Negative / Null Result ReportOpen accessEconomics, Econometrics and Finance
Akhmad Muhammadin, Rashila Ramli, Syamsul Ridjal et al. · 2020 · arXiv
The dynamic capability and marketing strategy are challenges to the banking sector in Indonesia. This study uses a survey method solving 39 banks in Makassar. Data collection was conducted of questionnaires. The results show that, the dynamic capability has a positive yet insignificant impact on the organizational performance, the marketing strategy has a positive and significant effect on organizational performance and, dynamic capability and marketing strategy have a positive and significant effect on the organization's performance in the banking sector in Makassar. Keywords : dynamic capabi
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Rasmus Ingemann Tuffveson Jensen, Joras Ferwerda, Christian Remi Wewer · 2023 · arXiv
Objectives: To combat money laundering, banks raise and review alerts on transactions that exceed confidential thresholds. However, the thresholds may be leaked to criminals, allowing them to break up large transactions into amounts under the thresholds. This paper introduces a data-driven approach to detect the phenomenon, popularly known as smurfing. Methods: Our approach compares an observed transaction distribution to a counterfactual distribution estimated using a high-degree polynomial. We investigate the approach with simulation experiments and real transaction data from a systemically
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Mathias Mesfin · 2026 · arXiv
This paper tests whether intraday momentum signals derived from open-high-low-close-volume (OHLCV) data produce a statistically significant trading edge in Micro E-mini Nasdaq 100 futures (MNQ) under realistic execution constraints. Using 947 trading days of five-minute data (2021-2025), fourteen signal families are evaluated, including opening range breakouts, gap strategies, volume signals, cross-session momentum, liquidity grabs, volatility-conditioned classifiers, and news-driven strategies. All signals are assessed using strict institutional criteria: out-of-sample walk-forward validation
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Murad Farzulla · 2026 · arXiv
This study investigates whether cryptocurrency whitepaper narratives align with empirically observed market factor structure. We construct a pipeline combining zero-shot NLP classification of 38 whitepapers across 10 semantic categories with CP tensor decomposition of hourly market data (49 assets, 17,543 timestamps). Using Procrustes rotation and Tucker's congruence coefficient (phi), we find weak alignment between claims and market statistics (phi = 0.246, p = 0.339) and between claims and latent factors (phi = 0.058, p = 0.751). A methodological validation comparison (statistics versus fact
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Yechan Park, Yuya Sasaki · 2024 · arXiv
This paper addresses the challenge of estimating the Average Treatment Effect on the Treated Survivors (ATETS; Vikstrom et al., 2018) in the absence of long-term experimental data, utilizing available long-term observational data instead. We establish two theoretical results. First, it is impossible to obtain informative bounds for the ATETS with no model restriction and no auxiliary data. Second, to overturn this negative result, we explore as a promising avenue the recent econometric developments in combining experimental and observational data (e.g., Athey et al., 2020, 2019); we indeed fin
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Qiufu Chen, Yuanmei Li, Xiaopeng Yin et al. · 2024 · arXiv
The impossibility theorem in Roth (1982) states that no stable mechanism satisfies strategy-proofness. This paper explores the Machiavellian frontier of stable mechanisms by weakening strategy-proofness. For a fixed mechanism $\varphi$ and a true preference profile $\succ$, a $(\varphi,\succ)$-boost mispresentation of agent i is a preference of i that is obtained by (i) raising the ranking of the truth-telling assignment $\varphi_i(\succ)$, and (ii) keeping rankings unchanged above the new position of this truth-telling assignment. We require a matching mechanism $\varphi$ neither punish nor r
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Roy Allen, John Rehbeck · 2021 · arXiv
Dworczak et al. (2021) study when certain market structures are optimal in the presence of heterogeneous preferences. A key assumption is that the social planner knows the joint distribution of the value of the good and marginal value of money. This paper studies whether relevant features of this distribution are identified from choice data. We show that the features of the distribution needed to characterize optimal market structure cannot be identified when demand is known for all prices. While this is a negative result, we show that the distribution of good value and marginal utility of mon
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Taylor Knipe, Josue Ortega · 2025 · arXiv
The celebrated Efficiency-Adjusted Deferred Acceptance mechanism (EADA) improves the efficiency of the DA algorithm via consented priority violations. Notwithstanding its many merits, we show that EADA can improve only two students when an alternative mechanism that Pareto-dominates DA could benefit all but one student. This shortfall in the number of students improved is not exclusive of EADA but extends to all setwise minimally unstable mechanisms, i.e. those that generate a set of blocking pairs that is never a strict superset of that of another mechanism. The incompatibility between number
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Filip Stefaniuk, Robert Ślepaczuk · 2025 · arXiv
The article investigates the usage of Informer architecture for building automated trading strategies for high frequency Bitcoin data. Three strategies using Informer model with different loss functions: Root Mean Squared Error (RMSE), Generalized Mean Absolute Directional Loss (GMADL) and Quantile loss, are proposed and evaluated against the Buy and Hold benchmark and two benchmark strategies based on technical indicators. The evaluation is conducted using data of various frequencies: 5 minute, 15 minute, and 30 minute intervals, over the 6 different periods. Although the Informer-based model
