4 papers
The Memoryless Best-Choice Problem
Alexander Gnedin, Marcos C. S. Carreira
A random sequence sampled from a known continuous distribution is observed with the objective to choose an item with the overall rank one. A rejected item cannot be recalled and is…
The Probability Conflation: A Reply
Nassim Nicholas Taleb, Ron Richman, Marcos Carreira +1
We respond to Tetlock et al. (2022) showing 1) how expert judgment fails to reflect tail risk, 2) the lack of compatibility between forecasting tournaments and tail risk assessment…
Exponential Kernels with Latency in Hawkes Processes: Applications in Finance
Marcos Costa Santos Carreira
The Tick library allows researchers in market microstructure to simulate and learn Hawkes process in high-frequency data, with optimized parametric and non-parametric learners. But…
The pre-commitment best-choice problem: exact finite-n formulas
Marcos Costa Santos Carreira
In the full-information best-choice problem of Gilbert and Mosteller (1966), n i.i.d. uniform draws are observed in sequence and the player, knowing n, stops at one with the goal o…