2 citations · 2 across the 3 of their papers we have counts for
4 papers
A class of short-term models for the oil industry addressing speculative storage
Yves Achdou, Charles Bertucci, Jean-Michel Lasry +3
This is a work in progress. The aim is to propose a plausible mechanism for the short term dynamics of the oil market based on the interaction of economic agents. This is a theoret…
Shorting in Speculative Markets
Marcel Nutz, José A. Scheinkman
We propose a continuous-time model of trading with heterogeneous beliefs. Risk-neutral agents face quadratic costs-of-carry on positions and thus their marginal valuations decrease…
Misspecified Recovery
Jaroslav Borovička, Lars Peter Hansen, José A. Scheinkman
Asset prices contain information about the probability distribution of future states and the stochastic discounting of those states as used by investors. To better understand the c…
Nonlinear Principal Components and Long-run Implications of Multivariate Diffusions
Xioahong Chen, Lars Peter Hansen, Jose Scheinkman
We investigate a method for extracting nonlinear principal components (NPCs). These NPCs maximize variation subject to smoothness and orthogonality constraints; but we allow for a…