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Michael Pedersen · 2024 · arXiv
The present study applies observations of individual predictions of the first three releases of the US output growth rate to evaluate how the applied judgment affects prediction efficiency and accuracy as well as if judgment is persistent. While the first two issues have been assessed in other studies, there is little evidence on the formation of judgment in macroeconomic projections. Most of the forecasters produce unbiased predictions, but employing the median Bloomberg projection as baseline, it turns out that judgment generally does not improve accuracy. There seems to be persistence in th
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Alexander L. Brown, Daniel G. Stephenson, Rodrigo A. Velez · 2024 · arXiv
This paper experimentally evaluates four mechanisms intended to achieve the Uniform outcome in rationing problems (Sprumont, 1991). Our benchmark is the dominant-strategy, direct-revelation mechanism of the Uniform rule. A strategically equivalent mechanism that provides non-binding feedback during the reporting period greatly improves performance. A sequential revelation mechanism produces modest improvements despite not possessing dominant strategies. A novel, obviously strategy-proof mechanism, devised by Arribillaga et al. (2023), does not improve performance. We characterize each alternat
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Ian Crawford, Carl-Emil Pless · 2026 · arXiv
We study the associations between everyday economic decision-making quality and people's emotional states. Using high-frequency, highly disaggregated consumer "scanner" data, we show that the cost of poor decision-making is substantial, on average equal to around half of day-to-day consumption budgets. While material circumstances help explain decision-making quality, how people feel about those circumstances is equally important. Contrary to evidence that stress and worry impair performance in settings where distraction is costly, we find these same feelings are associated with improved decis
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Valentina Macchiati, Piero Mazzarisi, Diego Garlaschelli · 2024 · arXiv
Networks of financial exposures are the key propagators of risk and distress among banks, but their empirical structure is not publicly available because of confidentiality. This limitation has triggered the development of methods of network reconstruction from partial, aggregate information. Unfortunately, even the best methods available fail in replicating the number of directed cycles, which on the other hand play a crucial role in determining graph spectra and hence the degree of network stability and systemic risk. Here we address this challenge by exploiting the hypothesis that the stati
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Damien Ackerer, Natasa Tagasovska, Thibault Vatter · 2019 · arXiv
We present a neural network (NN) approach to fit and predict implied volatility surfaces (IVSs). Atypically to standard NN applications, financial industry practitioners use such models equally to replicate market prices and to value other financial instruments. In other words, low training losses are as important as generalization capabilities. Importantly, IVS models need to generate realistic arbitrage-free option prices, meaning that no portfolio can lead to risk-free profits. We propose an approach guaranteeing the absence of arbitrage opportunities by penalizing the loss using soft const
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Yuan Gao, Dokyun Lee, Gordon Burtch et al. · 2024 · arXiv
Recent studies suggest large language models (LLMs) can exhibit human-like reasoning, aligning with human behavior in economic experiments, surveys, and political discourse. This has led many to propose that LLMs can be used as surrogates or simulations for humans in social science research. However, LLMs differ fundamentally from humans, relying on probabilistic patterns, absent the embodied experiences or survival objectives that shape human cognition. We assess the reasoning depth of LLMs using the 11-20 money request game. Nearly all advanced approaches fail to replicate human behavior dis
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Yuda Bi, Vince D Calhoun · 2026 · arXiv
We address the attribution problem for apparent slow collective dynamics: is the observed persistence intrinsic, or inherited from a persistent driver? For the leading eigenvalue fraction $ψ_1=λ_{\max}/N$ of S\&P 500 60-day rolling correlation matrices ($237$ stocks, 2004--2023), a VIX-coupled Ornstein--Uhlenbeck model reduces the effective relaxation time from $298$ to $61$ trading days and improves the fit over bare mean reversion by $Δ$BIC$=109$. On the decomposition sample, an informational residual of $\log(\mathrm{VIX})$ alone retains most of that gain ($Δ$BIC$=78.6$), whereas a mechanic
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Francisco Rodríguez · 2022 · arXiv
We revisit the results of a recent paper by Equipo Anova, who claim to find evidence of an improvement in Venezuelan imports of food and medicines associated with the adoption of U.S. financial sanctions towards Venezuela in 2017. We show that their results are consequence of data coding errors and questionable methodological choices, including the use an unreasonable functional form that implies a counterfactual of negative imports in the absence of sanctions, the omission of data accounting for four-fifths of the country's food imports at the time of sanctions and incorrect application of re
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Francis X. Diebold, Maximilian Goebel, Philippe Goulet Coulombe · 2022 · arXiv
We use "glide charts" (plots of sequences of root mean squared forecast errors as the target date is approached) to evaluate and compare fixed-target forecasts of Arctic sea ice. We first use them to evaluate the simple feature-engineered linear regression (FELR) forecasts of Diebold and Goebel (2021), and to compare FELR forecasts to naive pure-trend benchmark forecasts. Then we introduce a much more sophisticated feature-engineered machine learning (FEML) model, and we use glide charts to evaluate FEML forecasts and compare them to a FELR benchmark. Our substantive results include the freque
