Research

Peer-Reviewed Publications

2022

Option pricing with maximum entropy densities: The inclusion of higher-order moments

Journal of Futures Markets. DOI: 10.1002/fut.22361.

The dynamics of money velocity

Applied Economics Letters. DOI: 10.1080/13504851.2022.2083062.

2021

Variants of mixtures: information properties and applications

co-authored with Majid Asadi, Nader Ebrahimi, and Ehsan Soofi,  Journal of the Iranian Statistical Society, 20(1), 27-59. DOI: 10.52547/jirss.20.1.27.

Mining the impact of social media on high-frequency financial data

co-authored with Ray Hashemi, Jeffrey Young, and , Chanchal Tamrakar, Proceedings of the International Conference on Computational Science and Computational Intelligence, 262-267. DOI: 10.1109/CSCI54926.2021.00115.

“Prediction of days-on-market for single-family homes”

co-authored with Keagan Galbraithy, Ray Hashemi, and Jason Beck, Proceedings of the International Conference on Data Science, forthcoming.

2020

MR plot: A big data tool for distinguishing distributions

co-authored with Majid Asadi, Nader Ebrahimi, and Ehsan Soofi,  Statistical Analysis and Data Mining: The American Statistical Association Data Science Journal, 2020, 13, 405-418. DOI: 10.1002/sam.11464.

A mediated multi-RNN hybrid system for prediction of stock prices

co-authored with Ray Hashemi, Azita Bahrami, and Jeffrey Young, Proceedings of the International Conference on Computational Science and Computational Intelligence, 382-387. DOI: 10.1109/CSCI51800.2020.00071.

2018

Re-evaluating the effectiveness of Inflation Targeting

co-authored with Kundan Kishor and Suyong Song , Journal of Economic Dynamics and Control, 2018, 90, 76-97. DOI: 10.1016/j.jedc.2018.01.045.

Ranking forecasts by stochastic error distance, information and reliability measures

co-authored with Nader Ebrahimi and Ehsan Soofi, International Statistical Review, 2018, 86(3), 442-468. DOI: 10.1111/insr.12250. Online Appendix.

Examining the success of the central banks in Inflation Targeting countries: The dynamics of the inflation gap and institutional characteristics

co-authored with Kundan Kishor, Studies in Nonlinear Dynamics and Econometrics, 2018, 22(1). DOI: 10.1515/snde-2016-0085.

A mining driven decision support system for joining the European monetary union

co-authored with Ray Hashemi, Azita Bahrami, Jeffrey Young, and Rosina Campbell. Proceedings of the International Conference on Advances in Information Mining and Management, 2018, 39-45. ISBN: 978-1-61208-654-5.

2017

Extraction of the essential constituents of the S&P 500 index

co-authored with Ray Hashemi, Azita Bahrami, and Jeffrey Young, Proceedings of the International Conference on Computational Science and Computational Intelligence, 2017, 350-356. DOI: 10.1109/CSCI.2017.59.

2016

Doctoral dissertations in economics

Journal of Economic Literature, 54(4), 2016, 1551-1580. DOI: 10.1257/jel.54.4.1551.

Working Papers

An information framework for measuring perception alignment in financial markets

co-authored with Viktoria Dalko and Hyeeun Shim.

Abstract: At the onset of the COVID-19 pandemic, the CBOE volatility index reached heights last experienced during the 2008 financial crisis. The consensus is that the World Health Organization’s announcement of the pandemic contributed to the high level of volatility. The question arises whether we have a potentially robust measure to quantify the degree that investors’ perceptions were suddenly aligned about future asset returns due to a WHO announcement. This paper provides an information framework to propose measuring the degree of perception alignment based on the perception alignment hypothesis. We provide simulation examples and illustrate empirical evidence of financial market manipulation, and estimate the loss of information due to those cases of perception alignment.

Estimating hedonic models with endogenous marketing time using quantile regression without excluded instruments

co-authored with Jason Beck and Suyong Song.

Abstract: Hedonic modeling has been used to examine the impacts of housing characteristics on selling prices. Digressing from conventional hedonic modeling, we propose a control function approach in quantile regression models to account for heterogeneous effects of endogenous marketing time. Our approach utilizes conditional heteroscedasticity of structural errors in the triangular model as an identification strategy without excluded instruments. We document substantial heterogeneous effects of marketing time across the conditional distribution of housing prices, which show a U-shaped relationship; the marketing time impact is substantially larger for lower and higher quantiles of selling prices than for median selling price.

Does membership of the EMU matter for economic and financial outcomes?

co-authored with Kundan Kishor and Suyong Song.

Abstract: We examine treatment effects of joining the European monetary union (EMU) on macroeconomic and financial outcomes in member countries. Specifically, we apply propensity score analysis to mitigate the self-selection bias associated with the non-random nature of joining the union. The findings suggest that average treatment effect on the treated (ATT) of the EMU is associated with decline in volatility of inflation, real GDP growth and bond yields. Splitting the sample into the pre-crisis (1990-2008) and the post-crisis (2009-2019) periods and exclusion of Portugal, Ireland, Greece and Spain (PIGS) from the sample show divergent pattern of ATTs on bond yields and the debt-GDP ratio. The results suggest that the fiscal situation in the member states that excluded PIGS worsened in the pre-crisis period. We also find that PIGS benefitted from the EMU membership in terms of lower bond yields in the pre-crisis period.

Estimating loss from extreme climate events within a real options approach

co-authored with Ruth Dittrich.

Abstract: Sea level rise is a major consequences of climate change. This paper studies climate change uncertainty through an information theory framework and examines the current cost of extreme sea level rise within a real options analysis. We first propose an approach to estimate the risk-neutral density of change in global mean sea level and then use the estimated density to compute the expected overall cost from sea level rise. The proposed framework accounts for extreme sea level rise in computing the theoretical option value.

A probabilistic view to capture automation impacts

co-authored with Mariana Saenz.

Abstract: This paper examines the effects of automation on the number of transactions, sales, and cost in the foodservice industry. First, a big data tool is applied to distinguish distributions of transactions during different times of the day. Then the automation impacts on transactions are studied using a probabilistic approach in which the best fitting theoretical probability density is used in constructing simulated sampling distributions. Next, the effects of automation on sales and cost are examined through simulated forecasts and sampling distributions. The simulation studies illustrate how automation increases efficiency and improves forecasting accuracy.

On the comparison of inequality measures: Evidence from the world values survey

co-authored with Mariana Saenz.

Abstract: This paper overviews the well-known inequality measures and applies information-theoretic tools to compare inequality between income levels among nations. Specifically, we use the World Values Survey data on households’ income levels in 57 countries to rank inequality. We then examine the effects of macroeconomic outcomes on inequality. Our findings suggest that the Gini coefficient with 𝐽 -divergence provides further insight into inequality rankings. In addition, the results indicate that higher inflation and GDP growth lead to lower inequality. Finally, we find a positive relationship between income inequality and money growth.