# Economy and finance

Back## Cahiers du GERAD

### 185 results — page 1 of 10

For sequences of networks
embedded in the unit cube `\([0, 1]^m\)`

,
(weak) measure limits of sequences of empirical measures
of vertex densities (vertexon...

The solution of the graphon mean field game equation (GMFG) is characterized by an HJB equation and an FPK equation coupled via a graphon mean field. An a...

BibTeX referenceTight upper and lower bounds for the quadratic knapsack problem through binary decision diagram

The Quadratic Knapsack Problem (QKP) is a challenging combinatorial optimization problem that has attracted significant attention due to its complexity and p...

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Major projects often deviate from their expected budget, schedule, and benefits. Existing techniques to improve the forecasted outcome, such as the Refer...

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The cubic knapsack problem (CKP) is a combinatorial optimization problem, which can be seen both as a generalization of the quadratic knapsack problem (QKP) ...

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Over the past years, Robotic Process Automation (RPA) has emerged as a significant tool to enhance productivity across various industries by automating repet...

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We consider mean field social optimization in nonlinear diffusion models. By dynamic programming with a representative agent employing cooperative optimize...

BibTeX referenceOptimal text-based time-series indices

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...

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The Thirteenth Montreal IPSW took place on August 21-25, 2023, and was jointly organized by the Centre de recherches mathématiques (CRM) and the Institute ...

BibTeX referenceRevisiting Boehmer et al. (2021): Recent period, alternative method, different conclusions

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 ...

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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...

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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...

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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...

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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...

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

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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...

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

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

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