We propose an approach to construct text-based time-series indices in an optimal way -typically, indices that maximize the contemporaneous relation or the pr...

We reassess Boehmer et al. (2021, BJZZ)'s seminal work on the predictive power of retail order imbalance (ROI) for future stock returns. First, we replicate ...

We extend the \(\alpha\) and \(\beta\) characteristic functions (CFs) to cooperative interval games, which constitute an interesting class of games t...

We show that the two-stage minimum description length (MDL) criterion widely used to estimate linear change-point (CP) models corresponds to the marginal lik...

We study the relation between the promotion of a cryptocurrency on Twitter and its return dynamics around pump-and-dump events. By analyzing abnormal retur...

Monte Carlo (MC) is widely used for the simulation of discrete time Markov chains. We consider the case of a \(d\)-dimensional continuous state space and w...

Randomized Quasi-Monte Carlo (RQMC) methods provide unbiased estimators whose variance often converges at a faster rate than standard Monte Carlo as a functi...

We consider the set of graphs that can be constructed from a one-vertex graph by repeatedly adding a clique or a stable set linked to all or none of the vert...

We consider a structural model to design and evaluate the American call, conversion, and put options embedded in corporate bonds. We use dynamic programmin...

A growing body of recent literature analyzes the reaction of Robinhood (RH) investors to price movements at the daily frequency. As these investors tend to b...

We investigate counterparty credit risk and credit valuation adjustments in portfolios including derivatives with early-exercise opportunities, under a net...

This paper develops an efficient hybrid algorithm to solve the credit scoring problem. We use statistical mathematical programming to develop new classificat...

The Quadratic Knapsack Problem (QKP) is a combinatorial optimization problem that has attracted much attention over the past four decades. In this problem, o...

This paper studies linear-quadratic Stackelberg games with a major player (leader) and \(N\) minor players (followers). To design decentralized strategies ...

Robotic Process Automation has emerged in recent years as an important field by allowing faster and more secure processes through a reduction in the risks or...

We explore the factor exposure heterogeneity in green and brown stocks using the peer-exposure ratio. By creating peer groups of S&P 500 index firms over 201...

The estimation of the structural model poses a major challenge as its underlying asset (the firm's asset value) is not directly observable. We extend the m...

The Twelfth Montreal IPSW took place on August 22-26, 2022, and was jointly organized by the Centre de recherches mathématiques (CRM) and the Institute for D...

We use stochastic dynamic programming to design and solve an extended structural setting for which the illiquidity of the firm's assets under liquidation i...

In this paper, we study a novel approach for data-driven decision-making under uncertainty in the presence of contextual information. Specifically, we addres...