The Experts below are selected from a list of 309 Experts worldwide ranked by ideXlab platform

Dimitri Vayanos - One of the best experts on this subject based on the ideXlab platform.

  • financial markets where traders neglect the Informational Content of prices
    Journal of Finance, 2019
    Co-Authors: Erik Eyster, Matthew Rabin, Dimitri Vayanos
    Abstract:

    We model a financial market where some traders of a risky asset do not fully appreciate what prices convey about others' private information. Markets comprising solely such “cursed” traders generate more trade than those comprising solely rationals. Because rationals arbitrage away distortions caused by cursed traders, mixed markets can generate even more trade. Per-trader volume in cursed markets increases with market size; volume may instead disappear when traders infer others' information from prices, even when they dismiss it as noisier than their own. Making private information public raises rational and “dismissive” volume, but reduces cursed volume given moderate nonInformational trading motives.

  • financial markets where traders neglect the Informational Content of prices
    Social Science Research Network, 2015
    Co-Authors: Erik Eyster, Matthew Rabin, Dimitri Vayanos
    Abstract:

    We present a model of a financial market where some traders are "cursed'' when choosing how much to invest in a risky asset, failing to fully take into account what prices convey about others' private information. Cursed traders put more weight on their private signals than rational traders. But because they neglect that the price encodes other traders' information, prices depend less on private signals and more on public signals than rational-expectation-equilibrium (REE) prices. Markets comprised entirely of cursed traders generate more trade than those comprised entirely of rationals; mixed markets can generate even more trade, as rationals employ momentum-trading strategies to exploit cursed traders. We contrast our results to other models of departures from REE and show that per-trader volume with cursed traders increases when the market becomes large, while natural forms of overconfidence predict that volume should converge to zero.

Julien Idier - One of the best experts on this subject based on the ideXlab platform.

  • inflation risk measures and their Informational Content
    Social Science Research Network, 2014
    Co-Authors: Philippe Andrade, Eric Ghysels, Julien Idier
    Abstract:

    We introduce a new measure called Inflation-at-Risk (I@R) associated with (left and right) inflation tail risk. We estimate I@R using survey-based density forecasts. We show that it contains information not covered by usual inflation risk indicators which focus on inflation uncertainty and do not distinguish between the risks of low or high future inflation outcomes. We document that, not only the extent, but also the asymmetry of inflation/deflation risks evolve over time. Moreover, changes in inflation risk, help predict future inflation realizations. In particular, we show that adding our survey based measures of inflation risk to either the random walk model, or usual survey based mean point forecasts, improves their predictive performance.

Min Wei - One of the best experts on this subject based on the ideXlab platform.

  • tips from tips the Informational Content of treasury inflation protected security prices
    Journal of Financial and Quantitative Analysis, 2018
    Co-Authors: Stefania Damico, Don H Kim, Min Wei
    Abstract:

    Treasury Inflation-Protected Securities (TIPS) are frequently thought of as risk-free real bonds. Using no-arbitrage term structure models, we show that TIPS yields exceeded risk-free real yields by as much as 100 basis points when TIPS were first issued and up to 300 basis points during the 2007–2008 financial crisis. This spread predominantly reflects the poorer liquidity of TIPS relative to nominal Treasury securities. Other factors, including the indexation lag and the embedded deflation protection in TIPS, play a much smaller role. Ignoring this spread also significantly distorts the Informational Content of TIPS break-even inflation, a widely used proxy for expected inflation.

  • tips from tips the Informational Content of treasury inflation protected security prices
    Social Science Research Network, 2014
    Co-Authors: Stefania Damico, Don H Kim, Min Wei
    Abstract:

    TIPS breakeven inflation rate, defined as the difference between nominal and TIPS yields of comparable maturities, is potentially useful as a real-time measure of market inflation expectations. In this paper, we provide evidence that a fairly large TIPS liquidity premium existed until recently, using a multifactor no-arbitrage term structure model estimated with nominal and TIPS yields, inflation and survey forecasts of interest rates. Ignoring the TIPS liquidity premiums leads to counterintuitive implications for inflation expectations and inflation risk premium, and produces large pricing errors for TIPS. In contrast, models incorporating a TIPS liquidity factor generate much better fit for these variables and reveal a TIPS liquidity premium that was until recently quite large (~1%) but has come down in recent years, consistent with the common perception that TIPS market grew and liquidity conditions improved. Our results indicate that after taking proper account of the liquidity conditions in the TIPS market, the movement in TIPS breakeven inflation rate can provide useful information for identifying real yields, expected inflation and inflation risk premium.

  • tips from tips the Informational Content of treasury inflation protected security prices
    Research Papers in Economics, 2008
    Co-Authors: Stefania Damico, Don H Kim, Min Wei
    Abstract:

    We examine the Informational Content of TIPS yields from the viewpoint of a general 3-factor no-arbitrage term structure model of inflation and interest rates. Our empirical results indicate that TIPS yields contained a "liquidity premium" that was until recently quite large (~1%). Key features of this premium are difficult to account for in a rational pricing framework, suggesting that TIPS may not have been priced efficiently in its early years. Besides the liquidity premium, a time-varying inflation risk premium complicates the interpretation of the TIPS breakeven inflation rate (the difference between the nominal and TIPS yields). Nonetheless, high-frequency variation in the TIPS breakeven rates is similar to the variation in inflation expectations implied by the model, lending support to the view that TIPS breakeven inflation rates are a useful proxy for inflation expectations.

