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name="searchtype"><option value="all">All fields</option><option value="title">Title</option><option selected value="author">Author(s)</option><option value="abstract">Abstract</option><option value="comments">Comments</option><option value="journal_ref">Journal reference</option><option value="acm_class">ACM classification</option><option value="msc_class">MSC classification</option><option value="report_num">Report number</option><option value="paper_id">arXiv identifier</option><option value="doi">DOI</option><option value="orcid">ORCID</option><option value="license">License (URI)</option><option value="author_id">arXiv author ID</option><option value="help">Help pages</option><option value="full_text">Full text</option></select> <input id="query" name="query" type="text" value="Zhang, L"> <ul id="abstracts"><li><input checked id="abstracts-0" name="abstracts" type="radio" value="show"> <label for="abstracts-0">Show abstracts</label></li><li><input id="abstracts-1" name="abstracts" 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is-link">Go</button> </div> </div> </form> </div> </div> <nav class="pagination is-small is-centered breathe-horizontal" role="navigation" aria-label="pagination"> <a href="" class="pagination-previous is-invisible">Previous </a> <a href="/search/?searchtype=author&query=Zhang%2C+L&start=50" class="pagination-next" >Next </a> <ul class="pagination-list"> <li> <a href="/search/?searchtype=author&query=Zhang%2C+L&start=0" class="pagination-link is-current" aria-label="Goto page 1">1 </a> </li> <li> <a href="/search/?searchtype=author&query=Zhang%2C+L&start=50" class="pagination-link " aria-label="Page 2" aria-current="page">2 </a> </li> </ul> </nav> <ol class="breathe-horizontal" start="1"> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2411.17136">arXiv:2411.17136</a> <span> [<a href="https://arxiv.org/pdf/2411.17136">pdf</a>, <a href="https://arxiv.org/format/2411.17136">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Risk Management">q-fin.RM</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Machine Learning">cs.LG</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Econometrics">econ.EM</span> </div> </div> <p class="title is-5 mathjax"> Autoencoder Enhanced Realised GARCH on Volatility Forecasting </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Zhao%2C+Q">Qianli Zhao</a>, <a href="/search/econ?searchtype=author&query=Wang%2C+C">Chao Wang</a>, <a href="/search/econ?searchtype=author&query=Gerlach%2C+R">Richard Gerlach</a>, <a href="/search/econ?searchtype=author&query=Storti%2C+G">Giuseppe Storti</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Lingxiang Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2411.17136v1-abstract-short" style="display: inline;"> Realised volatility has become increasingly prominent in volatility forecasting due to its ability to capture intraday price fluctuations. With a growing variety of realised volatility estimators, each with unique advantages and limitations, selecting an optimal estimator may introduce challenges. In this thesis, aiming to synthesise the impact of various realised volatility measures on volatility… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2411.17136v1-abstract-full').style.display = 'inline'; document.getElementById('2411.17136v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2411.17136v1-abstract-full" style="display: none;"> Realised volatility has become increasingly prominent in volatility forecasting due to its ability to capture intraday price fluctuations. With a growing variety of realised volatility estimators, each with unique advantages and limitations, selecting an optimal estimator may introduce challenges. In this thesis, aiming to synthesise the impact of various realised volatility measures on volatility forecasting, we propose an extension of the Realised GARCH model that incorporates an autoencoder-generated synthetic realised measure, combining the information from multiple realised measures in a nonlinear manner. Our proposed model extends existing linear methods, such as Principal Component Analysis and Independent Component Analysis, to reduce the dimensionality of realised measures. The empirical evaluation, conducted across four major stock markets from January 2000 to June 2022 and including the period of COVID-19, demonstrates both the feasibility of applying an autoencoder to synthesise volatility measures and the superior effectiveness of the proposed model in one-step-ahead rolling volatility forecasting. The model exhibits enhanced flexibility in parameter estimations across each rolling window, outperforming traditional linear approaches. These findings indicate that nonlinear dimension reduction offers further adaptability and flexibility in improving the synthetic realised measure, with promising implications for future volatility forecasting applications. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2411.17136v1-abstract-full').style.display = 'none'; document.getElementById('2411.17136v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 26 November, 2024; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> November 2024. </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">Comments:</span> <span class="has-text-grey-dark mathjax">48 pages, 6 figures</span> </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2411.16277">arXiv:2411.16277</a> <span> [<a href="https://arxiv.org/pdf/2411.16277">pdf</a>, <a href="https://arxiv.org/format/2411.16277">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computational Engineering, Finance, and Science">cs.CE</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Cryptography and Security">cs.CR</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computational Finance">q-fin.CP</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Machine Learning">stat.ML</span> </div> </div> <p class="title is-5 mathjax"> FinML-Chain: A Blockchain-Integrated Dataset for Enhanced Financial Machine Learning </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Chen%2C+J">Jingfeng Chen</a>, <a href="/search/econ?searchtype=author&query=Deng%2C+W">Wanlin Deng</a>, <a href="/search/econ?searchtype=author&query=Chen%2C+D">Dangxing Chen</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2411.16277v1-abstract-short" style="display: inline;"> Machine learning is critical for innovation and efficiency in financial markets, offering predictive models and data-driven decision-making. However, challenges such as missing data, lack of transparency, untimely updates, insecurity, and incompatible data sources limit its effectiveness. Blockchain technology, with its transparency, immutability, and real-time updates, addresses these challenges.… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2411.16277v1-abstract-full').style.display = 'inline'; document.getElementById('2411.16277v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2411.16277v1-abstract-full" style="display: none;"> Machine learning is critical for innovation and efficiency in financial markets, offering predictive models and data-driven decision-making. However, challenges such as missing data, lack of transparency, untimely updates, insecurity, and incompatible data sources limit its effectiveness. Blockchain technology, with its transparency, immutability, and real-time updates, addresses these challenges. We present a framework for integrating high-frequency on-chain data with low-frequency off-chain data, providing a benchmark for addressing novel research questions in economic mechanism design. This framework generates modular, extensible datasets for analyzing economic mechanisms such as the Transaction Fee Mechanism, enabling multi-modal insights and fairness-driven evaluations. Using four machine learning techniques, including linear regression, deep neural networks, XGBoost, and LSTM models, we demonstrate the framework's ability to produce datasets that advance financial research and improve understanding of blockchain-driven systems. Our contributions include: (1) proposing a research scenario for the Transaction Fee Mechanism and demonstrating how the framework addresses previously unexplored questions in economic mechanism design; (2) providing a benchmark for financial machine learning by open-sourcing a sample dataset generated by the framework and the code for the pipeline, enabling continuous dataset expansion; and (3) promoting reproducibility, transparency, and collaboration by fully open-sourcing the framework and its outputs. This initiative supports researchers in extending our work and developing innovative financial machine-learning models, fostering advancements at the intersection of machine learning, blockchain, and economics. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2411.16277v1-abstract-full').style.display = 'none'; document.getElementById('2411.16277v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 25 November, 2024; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> November 2024. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2411.08668">arXiv:2411.08668</a> <span> [<a href="https://arxiv.org/pdf/2411.08668">pdf</a>, <a href="https://arxiv.org/ps/2411.08668">ps</a>, <a href="https://arxiv.org/format/2411.08668">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Optimization and Control">math.OC</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Machine Learning">stat.ML</span> </div> </div> <p class="title is-5 mathjax"> A Machine Learning Algorithm for Finite-Horizon Stochastic Control Problems in Economics </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Peng%2C+X">Xianhua Peng</a>, <a href="/search/econ?searchtype=author&query=Kou%2C+S">Steven Kou</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Lekang Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2411.08668v1-abstract-short" style="display: inline;"> We propose a machine learning algorithm for solving finite-horizon stochastic control problems based on a deep neural network representation of the optimal policy functions. The algorithm has three features: (1) It can solve high-dimensional (e.g., over 100 dimensions) and finite-horizon time-inhomogeneous stochastic control problems. (2) It has a monotonicity of performance improvement in each it… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2411.08668v1-abstract-full').style.display = 'inline'; document.getElementById('2411.08668v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2411.08668v1-abstract-full" style="display: none;"> We propose a machine learning algorithm for solving finite-horizon stochastic control problems based on a deep neural network representation of the optimal policy functions. The algorithm has three features: (1) It can solve high-dimensional (e.g., over 100 dimensions) and finite-horizon time-inhomogeneous stochastic control problems. (2) It has a monotonicity of performance improvement in each iteration, leading to good convergence properties. (3) It does not rely on the Bellman equation. To demonstrate the efficiency of the algorithm, it is applied to solve various finite-horizon time-inhomogeneous problems including recursive utility optimization under a stochastic volatility model, a multi-sector stochastic growth, and optimal control under a dynamic stochastic integration of climate and economy model with eight-dimensional state vectors and 600 time periods. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2411.08668v1-abstract-full').style.display = 'none'; document.getElementById('2411.08668v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 13 November, 2024; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> November 2024. </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">Comments:</span> <span class="has-text-grey-dark mathjax">arXiv admin note: substantial text overlap with arXiv:1611.01767</span> </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2411.04450">arXiv:2411.04450</a> <span> [<a href="https://arxiv.org/pdf/2411.04450">pdf</a>, <a href="https://arxiv.org/format/2411.04450">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Econometrics">econ.EM</span> </div> </div> <p class="title is-5 mathjax"> Partial Identification of Distributional Treatment Effects in Panel Data using Copula Equality Assumptions </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Madigasekara%2C+H">Heshani Madigasekara</a>, <a href="/search/econ?searchtype=author&query=Poskitt%2C+D+S">D. S. Poskitt</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Lina Zhang</a>, <a href="/search/econ?searchtype=author&query=Zhao%2C+X">Xueyan Zhao</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2411.04450v1-abstract-short" style="display: inline;"> This paper aims to partially identify the distributional treatment effects (DTEs) that depend on the unknown joint distribution of treated and untreated potential outcomes. We construct the DTE bounds using panel data and allow individuals to switch between the treated and untreated states more than once over time. Individuals are grouped based on their past treatment history, and DTEs are allowed… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2411.04450v1-abstract-full').style.display = 'inline'; document.getElementById('2411.04450v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2411.04450v1-abstract-full" style="display: none;"> This paper aims to partially identify the distributional treatment effects (DTEs) that depend on the unknown joint distribution of treated and untreated potential outcomes. We construct the DTE bounds using panel data and allow individuals to switch between the treated and untreated states more than once over time. Individuals are grouped based on their past treatment history, and DTEs are allowed to be heterogeneous across different groups. We provide two alternative group-wise copula equality assumptions to bound the unknown joint and the DTEs, both of which leverage information from the past observations. Testability of these two assumptions are also discussed, and test results are presented. We apply this method to study the treatment effect heterogeneity of exercising on the adults' body weight. These results demonstrate that our method improves the identification power of the DTE bounds compared to the existing methods. