This paper is to explore the possibility to use alternative data and artificial intelligence techniques to trade stocks. The efficacy of the daily Twitter sentiment on predicting the stock return is examined using machine learning methods. Reinforcement learning(Q-learning) is applied to generate the optimal trading policy based on the sentiment signal. The predicting power of the sentiment sig...

In economies with nonconvexities consumers can increase their expected utility by consuming lotteries. Lotteries are probability distributions over bundles in the consumption set. Standard revealed preference logic can be applied to choices in lottery space, however the implications are not readily interpretable. In this paper, we formulate the law of demand for lottery economies in terms of co...

Temporary equilibrium models replaced the usual assumption that agents can perfectly foresee future prices by weaker informational requirements allowing for inaccurate price forecasts. However, temporary equilibrium models were criticized for requiring some coordination of agents’ expectations (i.e., overlapping expectations) and for not providing a mechanism that prevents the economy from coll...

We present a Dantzig-Wolfe procedure for the ship scheduling problem with flexible cargo sizes. This problem is similar to the well-known pickup and delivery problem with time windows, but the cargo sizes are defined to be within intervals instead of having fixed values. We show that the introduction of flexible cargo sizes to the column generation framework is not straightforward, and we handl...

This paper presents the influence of distributed generation (DG) on congestion and locational marginal price (LMP) in an optimal power flow (OPF) based wholesale electricity market. The problem of optimal placement to manage congestion and reduce LMP is formulated for the objective of social welfare maximization. From competitive electricity market standpoint, DGs have great value when they red...

Based on the well-known fact that social networks can provide effective mechanisms that help to increase the trust level between two trade partners, we apply a simple game-theoretical framework to derive transaction costs as a high risk of opportunistic behavior in a repeated trade relation determined by the density and size of trading networks. In the empirical part of the paper we apply a two...

Load serving entities providing electricity to regulated customers have an obligation to serve load that is subject to systematic and random fluctuations at fixed prices. In some jurisdictions like New Jersey, such obligations are auctioned off annually to third parties that commit to serve a fixed percentage of the fluctuating load at a fixed energy price. In either case the entity holding the...

Abstract We propose a novel housing market model to explore the effectiveness of rent control. Our reveals that expectation formation and learning behavior boundedly rational homebuyers, switching between extrapolative regressive rules subject their past forecasting accuracy, may create endogenous dynamics. show policymakers use control reduce level, although such policies have undesirable effe...

This paper introduces a dynamic change of measure approach for computing analytical solutions expected future prices (and therefore, returns) contingent claims over finite horizon. The new constructs hybrid probability measures called equivalent expectation (EEMs) that provide the physical claim's price before horizon date, and serve as pricing on or after date. EEM theory can be used empirical...

The notion of a $D$-poset was introduced in a connection withquantum mechanical models. In this paper, we introduce theconditional expectation of  random variables on theK^{o}pka's $D$-Poset and prove the basic properties ofconditional expectation on this  structure.