use of descriptive statistics, Spearman correlations and regression analysis. In the sixth chapter, a survey was undertaken on 131 SMEs from the Pelagonija region in order to determine the current level of SME digitalization within the region. It is aimed to compare with the EU average and to make conclusions on the impact of the SME digitalization on region GDP growth as well as revenues collection. The last chapter s purpose was to develop a measuring and modelling framework, an instrument of IBSQ for the South African banking sector. Snowball and convenience sampling, both non-probability techniques were used to recruit participants for the study. A total of 310 Internet banking customer responses were utilised in the analysis.