We improve on the Instrumented Principal Component Analysis (IPCA) model developed in Kelly, Pruitt and Su (2019) by providing more efficient Generalized Least Square (GLS) estimators with a closed-form limiting distribution allowing for a more consistent (mis)pricing inference. The IPCA model...

Studies on commonality in returns, order flows and liquidity find that the first principal component is closely aligned with the market factor. With the increasing presence of high-frequency trading, commonality in returns, order flows, and liquidity can potentially arise from the commonality in...

Biclustering of observations and the variables is of interest in many scientific disciplines. In a single set of data matrix it is handled through the singular value decomposition. Here we deal with two sets of variables: response and predictor sets. We model the joint relationship via...

While recently the after-cost profits of many anomalies are close to zero, investing according to the Mean-Variance (MV) criterion has never been so rewarding. The Global Minimum Variance Portfolio is the simplest option to profitably gain exposure to the market by timing stock covariances....

We design an equilibrium model for the mining market in the presence of professional and casual miners. We apply our setup to the Bitcoin and Ethereum market and find that the (recent) dynamics of crypto prices are well approximated by those of their mining technological enhancements....

We design an equilibrium model for the mining market in the presence of professional and casual miners. We apply our setup to the Bitcoin and Ethereum market and find that the (recent) dynamics of crypto prices are well approximated by those of their mining technological enhancements....