4 papers
AI Premium
Nicola Borri, Yukun Liu, Aleh Tsyvinski
Using 380 trillion tokens of realized AI consumption across more than four hundred large language models from the licensed proprietary OpenRouter dataset covering approximately 2 p…
Trading Frictions in Dynamic Cap-and-Trade Markets
Nicola Borri, Yukun Liu, Aleh Tsyvinski +1
We develop a dynamic stochastic model of markets with an externality and multiple trading frictions, and cap-and-trade as the leading application. Slow participation, limited inter…
Higher-Order Asset Pricing Factors via Forward Selection Fama-MacBeth Regression
Nicola Borri, Denis Chetverikov, Yukun Liu +1
We show that the higher-order terms and interactions of the common sparse linear factors are significantly priced in the cross-section of equity returns. A higher-order model with…
Cryptocurrency as an Investable Asset Class: Coming of Age
Nicola Borri, Yukun Liu, Aleh Tsyvinski +1
We organize existing empirical regularities of cryptocurrencies into seven stylized facts and analyze cryptocurrencies through the lens of empirical asset pricing. We find importan…