SKEWNESS AND PERMUTATION

Institutional Skewness Preferences and the Idiosyncratic Skewness Premium∗

This study examines whether idiosyncratic skewness preferences of institutional investors influence stock returns. On aggregate, institutions exhibit an aversion for idiosyncratic skewness but prefer systematic skewness, and in the cross-section, larger (smaller) and more (less) diversified institutions exhibit stronger (weaker) aversion for idiosyncratic skewness. The aggregate institutional p...

Skewness and Leverage

Skewness in Hedge Funds Returns: Classical Skewness Coefficients vs. Azzalini’s Skewness Parameter

Recent literature discusses the persistence of skewness and tail risk in hedge fund returns. The aim of this paper is to suggest an alternative skewness measure  which is derived as the normalized shape parameter from the skew-normal distribution. First, we illustrate that the skew-normal distribution is better able to catch the characteristics of hedge fund returns than the normal distributio...

Intrinsic Information Preferences and Skewness∗

We present experimental results from a broad investigation of intrinsic preferences for information. We examine whether people prefer negatively skewed or positively skewed information structures when they are equally informative, whether people prefer more or less informative information structures, and how individual preferences over the skewness and the degree of information relate to one an...

Permutation tableaux and permutation patterns

Lauren Williams (joint work with Einar Steingrímsson) We introduce and study a class of tableaux which we call permutation tableaux; these tableaux are naturally in bijection with permutations, and they are a distinguished subset of the " Le-diagrams " of Alex Postnikov. The structure of these tableaux is in some ways more transparent than the structure of permutations; therefore we believe tha...