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2411.04450v1-abstract-full').style.display = 'none'; document.getElementById('2411.04450v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 7 November, 2024; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> November 2024. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2410.21105">arXiv:2410.21105</a> <span> [<a href="https://arxiv.org/pdf/2410.21105">pdf</a>, <a href="https://arxiv.org/ps/2410.21105">ps</a>, <a href="https://arxiv.org/format/2410.21105">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Econometrics">econ.EM</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Machine Learning">stat.ML</span> </div> </div> <p class="title is-5 mathjax"> Difference-in-Differences with Time-varying Continuous Treatments using Double/Debiased Machine Learning </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Haddad%2C+M+F+C">Michel F. C. Haddad</a>, <a href="/search/econ?searchtype=author&query=Huber%2C+M">Martin Huber</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L+Z">Lucas Z. Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2410.21105v1-abstract-short" style="display: inline;"> We propose a difference-in-differences (DiD) method for a time-varying continuous treatment and multiple time periods. Our framework assesses the average treatment effect on the treated (ATET) when comparing two non-zero treatment doses. The identification is based on a conditional parallel trend assumption imposed on the mean potential outcome under the lower dose, given observed covariates and p… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2410.21105v1-abstract-full').style.display = 'inline'; document.getElementById('2410.21105v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2410.21105v1-abstract-full" style="display: none;"> We propose a difference-in-differences (DiD) method for a time-varying continuous treatment and multiple time periods. Our framework assesses the average treatment effect on the treated (ATET) when comparing two non-zero treatment doses. The identification is based on a conditional parallel trend assumption imposed on the mean potential outcome under the lower dose, given observed covariates and past treatment histories. We employ kernel-based ATET estimators for repeated cross-sections and panel data adopting the double/debiased machine learning framework to control for covariates and past treatment histories in a data-adaptive manner. We also demonstrate the asymptotic normality of our estimation approach under specific regularity conditions. In a simulation study, we find a compelling finite sample performance of undersmoothed versions of our estimators in setups with several thousand observations. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2410.21105v1-abstract-full').style.display = 'none'; document.getElementById('2410.21105v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 28 October, 2024; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> October 2024. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2409.00843">arXiv:2409.00843</a> <span> [<a href="https://arxiv.org/pdf/2409.00843">pdf</a>, <a href="https://arxiv.org/format/2409.00843">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computational Engineering, Finance, and Science">cs.CE</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computers and Society">cs.CY</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computational Finance">q-fin.CP</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Machine Learning">stat.ML</span> </div> </div> <p class="title is-5 mathjax"> Global Public Sentiment on Decentralized Finance: A Spatiotemporal Analysis of Geo-tagged Tweets from 150 Countries </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Chen%2C+Y">Yuqi Chen</a>, <a href="/search/econ?searchtype=author&query=Li%2C+Y">Yifan Li</a>, <a href="/search/econ?searchtype=author&query=Zhou%2C+K+Z">Kyrie Zhixuan Zhou</a>, <a href="/search/econ?searchtype=author&query=Fu%2C+X">Xiaokang Fu</a>, <a href="/search/econ?searchtype=author&query=Liu%2C+L">Lingbo Liu</a>, <a href="/search/econ?searchtype=author&query=Bao%2C+S">Shuming Bao</a>, <a href="/search/econ?searchtype=author&query=Sui%2C+D">Daniel Sui</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2409.00843v1-abstract-short" style="display: inline;"> In the digital era, blockchain technology, cryptocurrencies, and non-fungible tokens (NFTs) have transformed financial and decentralized systems. However, existing research often neglects the spatiotemporal variations in public sentiment toward these technologies, limiting macro-level insights into their global impact. This study leverages Twitter data to explore public attention and sentiment acr… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2409.00843v1-abstract-full').style.display = 'inline'; document.getElementById('2409.00843v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2409.00843v1-abstract-full" style="display: none;"> In the digital era, blockchain technology, cryptocurrencies, and non-fungible tokens (NFTs) have transformed financial and decentralized systems. However, existing research often neglects the spatiotemporal variations in public sentiment toward these technologies, limiting macro-level insights into their global impact. This study leverages Twitter data to explore public attention and sentiment across 150 countries, analyzing over 150 million geotagged tweets from 2012 to 2022. Sentiment scores were derived using a BERT-based multilingual sentiment model trained on 7.4 billion tweets. The analysis integrates global cryptocurrency regulations and economic indicators from the World Development Indicators database. Results reveal significant global sentiment variations influenced by economic factors, with more developed nations engaging more in discussions, while less developed countries show higher sentiment levels. Geographically weighted regression indicates that GDP-tweet engagement correlation intensifies following Bitcoin price surges. Topic modeling shows that countries within similar economic clusters share discussion trends, while different clusters focus on distinct topics. This study highlights global disparities in sentiment toward decentralized finance, shaped by economic and regional factors, with implications for poverty alleviation, cryptocurrency crime, and sustainable development. The dataset and code are publicly available on GitHub. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2409.00843v1-abstract-full').style.display = 'none'; document.getElementById('2409.00843v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 1 September, 2024; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> September 2024. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2408.10509">arXiv:2408.10509</a> <span> [<a href="https://arxiv.org/pdf/2408.10509">pdf</a>, <a href="https://arxiv.org/format/2408.10509">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Econometrics">econ.EM</span> </div> </div> <p class="title is-5 mathjax"> Continuous difference-in-differences with double/debiased machine learning </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Lucas Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2408.10509v1-abstract-short" style="display: inline;"> This paper extends difference-in-differences to settings involving continuous treatments. Specifically, the average treatment effect on the treated (ATT) at any level of continuous treatment intensity is identified using a conditional parallel trends assumption. In this framework, estimating the ATTs requires first estimating infinite-dimensional nuisance parameters, especially the conditional den… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2408.10509v1-abstract-full').style.display = 'inline'; document.getElementById('2408.10509v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2408.10509v1-abstract-full" style="display: none;"> This paper extends difference-in-differences to settings involving continuous treatments. Specifically, the average treatment effect on the treated (ATT) at any level of continuous treatment intensity is identified using a conditional parallel trends assumption. In this framework, estimating the ATTs requires first estimating infinite-dimensional nuisance parameters, especially the conditional density of the continuous treatment, which can introduce significant biases. To address this challenge, estimators for the causal parameters are proposed under the double/debiased machine learning framework. We show that these estimators are asymptotically normal and provide consistent variance estimators. To illustrate the effectiveness of our methods, we re-examine the study by Acemoglu and Finkelstein (2008), which assessed the effects of the 1983 Medicare Prospective Payment System (PPS) reform. By reinterpreting their research design using a difference-in-differences approach with continuous treatment, we nonparametrically estimate the treatment effects of the 1983 PPS reform, thereby providing a more detailed understanding of its impact. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2408.10509v1-abstract-full').style.display = 'none'; document.getElementById('2408.10509v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 19 August, 2024; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> August 2024. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2407.14335">arXiv:2407.14335</a> <span> [<a href="https://arxiv.org/pdf/2407.14335">pdf</a>, <a href="https://arxiv.org/format/2407.14335">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computational Engineering, Finance, and Science">cs.CE</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Cryptography and Security">cs.CR</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computational Finance">q-fin.CP</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computation">stat.CO</span> </div> <div class="is-inline-block" style="margin-left: 0.5rem"> <div class="tags has-addons"> <span class="tag is-dark is-size-7">doi</span> <span class="tag is-light is-size-7"><a class="" href="https://doi.org/10.1109/MetaCom62920.2024.00028">10.1109/MetaCom62920.2024.00028 <i class="fa fa-external-link" aria-hidden="true"></i></a></span> </div> </div> </div> <p class="title is-5 mathjax"> Quantifying the Blockchain Trilemma: A Comparative Analysis of Algorand, Ethereum 2.0, and Beyond </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Fu%2C+Y">Yihang Fu</a>, <a href="/search/econ?searchtype=author&query=Jing%2C+M">Mingwei Jing</a>, <a href="/search/econ?searchtype=author&query=Zhou%2C+J">Jiaolun Zhou</a>, <a href="/search/econ?searchtype=author&query=Wu%2C+P">Peilin Wu</a>, <a href="/search/econ?searchtype=author&query=Wang%2C+Y">Ye Wang</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a>, <a href="/search/econ?searchtype=author&query=Hu%2C+C">Chuang Hu</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2407.14335v1-abstract-short" style="display: inline;"> Blockchain technology is essential for the digital economy and metaverse, supporting applications from decentralized finance to virtual assets. However, its potential is constrained by the "Blockchain Trilemma," which necessitates balancing decentralization, security, and scalability. This study evaluates and compares two leading proof-of-stake (PoS) systems, Algorand and Ethereum 2.0, against the… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2407.14335v1-abstract-full').style.display = 'inline'; document.getElementById('2407.14335v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2407.14335v1-abstract-full" style="display: none;"> Blockchain technology is essential for the digital economy and metaverse, supporting applications from decentralized finance to virtual assets. However, its potential is constrained by the "Blockchain Trilemma," which necessitates balancing decentralization, security, and scalability. This study evaluates and compares two leading proof-of-stake (PoS) systems, Algorand and Ethereum 2.0, against these critical metrics. Our research interprets existing indices to measure decentralization, evaluates scalability through transactional data, and assesses security by identifying potential vulnerabilities. Utilizing real-world data, we analyze each platform's strategies in a structured manner to understand their effectiveness in addressing trilemma challenges. The findings highlight each platform's strengths and propose general methodologies for evaluating key blockchain characteristics applicable to other systems. This research advances the understanding of blockchain technologies and their implications for the future digital economy. Data and code are available on GitHub as open source. