This paper proposes a measure of real-time inflation expectations based on metadata, i.e., data about data, constructed from internet search queries performed on the search engine Google. The forecasting performance of the Google Inflation Search Index (GISI) is assessed relative to 37 other...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...

I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...

We present a mathematical analysis of the long-run behavior of genetic algorithms that are used for modeling social phenomena. The analysis relies on commonly used mathematical techniques in evolutionary game theory. Assuming a positive but infinitely small mutation rate, we derive results that...

The performance of dynamic trading and investment strategies can be difficult to predict. Although not without its problems, analysis of the historical performance of a strategy can provide valuable insight into its general risk and return properties. Furthermore, historical analysis allows one...

In the recent Basel Accords, the Expected Shortfall (ES) replaces the Value-at-Risk (VaR) as the standard risk measure for market risk in the banking sector, making it the most popular risk measure in financial regulation. Although ES is - in addition to many other nice properties - a coherent...

In this paper, we derive upper and lower bounds on the Range Value-at-Risk of the portfolio loss when we only know its mean and variance, and its feature of unimodality. In a first step, we use some classic results on stochastic ordering to reduce this optimization problem to a parametric one,...

This paper compares the ability of the log periodic power law (LPPL) procedure and the supremum augmented Dickey Fuller (supremum ADF) tests to confirm or reject the presence of bubbles in various time series simulations. We develop a time stamping method for the LPPL procedure and derive a more...