Stefania Damico - One of the best experts on this subject based on the ideXlab platform.

  • tips from tips the Informational Content of treasury inflation protected security prices
    Journal of Financial and Quantitative Analysis, 2018
    Co-Authors: Stefania Damico, Don H Kim, Min Wei
    Abstract:

    Treasury Inflation-Protected Securities (TIPS) are frequently thought of as risk-free real bonds. Using no-arbitrage term structure models, we show that TIPS yields exceeded risk-free real yields by as much as 100 basis points when TIPS were first issued and up to 300 basis points during the 2007–2008 financial crisis. This spread predominantly reflects the poorer liquidity of TIPS relative to nominal Treasury securities. Other factors, including the indexation lag and the embedded deflation protection in TIPS, play a much smaller role. Ignoring this spread also significantly distorts the Informational Content of TIPS break-even inflation, a widely used proxy for expected inflation.

  • tips from tips the Informational Content of treasury inflation protected security prices
    Social Science Research Network, 2014
    Co-Authors: Stefania Damico, Don H Kim, Min Wei
    Abstract:

    TIPS breakeven inflation rate, defined as the difference between nominal and TIPS yields of comparable maturities, is potentially useful as a real-time measure of market inflation expectations. In this paper, we provide evidence that a fairly large TIPS liquidity premium existed until recently, using a multifactor no-arbitrage term structure model estimated with nominal and TIPS yields, inflation and survey forecasts of interest rates. Ignoring the TIPS liquidity premiums leads to counterintuitive implications for inflation expectations and inflation risk premium, and produces large pricing errors for TIPS. In contrast, models incorporating a TIPS liquidity factor generate much better fit for these variables and reveal a TIPS liquidity premium that was until recently quite large (~1%) but has come down in recent years, consistent with the common perception that TIPS market grew and liquidity conditions improved. Our results indicate that after taking proper account of the liquidity conditions in the TIPS market, the movement in TIPS breakeven inflation rate can provide useful information for identifying real yields, expected inflation and inflation risk premium.

  • tips from tips the Informational Content of treasury inflation protected security prices
    Research Papers in Economics, 2008
    Co-Authors: Stefania Damico, Don H Kim, Min Wei
    Abstract:

    We examine the Informational Content of TIPS yields from the viewpoint of a general 3-factor no-arbitrage term structure model of inflation and interest rates. Our empirical results indicate that TIPS yields contained a "liquidity premium" that was until recently quite large (~1%). Key features of this premium are difficult to account for in a rational pricing framework, suggesting that TIPS may not have been priced efficiently in its early years. Besides the liquidity premium, a time-varying inflation risk premium complicates the interpretation of the TIPS breakeven inflation rate (the difference between the nominal and TIPS yields). Nonetheless, high-frequency variation in the TIPS breakeven rates is similar to the variation in inflation expectations implied by the model, lending support to the view that TIPS breakeven inflation rates are a useful proxy for inflation expectations.

Nicolae Tomai - One of the best experts on this subject based on the ideXlab platform.

  • secret sharing scheme for data confidentiality preserving in a public private hybrid cloud storage approach
    IEEE ACM International Conference Utility and Cloud Computing, 2014
    Co-Authors: Alexandru Butoi, Nicolae Tomai
    Abstract:

    Adopting public cloud services implies a loose of control in the management process of the outsourced infrastructure. This raises legal and trust concerns among executives and decision factors regarding confidentiality of data being moved in cloud. We propose a protocol based on a secret sharing scheme in which data is split in optimal chunks, each chunk carrying a minimum Informational Content relative to the entire Informational Content of the data set. The file chunks are stored in multiple cloud storage volumes in a way that minimizes the probability for an insider or an attacker to reconstruct the original data set. The splitting heuristic is based on Kullback-Leibler as a metric of chunk optimality while the chunk distribution strategy uses a probabilistic model.

  • UCC - Secret Sharing Scheme for Data Confidentiality Preserving in a Public-Private Hybrid Cloud Storage Approach
    2014 IEEE ACM 7th International Conference on Utility and Cloud Computing, 2014
    Co-Authors: Alexandru Butoi, Nicolae Tomai
    Abstract:

    Adopting public cloud services implies a loose of control in the management process of the outsourced infrastructure. This raises legal and trust concerns among executives and decision factors regarding confidentiality of data being moved in cloud. We propose a protocol based on a secret sharing scheme in which data is split in optimal chunks, each chunk carrying a minimum Informational Content relative to the entire Informational Content of the data set. The file chunks are stored in multiple cloud storage volumes in a way that minimizes the probability for an insider or an attacker to reconstruct the original data set. The splitting heuristic is based on Kullback-Leibler as a metric of chunk optimality while the chunk distribution strategy uses a probabilistic model.