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2407.14335v1-abstract-full').style.display = 'none'; document.getElementById('2407.14335v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 19 July, 2024; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> July 2024. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2406.16221">arXiv:2406.16221</a> <span> [<a href="https://arxiv.org/pdf/2406.16221">pdf</a>, <a href="https://arxiv.org/format/2406.16221">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Machine Learning">cs.LG</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Artificial Intelligence">cs.AI</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Graphics">cs.GR</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Econometrics">econ.EM</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Methodology">stat.ME</span> </div> </div> <p class="title is-5 mathjax"> F-FOMAML: GNN-Enhanced Meta-Learning for Peak Period Demand Forecasting with Proxy Data </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Xu%2C+Z">Zexing Xu</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Linjun Zhang</a>, <a href="/search/econ?searchtype=author&query=Yang%2C+S">Sitan Yang</a>, <a href="/search/econ?searchtype=author&query=Etesami%2C+R">Rasoul Etesami</a>, <a href="/search/econ?searchtype=author&query=Tong%2C+H">Hanghang Tong</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+H">Huan Zhang</a>, <a href="/search/econ?searchtype=author&query=Han%2C+J">Jiawei Han</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2406.16221v1-abstract-short" style="display: inline;"> Demand prediction is a crucial task for e-commerce and physical retail businesses, especially during high-stake sales events. However, the limited availability of historical data from these peak periods poses a significant challenge for traditional forecasting methods. In this paper, we propose a novel approach that leverages strategically chosen proxy data reflective of potential sales patterns f… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2406.16221v1-abstract-full').style.display = 'inline'; document.getElementById('2406.16221v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2406.16221v1-abstract-full" style="display: none;"> Demand prediction is a crucial task for e-commerce and physical retail businesses, especially during high-stake sales events. However, the limited availability of historical data from these peak periods poses a significant challenge for traditional forecasting methods. In this paper, we propose a novel approach that leverages strategically chosen proxy data reflective of potential sales patterns from similar entities during non-peak periods, enriched by features learned from a graph neural networks (GNNs)-based forecasting model, to predict demand during peak events. We formulate the demand prediction as a meta-learning problem and develop the Feature-based First-Order Model-Agnostic Meta-Learning (F-FOMAML) algorithm that leverages proxy data from non-peak periods and GNN-generated relational metadata to learn feature-specific layer parameters, thereby adapting to demand forecasts for peak events. Theoretically, we show that by considering domain similarities through task-specific metadata, our model achieves improved generalization, where the excess risk decreases as the number of training tasks increases. Empirical evaluations on large-scale industrial datasets demonstrate the superiority of our approach. Compared to existing state-of-the-art models, our method demonstrates a notable improvement in demand prediction accuracy, reducing the Mean Absolute Error by 26.24% on an internal vending machine dataset and by 1.04% on the publicly accessible JD.com dataset. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2406.16221v1-abstract-full').style.display = 'none'; document.getElementById('2406.16221v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 23 June, 2024; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> June 2024. </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">MSC Class:</span> 68T07; 68T05; 62M10; 62M20; 90C90; 91B84 </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2405.12804">arXiv:2405.12804</a> <span> [<a href="https://arxiv.org/pdf/2405.12804">pdf</a>, <a href="https://arxiv.org/ps/2405.12804">ps</a>, <a href="https://arxiv.org/format/2405.12804">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Theoretical Economics">econ.TH</span> </div> </div> <p class="title is-5 mathjax"> The Machiavellian frontier of stable mechanisms </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Chen%2C+Q">Qiufu Chen</a>, <a href="/search/econ?searchtype=author&query=Li%2C+Y">Yuanmei Li</a>, <a href="/search/econ?searchtype=author&query=Yin%2C+X">Xiaopeng Yin</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luosai Zhang</a>, <a href="/search/econ?searchtype=author&query=Zhou%2C+S">Siyi Zhou</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2405.12804v2-abstract-short" style="display: inline;"> The impossibility theorem in Roth (1982) states that no stable mechanism satisfies strategy-proofness. This paper explores the Machiavellian frontier of stable mechanisms by weakening strategy-proofness. For a fixed mechanism $\varphi$ and a true preference profile $\succ$, a $(\varphi,\succ)$-boost mispresentation of agent i is a preference of i that is obtained by (i) raising the ranking of the… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2405.12804v2-abstract-full').style.display = 'inline'; document.getElementById('2405.12804v2-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2405.12804v2-abstract-full" style="display: none;"> The impossibility theorem in Roth (1982) states that no stable mechanism satisfies strategy-proofness. This paper explores the Machiavellian frontier of stable mechanisms by weakening strategy-proofness. For a fixed mechanism $\varphi$ and a true preference profile $\succ$, a $(\varphi,\succ)$-boost mispresentation of agent i is a preference of i that is obtained by (i) raising the ranking of the truth-telling assignment $\varphi_i(\succ)$, and (ii) keeping rankings unchanged above the new position of this truth-telling assignment. We require a matching mechanism $\varphi$ neither punish nor reward any such misrepresentation, and define such axiom as $\varphi$-boost-invariance. This is strictly weaker than requiring strategy-proofness. We show that no stable mechanism $\varphi$ satisfies $\varphi$-boost-invariance. Our negative result strengthens the Roth Impossibility Theorem. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2405.12804v2-abstract-full').style.display = 'none'; document.getElementById('2405.12804v2-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 12 July, 2024; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 21 May, 2024; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> May 2024. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2405.00953">arXiv:2405.00953</a> <span> [<a href="https://arxiv.org/pdf/2405.00953">pdf</a>, <a href="https://arxiv.org/format/2405.00953">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Econometrics">econ.EM</span> </div> </div> <p class="title is-5 mathjax"> Asymptotic Properties of the Distributional Synthetic Controls </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Lu Zhang</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+X">Xiaomeng Zhang</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+X">Xinyu Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2405.00953v2-abstract-short" style="display: inline;"> As an alternative to synthetic control, the distributional Synthetic Control (DSC) proposed by Gunsilius (2023) provides estimates for quantile treatment effect and thus enabling researchers to comprehensively understand the impact of interventions in causal inference. But the asymptotic properties of DSC have not been built. In this paper, we first establish the DSC estimator's asymptotic optimal… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2405.00953v2-abstract-full').style.display = 'inline'; document.getElementById('2405.00953v2-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2405.00953v2-abstract-full" style="display: none;"> As an alternative to synthetic control, the distributional Synthetic Control (DSC) proposed by Gunsilius (2023) provides estimates for quantile treatment effect and thus enabling researchers to comprehensively understand the impact of interventions in causal inference. But the asymptotic properties of DSC have not been built. In this paper, we first establish the DSC estimator's asymptotic optimality in the essence that the treatment effect estimator given by DSC achieves the lowest possible squared prediction error among all potential estimators from averaging quantiles of control units. We then establish the convergence rate of the DSC weights. A significant aspect of our research is that we find the DSC synthesis forms an optimal weighted average, particularly in situations where it is impractical to perfectly fit the treated unit's quantiles through the weighted average of the control units' quantiles. Simulation results verify our theoretical insights. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2405.00953v2-abstract-full').style.display = 'none'; document.getElementById('2405.00953v2-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 20 August, 2024; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 1 May, 2024; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> May 2024. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2405.00522">arXiv:2405.00522</a> <span> [<a href="https://arxiv.org/pdf/2405.00522">pdf</a>, <a href="https://arxiv.org/format/2405.00522">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computational Engineering, Finance, and Science">cs.CE</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computation and Language">cs.CL</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Cryptography and Security">cs.CR</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computational Finance">q-fin.CP</span> </div> </div> <p class="title is-5 mathjax"> DAM: A Universal Dual Attention Mechanism for Multimodal Timeseries Cryptocurrency Trend Forecasting </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Fu%2C+Y">Yihang Fu</a>, <a href="/search/econ?searchtype=author&query=Zhou%2C+M">Mingyu Zhou</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2405.00522v1-abstract-short" style="display: inline;"> In the distributed systems landscape, Blockchain has catalyzed the rise of cryptocurrencies, merging enhanced security and decentralization with significant investment opportunities. Despite their potential, current research on cryptocurrency trend forecasting often falls short by simplistically merging sentiment data without fully considering the nuanced interplay between financial market dynamic… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2405.00522v1-abstract-full').style.display = 'inline'; document.getElementById('2405.00522v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2405.00522v1-abstract-full" style="display: none;"> In the distributed systems landscape, Blockchain has catalyzed the rise of cryptocurrencies, merging enhanced security and decentralization with significant investment opportunities. Despite their potential, current research on cryptocurrency trend forecasting often falls short by simplistically merging sentiment data without fully considering the nuanced interplay between financial market dynamics and external sentiment influences. This paper presents a novel Dual Attention Mechanism (DAM) for forecasting cryptocurrency trends using multimodal time-series data. Our approach, which integrates critical cryptocurrency metrics with sentiment data from news and social media analyzed through CryptoBERT, addresses the inherent volatility and prediction challenges in cryptocurrency markets. By combining elements of distributed systems, natural language processing, and financial forecasting, our method outperforms conventional models like LSTM and Transformer by up to 20\% in prediction accuracy. This advancement deepens the understanding of distributed systems and has practical implications in financial markets, benefiting stakeholders in cryptocurrency and blockchain technologies. Moreover, our enhanced forecasting approach can significantly support decentralized science (DeSci) by facilitating strategic planning and the efficient adoption of blockchain technologies, improving operational efficiency and financial risk management in the rapidly evolving digital asset domain, thus ensuring optimal resource allocation. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2405.00522v1-abstract-full').style.display = 'none'; document.getElementById('2405.00522v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 1 May, 2024; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> May 2024. