3 papers
math.AP2020
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…
q-fin.MF2017
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…
stat.ME2009
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…