The Halloween effect predicts that stock markets in the winter months (November through April) generate significantly higher returns than in the summer months (May through October). This paper examines the time-varying behavior of the Halloween effect within a new historical dataset that covers...

This work aims to provide a representation theorem for consumption in simplex in continuous time by using a weaker axiom of ’Agree with’, a strong axiom of ’Preferential Independence’,[10, 9], and axioms of ’Separability’ and ’Measurability’ on Simplex provided by Qin and...

The timeliness of blood supply in the aftermath of a catastrophic event is critical for saving lives. Using historical earthquakes data from Iran, this paper posits and numerically illustrates a fuzzy optimization model to minimize the overall blood supply duration from donation time to the time...

Corporate social responsibility plays an important role in developing countries achieving green economic development. Using the textual analysis of annual reports of Chinese A-share listed companies, this paper investigates the effect of managerial time orientation on their company's CSR...

This paper analyzes the performance of temporal fusion transformers in forecasting realized volatilities of stocks listed in the S&P 500 in volatile periods by comparing the predictions with those of state-of-the-art machine learning methods as well as GARCH models. The models are trained on...

Here I show that a stock price path crosses either threshold of a double barrier at L percent above or below the initial stock price with expected first crossing time Eqn [1]and root-mean-square variance of crossing time : Eqn [2]given normally distributed stock price returns of volatility and...

This paper investigates the evolution of cryptocurrencies. By nature and essence, Bitcoin challenged and implicitly threatened central banks money and their role in the monetary system. Meanwhile, central banks have been studying and launching pilot projects on their own digital currency,...

This study proposes a wavelets approach to estimating time-frequency-varying betas in the capital asset pricing model (CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk-profile robustness. Furthermore, we emphasize the effect of an...

Surveys that measure subjective states like happiness or preferences often generate discrete ordinal data. Ordered response models, which are commonly used to analyze such data, suffer from a fundamental identification problem. Their conclusions depend on unjustified assumptions about the...

Unbeknownst to the public, most investment funds actually underperform the broader market. Yet, millions of individual investors fare even worse, barely treading water. Algorithmic trading now accounts for over 80% of all trades and is the domain of professionals. Can it also help the small...

Euro area labour market variables are published with a considerable lag, longer than in the case of real GDP. We develop a suite of models to provide a more timely estimate (nowcast) of euro area quarterly employment growth based on a broad range of monthly indicators. The suite includes a batch...

Is being informed about nudging detrimental to the effect of the nudge? This paper reports results from an experimental study (n = 623) testing the effects of transparency on the effectiveness of a default nudge while controlling for reactance and decision time. Overall, the data show that more...

We investigate how preferences have been affected by exposure to the COVID-19 crisis. Our main contributions are: first, our participant pool consists of a large general population sample; second, we elicited a wide range of preferences (risk, time, ambiguity, and social preferences) using...

In economic environments, decision-makers can strategically delay irreversible investments to learn from the actions of others. This creates free-riding incentives and can lead to socially suboptimal outcomes. We experimentally examine if and how communication mitigates this free-riding problem...

Surveys that measure subjective states like happiness or preferences often generate discrete ordinal data. Ordered response models, which are commonly used to analyze such data, suffer from a fundamental identification problem. Their conclusions depend on unjustified assumptions about the...

We show that a volatility-managed strategy using equity options provides higher alphas, increases Sharpe ratios, and generates significant utility gains for investors, exceeding those of the statistical volatility-managed counterparts. Return and volatility expectations embedded in options...

For the flexible job shop (FJSP) completion time prediction problem considering environmental noise, the mathematical model of the problem, the sample generator and the completion time prediction model based on AE-CNN-LSTM are constructed. Firstly, to address the problem that workshop data is...

This paper aims to provide a representation theorem for consumption stream in the simplex in continuous time, by using the weaker axiom of ”Agree with,” the strong axiom of ”Preferential Independence”, and the axioms of ”Separability” and ”Measurability” on the simplex,...

The examination of the day-of-the-week effect has been a subject of financial research for over five decades. However, findings regarding different returns on specific weekdays have remained inconclusive. We aim to address this inconsistency by extending existing theories through the...

Firms are using freemium pricing strategies in many industries, including software, mobile apps, games, and streaming music and video. Freemium combines free services supported by advertising with premium services supported by subscriptions. We obtain the firm's optimal pricing strategy when...

Starting a business requires investing both money and time in the hope of future financial benefits. Since investments and potential gains happen over time, the way in which individuals value the future relative to the present—i.e., their temporal preferences—may be an important driver...

A principal hires an agent to work on a long-term project that culminates in a breakthrough or a breakdown. At each time, the agent privately chooses to work or shirk. Working increases the arrival rate of breakthroughs and decreases the arrival rate of breakdowns. To motivate the agent to work,...

Surveys that measure subjective states like happiness or preferences often generate discrete ordinal data. Ordered response models, which are commonly used to analyze such data, suffer from a fundamental identification problem. Their conclusions depend on unjustified assumptions about the...

Urban planning processes manoeuvre within the interplay between constantly shifting global, regional and local dynamics. Considering processes from a temporal perspective can therefore provide a key to understanding these complex contexts. Although the time factor is still largely ignored in...

We demonstrate in a laboratory experiment in which subjects play a two-player Cournot-Tullock game over hundreds of periods of varying length that full accounts of subjects' learning requires the consideration of, both, 'period time' and 'physical time.'