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2404.17227">arXiv:2404.17227</a> <span> [<a href="https://arxiv.org/pdf/2404.17227">pdf</a>, <a href="https://arxiv.org/format/2404.17227">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computational Engineering, Finance, and Science">cs.CE</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Cryptography and Security">cs.CR</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computers and Society">cs.CY</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Risk Management">q-fin.RM</span> </div> </div> <p class="title is-5 mathjax"> Trust Dynamics and Market Behavior in Cryptocurrency: A Comparative Study of Centralized and Decentralized Exchanges </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Wu%2C+X">Xintong Wu</a>, <a href="/search/econ?searchtype=author&query=Deng%2C+W">Wanling Deng</a>, <a href="/search/econ?searchtype=author&query=Quan%2C+Y">Yuotng Quan</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2404.17227v1-abstract-short" style="display: inline;"> In the evolving landscape of digital finance, the transition from centralized to decentralized trust mechanisms, primarily driven by blockchain technology, plays a critical role in shaping the cryptocurrency ecosystem. This paradigm shift raises questions about the traditional reliance on centralized trust and introduces a novel, decentralized trust framework built upon distributed networks. Our r… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2404.17227v1-abstract-full').style.display = 'inline'; document.getElementById('2404.17227v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2404.17227v1-abstract-full" style="display: none;"> In the evolving landscape of digital finance, the transition from centralized to decentralized trust mechanisms, primarily driven by blockchain technology, plays a critical role in shaping the cryptocurrency ecosystem. This paradigm shift raises questions about the traditional reliance on centralized trust and introduces a novel, decentralized trust framework built upon distributed networks. Our research delves into the consequences of this shift, particularly focusing on how incidents influence trust within cryptocurrency markets, thereby affecting trade behaviors in centralized (CEXs) and decentralized exchanges (DEXs). We conduct a comprehensive analysis of various events, assessing their effects on market dynamics, including token valuation and trading volumes in both CEXs and DEXs. Our findings highlight the pivotal role of trust in directing user preferences and the fluidity of trust transfer between centralized and decentralized platforms. Despite certain anomalies, the results largely align with our initial hypotheses, revealing the intricate nature of user trust in cryptocurrency markets. This study contributes significantly to interdisciplinary research, bridging distributed systems, behavioral finance, and Decentralized Finance (DeFi). It offers valuable insights for the distributed computing community, particularly in understanding and applying distributed trust mechanisms in digital economies, paving the way for future research that could further explore the socio-economic dimensions and leverage blockchain data in this dynamic domain. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2404.17227v1-abstract-full').style.display = 'none'; document.getElementById('2404.17227v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 26 April, 2024; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> April 2024. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2404.13768">arXiv:2404.13768</a> <span> [<a href="https://arxiv.org/pdf/2404.13768">pdf</a>, <a href="https://arxiv.org/format/2404.13768">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> </div> </div> <p class="title is-5 mathjax"> The Economics of Blockchain Governance: Evaluate Liquid Democracy on the Internet Computer </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Liu%2C+Y">Yulin Liu</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2404.13768v2-abstract-short" style="display: inline;"> Decentralized Autonomous Organizations (DAOs), utilizing blockchain technology to enable collective governance, are a promising innovation. This research addresses the ongoing query in blockchain governance: How can DAOs optimize human cooperation? Focusing on the Network Nervous System (NNS), a comprehensive on-chain governance framework underpinned by the Internet Computer Protocol (ICP) and liq… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2404.13768v2-abstract-full').style.display = 'inline'; document.getElementById('2404.13768v2-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2404.13768v2-abstract-full" style="display: none;"> Decentralized Autonomous Organizations (DAOs), utilizing blockchain technology to enable collective governance, are a promising innovation. This research addresses the ongoing query in blockchain governance: How can DAOs optimize human cooperation? Focusing on the Network Nervous System (NNS), a comprehensive on-chain governance framework underpinned by the Internet Computer Protocol (ICP) and liquid democracy principles, we employ theoretical abstraction and simulations to evaluate its potential impact on cooperation and economic growth within DAOs. Our findings emphasize the significance of the NNS's staking mechanism, particularly the reward multiplier, in aligning individual short-term interests with the DAO's long-term prosperity. This study contributes to the understanding and effective design of blockchain-based governance systems. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2404.13768v2-abstract-full').style.display = 'none'; document.getElementById('2404.13768v2-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 28 May, 2024; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 21 April, 2024; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> April 2024. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2403.14862">arXiv:2403.14862</a> <span> [<a href="https://arxiv.org/pdf/2403.14862">pdf</a>, <a href="https://arxiv.org/format/2403.14862">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> </div> </div> <p class="title is-5 mathjax"> The Power of Linear Programming in Sponsored Listings Ranking: Evidence from Field Experiments </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Lu%2C+H">Haihao Lu</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyang Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2403.14862v1-abstract-short" style="display: inline;"> Sponsored listing is one of the major revenue sources for many prominent online marketplaces, such as Amazon, Walmart, and Alibaba. When consumers visit a marketplace's webpage for a specific item, in addition to that item, the marketplace might also display a ranked listing of sponsored items from various third-party sellers. These sellers are charged an advertisement fee if a user purchases any… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2403.14862v1-abstract-full').style.display = 'inline'; document.getElementById('2403.14862v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2403.14862v1-abstract-full" style="display: none;"> Sponsored listing is one of the major revenue sources for many prominent online marketplaces, such as Amazon, Walmart, and Alibaba. When consumers visit a marketplace's webpage for a specific item, in addition to that item, the marketplace might also display a ranked listing of sponsored items from various third-party sellers. These sellers are charged an advertisement fee if a user purchases any of the sponsored items from this listing. Determining how to rank these sponsored items for each incoming visit is a crucial challenge for online marketplaces, a problem known as sponsored listings ranking (SLR). The major difficulty of SLR lies in balancing the trade-off between maximizing the overall revenue and recommending high-quality and relevant ranked listings. While a more relevant ranking may result in more purchases and consumer engagement, the marketplace also needs to take account of the potential revenue when making ranking decisions. Due to the latency requirement and historical reasons, many online marketplaces use score-based ranking algorithms for SLR optimization. Alternatively, recent research also discusses obtaining the ranking by solving linear programming (LP). In this paper, we collaborate with a leading online global marketplace and conduct a series of field experiments to compare the performance of the score-based ranking algorithms and the LP-based algorithms. The field experiment lasted for $19$ days, which included $329.3$ million visits in total. We observed that the LP-based approach improved all major metrics by $1.80\%$ of revenue, $1.55\%$ of purchase, and $1.39\%$ of the gross merchandise value (GMV), compared to an extremely-tuned score-based algorithm that was previously used in production by the marketplace. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2403.14862v1-abstract-full').style.display = 'none'; document.getElementById('2403.14862v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 21 March, 2024; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> March 2024. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2403.13738">arXiv:2403.13738</a> <span> [<a href="https://arxiv.org/pdf/2403.13738">pdf</a>, <a href="https://arxiv.org/format/2403.13738">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Econometrics">econ.EM</span> </div> </div> <p class="title is-5 mathjax"> Policy Relevant Treatment Effects with Multidimensional Unobserved Heterogeneity </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Ura%2C+T">Takuya Ura</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Lina Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2403.13738v1-abstract-short" style="display: inline;"> This paper provides a framework for the policy relevant treatment effects using instrumental variables. In the framework, a treatment selection may or may not satisfy the classical monotonicity condition and can accommodate multidimensional unobserved heterogeneity. We can bound the target parameter by extracting information from identifiable estimands. We also provide a more conservative yet comp… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2403.13738v1-abstract-full').style.display = 'inline'; document.getElementById('2403.13738v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2403.13738v1-abstract-full" style="display: none;"> This paper provides a framework for the policy relevant treatment effects using instrumental variables. In the framework, a treatment selection may or may not satisfy the classical monotonicity condition and can accommodate multidimensional unobserved heterogeneity. We can bound the target parameter by extracting information from identifiable estimands. We also provide a more conservative yet computationally simpler bound by applying a convex relaxation method. Linear shape restrictions can be easily incorporated to further improve the bounds. Numerical and simulation results illustrate the informativeness of our convex-relaxation bounds, i.e., that our bounds are sufficiently tight. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2403.13738v1-abstract-full').style.display = 'none'; document.getElementById('2403.13738v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 20 March, 2024; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> March 2024. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2403.13388">arXiv:2403.13388</a> <span> [<a href="https://arxiv.org/pdf/2403.13388">pdf</a>, <a href="https://arxiv.org/ps/2403.13388">ps</a>, <a href="https://arxiv.org/format/2403.13388">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> </div> </div> <p class="title is-5 mathjax"> Optimal VPPI strategy under Omega ratio with stochastic benchmark </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Guan%2C+G">Guohui Guan</a>, <a href="/search/econ?searchtype=author&query=He%2C+L">Lin He</a>, <a href="/search/econ?searchtype=author&query=Liang%2C+Z">Zongxia Liang</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Litian Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2403.13388v1-abstract-short" style="display: inline;"> This paper studies a variable proportion portfolio insurance (VPPI) strategy. The objective is to determine the risk multiplier by maximizing the extended Omega ratio of the investor's cushion, using a binary stochastic benchmark. When the stock index declines, investors aim to maintain the minimum guarantee. Conversely, when the stock index rises, investors seek to track some excess returns. The… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2403.13388v1-abstract-full').style.display = 'inline'; document.getElementById('2403.13388v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2403.13388v1-abstract-full" style="display: none;"> This paper studies a variable proportion portfolio insurance (VPPI) strategy. The objective is to determine the risk multiplier by maximizing the extended Omega ratio of the investor's cushion, using a binary stochastic benchmark. When the stock index declines, investors aim to maintain the minimum guarantee. Conversely, when the stock index rises, investors seek to track some excess returns. The optimization problem involves the combination of a non-concave objective function with a stochastic benchmark, which is effectively solved based on the stochastic version of concavification technique. We derive semi-analytical solutions for the optimal risk multiplier, and the value functions are categorized into three distinct cases. Intriguingly, the classification criteria are determined by the relationship between the optimal risky multiplier in Zieling et al. (2014 and the value of 1. Simulation results confirm the effectiveness of the VPPI strategy when applied to real market data calibrations. