Why does misinformation persist, and how does it distort the long-run beliefs and actions of rational agents? We study a model where receivers see an infinite stream of messages from a sender of unknown type who observes private signals about an unknown state of the world. We characterize the...

This paper demonstrates that even under ideal conditions, social experiments in general only uniquely determine the mean impacts of programs but not the median or the distribution of program impacts. The conventional common parameter evaluation model widely used in econometrics is one case where...

In many financial applications Quasi Monte Carlo (QMC) based on Sobol low-discrepancy sequences (LDS) outperforms Monte Carlo showing faster and more stable convergence. However, unlike MC QMC lacks a practical error estimate. Randomized QMC (RQMC) method combines the best of two methods....

Herein we attempt to quantify Tom McClellan’s notion of Dance Steps between two series of data, often of differing time periods (a current, or dependent and a previous, or independent period data series), looking for similarities in the turning points to use as a reference for the future...

Commodity style-integration is appealing because by forming a unique long-short portfolio with simultaneous exposure to mildly correlated factors, a larger risk premium can be captured over time than with any of the underlying standalone styles. A practical decision that a commodity...

The capture ratio is a widely-used investment performance measure. We study the statistical problem of estimating the capture ratio based on a finite number of observations of a fund's returns. We derive the asymptotic distribution of the estimator and use it for testing whether one fund has a...

In this work, we develop a multi-fidelity Bayesian experimental design framework to efficiently quantify the extreme-event statistics of an input-to-response (ItR) system with given input probability and expensive function evaluations. The key idea here is to leverage low-fidelity samples whose...