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Marco Caliendo, Nico Pestel, Rebecca Olthaus · 2023 · arXiv
We study the long-term effects of the 2015 German minimum wage introduction and its subsequent increases on regional employment. Using data from two waves of the Structure of Earnings Survey allows us to estimate models that account for changes in the minimum wage bite over time. While the introduction mainly affected the labour market in East Germany, the raises are also increasingly affecting low-wage regions in West Germany, such that around one third of regions have changed their (binary) treatment status over time. We apply different specifications and extensions of the classic difference
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Claudiu Tiberiu Albulescu, Daniel Goyeau · 2016 · arXiv
Inside the EU, the commercial integration of the CEE countries has gained remarkable momentum before the crisis appearance, but it has slightly slowed down afterwards. Consequently, the interest in identifying the factors supporting the commercial integration process is high. Recent findings in the new trade theory suggest that FDI influence the trade intensity but the studies approaching this relationship for the CEE countries present mixed evidence, and investigate the commercial integration of CEE countries with the old EU members. Against this background, the purpose of this paper is to as
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Dimitrios Exadaktylos, Massimo Riccaboni, Armando Rungi · 2020 · arXiv
In this paper, we test the contribution of foreign management on firms' competitiveness. We use a novel dataset on the careers of 165,084 managers employed by 13,106 companies in the United Kingdom in the period 2009-2017. We find that domestic manufacturing firms become, on average, between 7% and 12% more productive after hiring the first foreign managers, whereas foreign-owned firms register no significant improvement. In particular, we test that previous industry-specific experience is the primary driver of productivity gains in domestic firms (15.6%), in a way that allows the latter to ca
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Claudiu Albulescu · 2020 · arXiv
This paper investigates the effect of the novel coronavirus and crude oil prices on the United States (US) economic policy uncertainty (EPU). Using daily data for the period January 21-March 13, 2020, our Autoregressive Distributed Lag (ARDL) model shows that the new infection cases reported at global level, and the death ratio, have no significant effect on the US EPU, whereas the oil price negative dynamics leads to increased uncertainty. However, analyzing the situation outside China, we discover that both new case announcements and the COVID-19 associated death ratio have a positive influe
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S. Meghna, N. Suresh, J. C. Usha · 2022 · arXiv
This study examines the impact of dividend policy on the performance of initial public offerings in India. The period of study is from the year 2011-2014. Monthly returns of the IPOs issued in the considered period and the Indian Stock Market Index (Nifty 50) were considered for the long-run performance study. The methodological tools used are long-run performance statistics and the GARCH model. The Dummy variable was used to measure the effect of dividends on the IPOs. The study reveals that the dividend policy has no significant effect on the stock prices of IPO.
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Ruiwu Liu · 2021 · arXiv
Acemoglu and Johnson (2007) put forward the unprecedented view that health improvement has no significant effect on income growth. To arrive at this conclusion, they constructed predicted mortality as an instrumental variable based on the WHO international disease interventions to analyse this problem. I replicate the process of their research and eliminate some biases in their estimate. In addition, and more importantly, we argue that the construction of their instrumental variable contains a violation of the exclusion restriction of their instrumental variable. This negative correlation betw
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Misha Perepelitsa · 2022 · arXiv
In this paper we give an elementary analysis of economics of Bitcoin that combines the transaction demand by the consumers and the supply of hashrate by miners. We argue that the decreasing block reward will have no significant effect on the exchange rate (price) of Bitcoin and thus the network will be transitioning to a regime where transaction fees will play a bigger part of miners' revenue. We consider a simple model where consumers demand bitcoins for transactions, but not for hoarding bitcoins, and we analyze market equilibrium where the demand is matched with the hashrate supplied by min
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Markus Dertwinkel-Kalt, Max R. P. Grossmann · 2025 · arXiv
When environmental regulations are unpopular, policymakers often attribute resistance to information frictions and poor communication. We test this idea in the context of a major climate policy: Germany's Heating Law of 2023, which mandates the phase-out of fossil fuel heating. Through a survey experiment with property owners, we examine whether providing comprehensive information about the regulation's costs, requirements, and timeline affects adoption decisions and policy support. Despite successfully increasing factual knowledge, information provision has no significant effect on intended t
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Cheikh Mbaye, Frédéric Vrins · 2019 · arXiv
We address the so-called calibration problem which consists of fitting in a tractable way a given model to a specified term structure like, e.g., yield or default probability curves. Time-homogeneous jump-diffusions like Vasicek or Cox-Ingersoll-Ross (possibly coupled with compounded Poisson jumps, JCIR), are tractable processes but have limited flexibility; they fail to replicate actual market curves. The deterministic shift extension of the latter (Hull-White or JCIR++) is a simple but yet efficient solution that is widely used by both academics and practitioners. However, the shift approach
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