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2403.13388v1-abstract-full').style.display = 'none'; document.getElementById('2403.13388v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 20 March, 2024; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> March 2024. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2402.11170">arXiv:2402.11170</a> <span> [<a href="https://arxiv.org/pdf/2402.11170">pdf</a>, <a href="https://arxiv.org/format/2402.11170">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Cryptography and Security">cs.CR</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computers and Society">cs.CY</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Databases">cs.DB</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Distributed, Parallel, and Cluster Computing">cs.DC</span> </div> </div> <p class="title is-5 mathjax"> Analyzing Reward Dynamics and Decentralization in Ethereum 2.0: An Advanced Data Engineering Workflow and Comprehensive Datasets for Proof-of-Stake Incentives </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Yan%2C+T">Tao Yan</a>, <a href="/search/econ?searchtype=author&query=Li%2C+S">Shengnan Li</a>, <a href="/search/econ?searchtype=author&query=Kraner%2C+B">Benjamin Kraner</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a>, <a href="/search/econ?searchtype=author&query=Tessone%2C+C+J">Claudio J. Tessone</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2402.11170v1-abstract-short" style="display: inline;"> Ethereum 2.0, as the preeminent smart contract blockchain platform, guarantees the precise execution of applications without third-party intervention. At its core, this system leverages the Proof-of-Stake (PoS) consensus mechanism, which utilizes a stochastic process to select validators for block proposal and validation, consequently rewarding them for their contributions. However, the implementa… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2402.11170v1-abstract-full').style.display = 'inline'; document.getElementById('2402.11170v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2402.11170v1-abstract-full" style="display: none;"> Ethereum 2.0, as the preeminent smart contract blockchain platform, guarantees the precise execution of applications without third-party intervention. At its core, this system leverages the Proof-of-Stake (PoS) consensus mechanism, which utilizes a stochastic process to select validators for block proposal and validation, consequently rewarding them for their contributions. However, the implementation of blockchain technology often diverges from its central tenet of decentralized consensus, presenting significant analytical challenges. Our study collects consensus reward data from the Ethereum Beacon chain and conducts a comprehensive analysis of reward distribution and evolution, categorizing them into attestation, proposer and sync committee rewards. To evaluate the degree of decentralization in PoS Ethereum, we apply several inequality indices, including the Shannon entropy, the Gini Index, the Nakamoto Coefficient, and the Herfindahl-Hirschman Index (HHI). Our comprehensive dataset is publicly available on Harvard Dataverse, and our analytical methodologies are accessible via GitHub, promoting open-access research. Additionally, we provide insights on utilizing our data for future investigations focused on assessing, augmenting, and refining the decentralization, security, and efficiency of blockchain systems. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2402.11170v1-abstract-full').style.display = 'none'; document.getElementById('2402.11170v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 16 February, 2024; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> February 2024. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2312.02660">arXiv:2312.02660</a> <span> [<a href="https://arxiv.org/pdf/2312.02660">pdf</a>, <a href="https://arxiv.org/format/2312.02660">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computational Engineering, Finance, and Science">cs.CE</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Cryptography and Security">cs.CR</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computers and Society">cs.CY</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Applications">stat.AP</span> </div> </div> <p class="title is-5 mathjax"> A Dataset of Uniswap daily transaction indices by network </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Chemaya%2C+N">Nir Chemaya</a>, <a href="/search/econ?searchtype=author&query=Cong%2C+L+W">Lin William Cong</a>, <a href="/search/econ?searchtype=author&query=Jorgensen%2C+E">Emma Jorgensen</a>, <a href="/search/econ?searchtype=author&query=Liu%2C+D">Dingyue Liu</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2312.02660v2-abstract-short" style="display: inline;"> Decentralized Finance (DeFi) is reshaping traditional finance by enabling direct transactions without intermediaries, creating a rich source of open financial data. Layer 2 (L2) solutions are emerging to enhance the scalability and efficiency of the DeFi ecosystem, surpassing Layer 1 (L1) systems. However, the impact of L2 solutions is still underexplored, mainly due to the lack of comprehensive t… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2312.02660v2-abstract-full').style.display = 'inline'; document.getElementById('2312.02660v2-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2312.02660v2-abstract-full" style="display: none;"> Decentralized Finance (DeFi) is reshaping traditional finance by enabling direct transactions without intermediaries, creating a rich source of open financial data. Layer 2 (L2) solutions are emerging to enhance the scalability and efficiency of the DeFi ecosystem, surpassing Layer 1 (L1) systems. However, the impact of L2 solutions is still underexplored, mainly due to the lack of comprehensive transaction data indices for economic analysis. This study bridges that gap by analyzing over 50 million transactions from Uniswap, a major decentralized exchange, across both L1 and L2 networks. We created a set of daily indices from blockchain data on Ethereum, Optimism, Arbitrum, and Polygon, offering insights into DeFi adoption, scalability, decentralization, and wealth distribution. Additionally, we developed an open-source Python framework for calculating decentralization indices, making this dataset highly useful for advanced machine learning research. Our work provides valuable resources for data scientists and contributes to the growth of the intelligent Web3 ecosystem. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2312.02660v2-abstract-full').style.display = 'none'; document.getElementById('2312.02660v2-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 22 September, 2024; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 5 December, 2023; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> December 2023. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2311.14676">arXiv:2311.14676</a> <span> [<a href="https://arxiv.org/pdf/2311.14676">pdf</a>, <a href="https://arxiv.org/format/2311.14676">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Computers and Society">cs.CY</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Cryptography and Security">cs.CR</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Human-Computer Interaction">cs.HC</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Applications">stat.AP</span> </div> <div class="is-inline-block" style="margin-left: 0.5rem"> <div class="tags has-addons"> <span class="tag is-dark is-size-7">doi</span> <span class="tag is-light is-size-7"><a class="" href="https://doi.org/10.31219/osf.io/bq6tu">10.31219/osf.io/bq6tu <i class="fa fa-external-link" aria-hidden="true"></i></a></span> </div> </div> </div> <p class="title is-5 mathjax"> Decoding Social Sentiment in DAO: A Comparative Analysis of Blockchain Governance Communities </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Quan%2C+Y">Yutong Quan</a>, <a href="/search/econ?searchtype=author&query=Wu%2C+X">Xintong Wu</a>, <a href="/search/econ?searchtype=author&query=Deng%2C+W">Wanlin Deng</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2311.14676v3-abstract-short" style="display: inline;"> Blockchain technology is leading a revolutionary transformation across diverse industries, with effective governance being critical for the success and sustainability of blockchain projects. Community forums, pivotal in engaging decentralized autonomous organizations (DAOs), significantly impact blockchain governance decisions. Concurrently, Natural Language Processing (NLP), particularly sentimen… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2311.14676v3-abstract-full').style.display = 'inline'; document.getElementById('2311.14676v3-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2311.14676v3-abstract-full" style="display: none;"> Blockchain technology is leading a revolutionary transformation across diverse industries, with effective governance being critical for the success and sustainability of blockchain projects. Community forums, pivotal in engaging decentralized autonomous organizations (DAOs), significantly impact blockchain governance decisions. Concurrently, Natural Language Processing (NLP), particularly sentiment analysis, provides powerful insights from textual data. While prior research has explored the potential of NLP tools in social media sentiment analysis, there is a gap in understanding the sentiment landscape of blockchain governance communities. The evolving discourse and sentiment dynamics on the forums of top DAOs remain largely unknown. This paper delves deep into the evolving discourse and sentiment dynamics on the public forums of leading DeFi projects: Aave, Uniswap, Curve DAO, Yearn.finance, Merit Circle, and Balancer, focusing primarily on discussions related to governance issues. Our study shows that participants in decentralized communities generally express positive sentiments during Discord discussions. Furthermore, there is a potential interaction between discussion intensity and sentiment dynamics; higher discussion volume may contribute to a more stable sentiment from code analysis. The insights gained from this study are valuable for decision-makers in blockchain governance, underscoring the pivotal role of sentiment analysis in interpreting community emotions and its evolving impact on the landscape of blockchain governance. This research significantly contributes to the interdisciplinary exploration of the intersection of blockchain and society, specifically emphasizing the decentralized blockchain governance ecosystem. We provide our data and code for replicability as open access on GitHub. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2311.14676v3-abstract-full').style.display = 'none'; document.getElementById('2311.14676v3-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 25 May, 2024; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 31 October, 2023; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> November 2023. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2311.10990">arXiv:2311.10990</a> <span> [<a href="https://arxiv.org/pdf/2311.10990">pdf</a>, <a href="https://arxiv.org/format/2311.10990">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Computers and Society">cs.CY</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Cryptography and Security">cs.CR</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Trading and Market Microstructure">q-fin.TR</span> </div> <div class="is-inline-block" style="margin-left: 0.5rem"> <div class="tags has-addons"> <span class="tag is-dark is-size-7">doi</span> <span class="tag is-light is-size-7"><a class="" href="https://doi.org/10.31219/osf.io/evz4p">10.31219/osf.io/evz4p <i class="fa fa-external-link" aria-hidden="true"></i></a></span> </div> </div> </div> <p class="title is-5 mathjax"> "Centralized or Decentralized?": Concerns and Value Judgments of Stakeholders in the Non-Fungible Tokens (NFTs) Market </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Xiao%2C+Y">Yunpeng Xiao</a>, <a href="/search/econ?searchtype=author&query=Deng%2C+B">Bufan Deng</a>, <a href="/search/econ?searchtype=author&query=Chen%2C+S">Siqi Chen</a>, <a href="/search/econ?searchtype=author&query=Zhou%2C+K+Z">Kyrie Zhixuan Zhou</a>, <a href="/search/econ?searchtype=author&query=LC%2C+R">Ray LC</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a>, <a href="/search/econ?searchtype=author&query=Tong%2C+X">Xin Tong</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2311.10990v2-abstract-short" style="display: inline;"> Non-fungible tokens (NFTs) are decentralized digital tokens to represent the unique ownership of items. Recently, NFTs have been gaining popularity and at the same time bringing up issues, such as scams, racism, and sexism. Decentralization, a key attribute of NFT, contributes to some of the issues that are easier to regulate under centralized schemes, which are intentionally left out of the NFT m… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2311.10990v2-abstract-full').style.display = 'inline'; document.getElementById('2311.10990v2-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2311.10990v2-abstract-full" style="display: none;"> Non-fungible tokens (NFTs) are decentralized digital tokens to represent the unique ownership of items. Recently, NFTs have been gaining popularity and at the same time bringing up issues, such as scams, racism, and sexism. Decentralization, a key attribute of NFT, contributes to some of the issues that are easier to regulate under centralized schemes, which are intentionally left out of the NFT marketplace. In this work, we delved into this centralization-decentralization dilemma in the NFT space through mixed quantitative and qualitative methods. Centralization-decentralization dilemma is the dilemma caused by the conflict between the slogan of decentralization and the interests of stakeholders. We first analyzed over 30,000 NFT-related tweets to obtain a high-level understanding of stakeholders' concerns in the NFT space. We then interviewed 15 NFT stakeholders (both creators and collectors) to obtain their in-depth insights into these concerns and potential solutions. Our findings identify concerning issues among users: financial scams, counterfeit NFTs, hacking, and unethical NFTs. We further reflected on the centralization-decentralization dilemma drawing upon the perspectives of the stakeholders in the interviews. Finally, we gave some inferences to solve the centralization-decentralization dilemma in the NFT market and thought about the future of NFT and decentralization. