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Classical theory asserts that the formation of prices is the result of aggregated decisions ofeconomics agent such as households or corporation. However central banks are very importantagents that have often been neglected in asset pricing models. Central ...
This thesis uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices.The first chapter, entitled Market Expectations and the Impact of Unconven ...
Matrix (or operator) recovery from linear measurements is a well-studied problem. However, there are situations where only bilinear or quadratic measurements are available. A bilinear or quadratic problem can easily be transformed into a linear one, but it ...
Enabling analysis of non-linear systems in linear form, the Koopman operator has been shown to be a powerful tool for system identification and controller design. However, current data-driven methods cannot provide quantification of model uncertainty given ...
In solid mechanics, linear structures often exhibit (local) nonlinear behavior when close to failure. For instance, the elastic deformation of a structure becomes plastic after being deformed beyond recovery. To properly assess such problems in a real-life ...
Traditional sampling involves encoding a signal through (time, value)-pairs. In contrast, time encoding machines (TEMs) characterize a signal by recording time points which depend on the integral of the signal over time. We study multi-channel TEMs where c ...
We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under polynomial trans ...
A financial data analysis using the time series method has been performed. At the same time a correct interpretation of daily exchange rates fluctuations, for Eur foreign currencies is presented. The fractal dimension evaluation has been performed using th ...
We exploit differences across U.S. states' exposure to trade to study the effects of changes in the exchange rate on economic activity. Across states, trade-weighted exchange rate depreciations are associated with increased state exports, reduced state une ...
We study an investment model in which agents have the wrong beliefs about the dynamic properties of fundamentals. Specifically, we assume that agents underestimate the rate of mean reversion. The model exhibits the following six properties: (i) Beliefs are ...