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2311.10990v2-abstract-full').style.display = 'none'; document.getElementById('2311.10990v2-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 21 November, 2023; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 18 November, 2023; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> November 2023. </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">Comments:</span> <span class="has-text-grey-dark mathjax">Accepted by CSCW 2024</span> </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">ACM Class:</span> J.4; K.4.1 </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2309.10986">arXiv:2309.10986</a> <span> [<a href="https://arxiv.org/pdf/2309.10986">pdf</a>, <a href="https://arxiv.org/format/2309.10986">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Numerical Analysis">math.NA</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> </div> </div> <p class="title is-5 mathjax"> Research on the Impact of Executive Shareholding on New Investment in Enterprises Based on Multivariable Linear Regression Model </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Zhou%2C+S">Shanyi Zhou</a>, <a href="/search/econ?searchtype=author&query=Yan%2C+N">Ning Yan</a>, <a href="/search/econ?searchtype=author&query=Li%2C+Z">Zhijun Li</a>, <a href="/search/econ?searchtype=author&query=Geng%2C+M">Mo Geng</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+X">Xulong Zhang</a>, <a href="/search/econ?searchtype=author&query=Si%2C+H">Hongbiao Si</a>, <a href="/search/econ?searchtype=author&query=Tang%2C+L">Lihua Tang</a>, <a href="/search/econ?searchtype=author&query=Sun%2C+W">Wenyuan Sun</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Longda Zhang</a>, <a href="/search/econ?searchtype=author&query=Cao%2C+Y">Yi Cao</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2309.10986v1-abstract-short" style="display: inline;"> Based on principal-agent theory and optimal contract theory, companies use the method of increasing executives' shareholding to stimulate collaborative innovation. However, from the aspect of agency costs between management and shareholders (i.e. the first type) and between major shareholders and minority shareholders (i.e. the second type), the interests of management, shareholders and creditors… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2309.10986v1-abstract-full').style.display = 'inline'; document.getElementById('2309.10986v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2309.10986v1-abstract-full" style="display: none;"> Based on principal-agent theory and optimal contract theory, companies use the method of increasing executives' shareholding to stimulate collaborative innovation. However, from the aspect of agency costs between management and shareholders (i.e. the first type) and between major shareholders and minority shareholders (i.e. the second type), the interests of management, shareholders and creditors will be unbalanced with the change of the marginal utility of executive equity incentives.In order to establish the correlation between the proportion of shares held by executives and investments in corporate innovation, we have chosen a range of publicly listed companies within China's A-share market as the focus of our study. Employing a multi-variable linear regression model, we aim to analyze this relationship thoroughly.The following models were developed: (1) the impact model of executive shareholding on corporate innovation investment; (2) the impact model of executive shareholding on two types of agency costs; (3)The model is employed to examine the mediating influence of the two categories of agency costs. Following both correlation and regression analyses, the findings confirm a meaningful and positive correlation between executives' shareholding and the augmentation of corporate innovation investments. Additionally, the results indicate that executive shareholding contributes to the reduction of the first type of agency cost, thereby fostering corporate innovation investment. However, simultaneously, it leads to an escalation in the second type of agency cost, thus impeding corporate innovation investment. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2309.10986v1-abstract-full').style.display = 'none'; document.getElementById('2309.10986v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 19 September, 2023; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> September 2023. </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">Comments:</span> <span class="has-text-grey-dark mathjax">Accepted by the 7th APWeb-WAIM International Joint Conference on Web and Big Data. (APWeb 2023)</span> </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2309.08910">arXiv:2309.08910</a> <span> [<a href="https://arxiv.org/pdf/2309.08910">pdf</a>, <a href="https://arxiv.org/format/2309.08910">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Econometrics">econ.EM</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Applications">stat.AP</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Methodology">stat.ME</span> </div> </div> <p class="title is-5 mathjax"> Total-effect Test May Erroneously Reject So-called "Full" or "Complete" Mediation </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Han%2C+T">Tingxuan Han</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luxi Zhang</a>, <a href="/search/econ?searchtype=author&query=Zhao%2C+X">Xinshu Zhao</a>, <a href="/search/econ?searchtype=author&query=Deng%2C+K">Ke Deng</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2309.08910v2-abstract-short" style="display: inline;"> The procedure for establishing mediation, i.e., determining that an independent variable X affects a dependent variable Y through some mediator M, has been under debate. The classic causal steps require that a "total effect" be significant, now also known as statistically acknowledged. It has been shown that the total-effect test can erroneously reject competitive mediation and is superfluous for… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2309.08910v2-abstract-full').style.display = 'inline'; document.getElementById('2309.08910v2-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2309.08910v2-abstract-full" style="display: none;"> The procedure for establishing mediation, i.e., determining that an independent variable X affects a dependent variable Y through some mediator M, has been under debate. The classic causal steps require that a "total effect" be significant, now also known as statistically acknowledged. It has been shown that the total-effect test can erroneously reject competitive mediation and is superfluous for establishing complementary mediation. Little is known about the last type, indirect-only mediation, aka "full" or "complete" mediation, in which the indirect (ab) path passes the statistical partition test while the direct-and-remainder (d) path fails. This study 1) provides proof that the total-effect test can erroneously reject indirect-only mediation, including both sub-types, assuming least square estimation (LSE) F-test or Sobel test; 2) provides a simulation to duplicate the mathematical proofs and extend the conclusion to LAD-Z test; 3) provides two real-data examples, one for each sub-type, to illustrate the mathematical conclusion; 4) in view of the mathematical findings, proposes to revisit concepts, theories, and techniques of mediation analysis and other causal dissection analyses, and showcase a more comprehensive alternative, process-and-product analysis (PAPA). <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2309.08910v2-abstract-full').style.display = 'none'; document.getElementById('2309.08910v2-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 25 September, 2023; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 16 September, 2023; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> September 2023. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2308.00013">arXiv:2308.00013</a> <span> [<a href="https://arxiv.org/pdf/2308.00013">pdf</a>, <a href="https://arxiv.org/format/2308.00013">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Computational Engineering, Finance, and Science">cs.CE</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Cryptography and Security">cs.CR</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computational Finance">q-fin.CP</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Trading and Market Microstructure">q-fin.TR</span> </div> </div> <p class="title is-5 mathjax"> Bitcoin Gold, Litecoin Silver:An Introduction to Cryptocurrency's Valuation and Trading Strategy </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Yu%2C+H">Haoyang Yu</a>, <a href="/search/econ?searchtype=author&query=Sun%2C+Y">Yutong Sun</a>, <a href="/search/econ?searchtype=author&query=Liu%2C+Y">Yulin Liu</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2308.00013v1-abstract-short" style="display: inline;"> Historically, gold and silver have played distinct roles in traditional monetary systems. While gold has primarily been revered as a superior store of value, prompting individuals to hoard it, silver has commonly been used as a medium of exchange. As the financial world evolves, the emergence of cryptocurrencies has introduced a new paradigm of value and exchange. However, the store-of-value chara… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2308.00013v1-abstract-full').style.display = 'inline'; document.getElementById('2308.00013v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2308.00013v1-abstract-full" style="display: none;"> Historically, gold and silver have played distinct roles in traditional monetary systems. While gold has primarily been revered as a superior store of value, prompting individuals to hoard it, silver has commonly been used as a medium of exchange. As the financial world evolves, the emergence of cryptocurrencies has introduced a new paradigm of value and exchange. However, the store-of-value characteristic of these digital assets remains largely uncharted. Charlie Lee, the founder of Litecoin, once likened Bitcoin to gold and Litecoin to silver. To validate this analogy, our study employs several metrics, including unspent transaction outputs (UTXO), spent transaction outputs (STXO), Weighted Average Lifespan (WAL), CoinDaysDestroyed (CDD), and public on-chain transaction data. Furthermore, we've devised trading strategies centered around the Price-to-Utility (PU) ratio, offering a fresh perspective on crypto-asset valuation beyond traditional utilities. Our back-testing results not only display trading indicators for both Bitcoin and Litecoin but also substantiate Lee's metaphor, underscoring Bitcoin's superior store-of-value proposition relative to Litecoin. We anticipate that our findings will drive further exploration into the valuation of crypto assets. For enhanced transparency and to promote future research, we've made our datasets available on Harvard Dataverse and shared our Python code on GitHub as open source. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2308.00013v1-abstract-full').style.display = 'none'; document.getElementById('2308.00013v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 30 July, 2023; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> August 2023. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2305.02552">arXiv:2305.02552</a> <span> [<a href="https://arxiv.org/pdf/2305.02552">pdf</a>, <a href="https://arxiv.org/format/2305.02552">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computational Engineering, Finance, and Science">cs.CE</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Cryptography and Security">cs.CR</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Human-Computer Interaction">cs.HC</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Applications">stat.AP</span> </div> </div> <p class="title is-5 mathjax"> Understand Waiting Time in Transaction Fee Mechanism: An Interdisciplinary Perspective </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+F">Fan Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2305.02552v1-abstract-short" style="display: inline;"> Blockchain enables peer-to-peer transactions in cyberspace without a trusted third party. The rapid growth of Ethereum and smart contract blockchains generally calls for well-designed Transaction Fee Mechanisms (TFMs) to allocate limited storage and computation resources. However, existing research on TFMs must consider the waiting time for transactions, which is essential for computer security an… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2305.02552v1-abstract-full').style.display = 'inline'; document.getElementById('2305.02552v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2305.02552v1-abstract-full" style="display: none;"> Blockchain enables peer-to-peer transactions in cyberspace without a trusted third party. The rapid growth of Ethereum and smart contract blockchains generally calls for well-designed Transaction Fee Mechanisms (TFMs) to allocate limited storage and computation resources. However, existing research on TFMs must consider the waiting time for transactions, which is essential for computer security and economic efficiency. Integrating data from the Ethereum blockchain and memory pool (mempool), we explore how two types of events affect transaction latency. First, we apply regression discontinuity design (RDD) to study the causal inference of the Merge, the most recent significant upgrade of Ethereum. Our results show that the Merge significantly reduces the long waiting time, network loads, and market congestion. In addition, we verify our results' robustness by inspecting other compounding factors, such as censorship and unobserved delays of transactions via private changes. Second, examining three major protocol changes during the merge, we identify block interval shortening as the most plausible cause for our empirical results. Furthermore, in a mathematical model, we show block interval as a unique mechanism design choice for EIP1559 TFM to achieve better security and efficiency, generally applicable to the market congestion caused by demand surges. Finally, we apply time series analysis to research the interaction of Non-Fungible token (NFT) drops and market congestion using Facebook Prophet, an open-source algorithm for generating time-series models. Our study identified NFT drops as a unique source of market congestion -- holiday effects -- beyond trend and season effects. Finally, we envision three future research directions of TFM. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2305.02552v1-abstract-full').style.display = 'none'; document.getElementById('2305.02552v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 4 May, 2023; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> May 2023. </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">ACM Class:</span> J.4 </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2301.10541">arXiv:2301.10541</a> <span> [<a href="https://arxiv.org/pdf/2301.10541">pdf</a>, <a href="https://arxiv.org/format/2301.10541">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Cryptography and Security">cs.CR</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computational Finance">q-fin.CP</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="General Finance">q-fin.GN</span> </div> </div> <p class="title is-5 mathjax"> Educational Game on Cryptocurrency Investment: Using Microeconomic Decision Making to Understand Macroeconomics Principles </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Zhu%2C+J">Jiasheng Zhu</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2301.10541v3-abstract-short" style="display: inline;"> Gamification is an effective strategy for motivating and engaging users, which is grounded in business, marketing, and management by designing games in nongame contexts. Gamifying education, which consists of the design and study of educational games, is an emerging trend. However, the existing classroom games for understanding macroeconomics have weak connections to the microfoundations of indivi… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2301.10541v3-abstract-full').style.display = 'inline'; document.getElementById('2301.10541v3-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2301.10541v3-abstract-full" style="display: none;"> Gamification is an effective strategy for motivating and engaging users, which is grounded in business, marketing, and management by designing games in nongame contexts. Gamifying education, which consists of the design and study of educational games, is an emerging trend. However, the existing classroom games for understanding macroeconomics have weak connections to the microfoundations of individual decision-making. We design an educational game on cryptocurrency investment for understanding macroeconomic concepts in microeconomic decisions. We contribute to the literature by designing game-based learning that engages students in understanding macroeconomics in incentivized individual investment decisions. Our game can be widely implemented in online, in-person, and hybrid classrooms. We also reflect on strategies for improving the user experience for future educational game implementations. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2301.10541v3-abstract-full').style.display = 'none'; document.getElementById('2301.10541v3-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 9 February, 2023; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 25 January, 2023; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> January 2023. </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">ACM Class:</span> J.4; K.3.1; K.3.2; H.5.2 </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2301.07060">arXiv:2301.07060</a> <span> [<a href="https://arxiv.org/pdf/2301.07060">pdf</a>, <a href="https://arxiv.org/format/2301.07060">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Machine Learning">cs.LG</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Artificial Intelligence">cs.AI</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computers and Society">cs.CY</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computational Finance">q-fin.CP</span> </div> </div> <p class="title is-5 mathjax"> Monotonicity for AI ethics and society: An empirical study of the monotonic neural additive model in criminology, education, health care, and finance </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Chen%2C+D">Dangxing Chen</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2301.07060v1-abstract-short" style="display: inline;"> Algorithm fairness in the application of artificial intelligence (AI) is essential for a better society. As the foundational axiom of social mechanisms, fairness consists of multiple facets. Although the machine learning (ML) community has focused on intersectionality as a matter of statistical parity, especially in discrimination issues, an emerging body of literature addresses another facet -- m… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2301.07060v1-abstract-full').style.display = 'inline'; document.getElementById('2301.07060v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2301.07060v1-abstract-full" style="display: none;"> Algorithm fairness in the application of artificial intelligence (AI) is essential for a better society. As the foundational axiom of social mechanisms, fairness consists of multiple facets. Although the machine learning (ML) community has focused on intersectionality as a matter of statistical parity, especially in discrimination issues, an emerging body of literature addresses another facet -- monotonicity. Based on domain expertise, monotonicity plays a vital role in numerous fairness-related areas, where violations could misguide human decisions and lead to disastrous consequences. In this paper, we first systematically evaluate the significance of applying monotonic neural additive models (MNAMs), which use a fairness-aware ML algorithm to enforce both individual and pairwise monotonicity principles, for the fairness of AI ethics and society. We have found, through a hybrid method of theoretical reasoning, simulation, and extensive empirical analysis, that considering monotonicity axioms is essential in all areas of fairness, including criminology, education, health care, and finance. Our research contributes to the interdisciplinary research at the interface of AI ethics, explainable AI (XAI), and human-computer interactions (HCIs). By evidencing the catastrophic consequences if monotonicity is not met, we address the significance of monotonicity requirements in AI applications. Furthermore, we demonstrate that MNAMs are an effective fairness-aware ML approach by imposing monotonicity restrictions integrating human intelligence. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2301.07060v1-abstract-full').style.display = 'none'; document.getElementById('2301.07060v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 17 January, 2023; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> January 2023. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2212.05632">arXiv:2212.05632</a> <span> [<a href="https://arxiv.org/pdf/2212.05632">pdf</a>, <a href="https://arxiv.org/format/2212.05632">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Cryptography and Security">cs.CR</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Social and Information Networks">cs.SI</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Trading and Market Microstructure">q-fin.TR</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computation">stat.CO</span> </div> </div> <p class="title is-5 mathjax"> Blockchain Network Analysis: A Comparative Study of Decentralized Banks </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Zhang%2C+Y">Yufan Zhang</a>, <a href="/search/econ?searchtype=author&query=Chen%2C+Z">Zichao Chen</a>, <a href="/search/econ?searchtype=author&query=Sun%2C+Y">Yutong Sun</a>, <a href="/search/econ?searchtype=author&query=Liu%2C+Y">Yulin Liu</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2212.05632v5-abstract-short" style="display: inline;"> Decentralized finance (DeFi) is known for its unique mechanism design, which applies smart contracts to facilitate peer-to-peer transactions. The decentralized bank is a typical DeFi application. Ideally, a decentralized bank should be decentralized in the transaction. However, many recent studies have found that decentralized banks have not achieved a significant degree of decentralization. This… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2212.05632v5-abstract-full').style.display = 'inline'; document.getElementById('2212.05632v5-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2212.05632v5-abstract-full" style="display: none;"> Decentralized finance (DeFi) is known for its unique mechanism design, which applies smart contracts to facilitate peer-to-peer transactions. The decentralized bank is a typical DeFi application. Ideally, a decentralized bank should be decentralized in the transaction. However, many recent studies have found that decentralized banks have not achieved a significant degree of decentralization. This research conducts a comparative study among mainstream decentralized banks. We apply core-periphery network features analysis using the transaction data from four decentralized banks, Liquity, Aave, MakerDao, and Compound. We extract six features and compare the banks' levels of decentralization cross-sectionally. According to the analysis results, we find that: 1) MakerDao and Compound are more decentralized in the transactions than Aave and Liquity. 2) Although decentralized banking transactions are supposed to be decentralized, the data show that four banks have primary external transaction core addresses such as Huobi, Coinbase, and Binance, etc. We also discuss four design features that might affect network decentralization. Our research contributes to the literature at the interface of decentralized finance, financial technology (Fintech), and social network analysis and inspires future protocol designs to live up to the promise of decentralized finance for a truly peer-to-peer transaction network. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2212.05632v5-abstract-full').style.display = 'none'; document.getElementById('2212.05632v5-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 8 July, 2023; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 11 December, 2022; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> December 2022. </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">MSC Class:</span> 91D30; 91-11; <span class="has-text-black-bis has-text-weight-semibold">ACM Class:</span> J.4; C.2; K.4 </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2212.05357">arXiv:2212.05357</a> <span> [<a href="https://arxiv.org/pdf/2212.05357">pdf</a>, <a href="https://arxiv.org/format/2212.05357">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Cryptography and Security">cs.CR</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computers and Society">cs.CY</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computer Science and Game Theory">cs.GT</span> </div> </div> <p class="title is-5 mathjax"> On Blockchain We Cooperate: An Evolutionary Game Perspective </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a>, <a href="/search/econ?searchtype=author&query=Tian%2C+X">Xinyu Tian</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2212.05357v3-abstract-short" style="display: inline;"> Cooperation is fundamental for human prosperity. Blockchain, as a trust machine, is a cooperative institution in cyberspace that supports cooperation through distributed trust with consensus protocols. While studies in computer science focus on fault tolerance problems with consensus algorithms, economic research utilizes incentive designs to analyze agent behaviors. To achieve cooperation on bloc… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2212.05357v3-abstract-full').style.display = 'inline'; document.getElementById('2212.05357v3-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2212.05357v3-abstract-full" style="display: none;"> Cooperation is fundamental for human prosperity. Blockchain, as a trust machine, is a cooperative institution in cyberspace that supports cooperation through distributed trust with consensus protocols. While studies in computer science focus on fault tolerance problems with consensus algorithms, economic research utilizes incentive designs to analyze agent behaviors. To achieve cooperation on blockchains, emerging interdisciplinary research introduces rationality and game-theoretical solution concepts to study the equilibrium outcomes of various consensus protocols. However, existing studies do not consider the possibility for agents to learn from historical observations. Therefore, we abstract a general consensus protocol as a dynamic game environment, apply a solution concept of bounded rationality to model agent behavior, and resolve the initial conditions for three different stable equilibria. In our game, agents imitatively learn the global history in an evolutionary process toward equilibria, for which we evaluate the outcomes from both computing and economic perspectives in terms of safety, liveness, validity, and social welfare. Our research contributes to the literature across disciplines, including distributed consensus in computer science, game theory in economics on blockchain consensus, evolutionary game theory at the intersection of biology and economics, bounded rationality at the interplay between psychology and economics, and cooperative AI with joint insights into computing and social science. Finally, we discuss that future protocol design can better achieve the most desired outcomes of our honest stable equilibria by increasing the reward-punishment ratio and lowering both the cost-punishment ratio and the pivotality rate. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2212.05357v3-abstract-full').style.display = 'none'; document.getElementById('2212.05357v3-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 19 January, 2023; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 10 December, 2022; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> December 2022. </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">MSC Class:</span> 91A80 <span class="has-text-black-bis has-text-weight-semibold">ACM Class:</span> J.4; I.6.3; H.4.3; D.4.6; C.2.4 </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2211.04558">arXiv:2211.04558</a> <span> [<a href="https://arxiv.org/pdf/2211.04558">pdf</a>, <a href="https://arxiv.org/format/2211.04558">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Econometrics">econ.EM</span> </div> </div> <p class="title is-5 mathjax"> Crises Do Not Cause Lower Short-Term Growth </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Hou%2C+K">Kaiwen Hou</a>, <a href="/search/econ?searchtype=author&query=Hou%2C+D">David Hou</a>, <a href="/search/econ?searchtype=author&query=Ouyang%2C+Y">Yang Ouyang</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Lulu Zhang</a>, <a href="/search/econ?searchtype=author&query=Liu%2C+A">Aster Liu</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2211.04558v3-abstract-short" style="display: inline;"> It is commonly believed that financial crises "lead to" lower growth of a country during the two-year recession period, which can be reflected by their post-crisis GDP growth. However, by contrasting a causal model with a standard prediction model, this paper argues that such a belief is non-causal. To make causal inferences, we design a two-stage staggered difference-in-differences model to estim… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2211.04558v3-abstract-full').style.display = 'inline'; document.getElementById('2211.04558v3-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2211.04558v3-abstract-full" style="display: none;"> It is commonly believed that financial crises "lead to" lower growth of a country during the two-year recession period, which can be reflected by their post-crisis GDP growth. However, by contrasting a causal model with a standard prediction model, this paper argues that such a belief is non-causal. To make causal inferences, we design a two-stage staggered difference-in-differences model to estimate the average treatment effects. Interpreting the residuals as the contribution of each crisis to the treatment effects, we astonishingly conclude that cross-sectional crises are often limited to providing relevant causal information to policymakers. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2211.04558v3-abstract-full').style.display = 'none'; document.getElementById('2211.04558v3-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 11 November, 2022; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 8 November, 2022; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> November 2022. </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">Comments:</span> <span class="has-text-grey-dark mathjax">12 pages, 3 figures, 5 regressions, 1 conclusion</span> </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2207.03672">arXiv:2207.03672</a> <span> [<a href="https://arxiv.org/pdf/2207.03672">pdf</a>, <a href="https://arxiv.org/format/2207.03672">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> </div> </div> <p class="title is-5 mathjax"> The Future of Traditional Fuel Vehicles (TFV) and New Energy Vehicles (NEV): Creative Destruction or Co-existence? </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Huang%2C+Z">Zhaojia Huang</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Liang Zhang</a>, <a href="/search/econ?searchtype=author&query=Zhi%2C+T">Tianhao Zhi</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2207.03672v1-abstract-short" style="display: inline;"> There is a rapid development and commercialization of new Energy Vehicles (NEV) in recent years. Although traditional fuel vehicles (TFV) still occupy a majority share of the market, it is generally believed that NEV is more efficient, more environmental friendly, and has a greater potential of a Schumpeterian "creative destruction" that may lead to a paradigm shift in auto production and consumpt… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2207.03672v1-abstract-full').style.display = 'inline'; document.getElementById('2207.03672v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2207.03672v1-abstract-full" style="display: none;"> There is a rapid development and commercialization of new Energy Vehicles (NEV) in recent years. Although traditional fuel vehicles (TFV) still occupy a majority share of the market, it is generally believed that NEV is more efficient, more environmental friendly, and has a greater potential of a Schumpeterian "creative destruction" that may lead to a paradigm shift in auto production and consumption. However, less is discussed regarding the potential environmental impact of NEV production and future uncertainty in R&D bottleneck of NEV technology and innovation. This paper aims to propose a modelling framework based on Lux (1995) that investigates the long-term dynamics of TFV and NEV, along with their associated environmental externality. We argue that environmental and technological policies will play a critical role in determining its future development. It is of vital importance to constantly monitor the potential environmental impact of both sectors and support the R&D of critical NEV technology, as well as curbing its negative externality in a preemptive manner. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2207.03672v1-abstract-full').style.display = 'none'; document.getElementById('2207.03672v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 7 July, 2022; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> July 2022. </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">Comments:</span> <span class="has-text-grey-dark mathjax">24 pages, 9 figures, paper accepted for the 19th International Schumpeter Society (ISS) conference, 8-10 July, 2022</span> </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2206.14932">arXiv:2206.14932</a> <span> [<a href="https://arxiv.org/pdf/2206.14932">pdf</a>, <a href="https://arxiv.org/format/2206.14932">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Human-Computer Interaction">cs.HC</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computational Finance">q-fin.CP</span> </div> </div> <p class="title is-5 mathjax"> A Data Science Pipeline for Algorithmic Trading: A Comparative Study of Applications for Finance and Cryptoeconomics </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a>, <a href="/search/econ?searchtype=author&query=Wu%2C+T">Tianyu Wu</a>, <a href="/search/econ?searchtype=author&query=Lahrichi%2C+S">Saad Lahrichi</a>, <a href="/search/econ?searchtype=author&query=Salas-Flores%2C+C">Carlos-Gustavo Salas-Flores</a>, <a href="/search/econ?searchtype=author&query=Li%2C+J">Jiayi Li</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2206.14932v1-abstract-short" style="display: inline;"> Recent advances in Artificial Intelligence (AI) have made algorithmic trading play a central role in finance. However, current research and applications are disconnected information islands. We propose a generally applicable pipeline for designing, programming, and evaluating the algorithmic trading of stock and crypto assets. Moreover, we demonstrate how our data science pipeline works with respe… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2206.14932v1-abstract-full').style.display = 'inline'; document.getElementById('2206.14932v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2206.14932v1-abstract-full" style="display: none;"> Recent advances in Artificial Intelligence (AI) have made algorithmic trading play a central role in finance. However, current research and applications are disconnected information islands. We propose a generally applicable pipeline for designing, programming, and evaluating the algorithmic trading of stock and crypto assets. Moreover, we demonstrate how our data science pipeline works with respect to four conventional algorithms: the moving average crossover, volume-weighted average price, sentiment analysis, and statistical arbitrage algorithms. Our study offers a systematic way to program, evaluate, and compare different trading strategies. Furthermore, we implement our algorithms through object-oriented programming in Python3, which serves as open-source software for future academic research and applications. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2206.14932v1-abstract-full').style.display = 'none'; document.getElementById('2206.14932v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 29 June, 2022; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> June 2022. </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">Comments:</span> <span class="has-text-grey-dark mathjax">Accepted at: The First International Symposium on Recent Advances of Blockchain Evolution: Architecture, Intelligence, Incentive, and Applications</span> </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2206.08401">arXiv:2206.08401</a> <span> [<a href="https://arxiv.org/pdf/2206.08401">pdf</a>, <a href="https://arxiv.org/format/2206.08401">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Cryptography and Security">cs.CR</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Statistical Finance">q-fin.ST</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computation">stat.CO</span> </div> </div> <p class="title is-5 mathjax"> Is decentralized finance actually decentralized? A social network analysis of the Aave protocol on the Ethereum blockchain </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Ao%2C+Z">Ziqiao Ao</a>, <a href="/search/econ?searchtype=author&query=Cong%2C+L+W">Lin William Cong</a>, <a href="/search/econ?searchtype=author&query=Horvath%2C+G">Gergely Horvath</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2206.08401v4-abstract-short" style="display: inline;"> Decentralized finance (DeFi) has the potential to disrupt centralized finance by validating peer-to-peer transactions through tamper-proof smart contracts, thus significantly lowering the transaction cost charged by financial intermediaries. However, the actual realization of peer-to-peer transactions and the levels and effects of decentralization are largely unknown. Our research pioneers a block… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2206.08401v4-abstract-full').style.display = 'inline'; document.getElementById('2206.08401v4-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2206.08401v4-abstract-full" style="display: none;"> Decentralized finance (DeFi) has the potential to disrupt centralized finance by validating peer-to-peer transactions through tamper-proof smart contracts, thus significantly lowering the transaction cost charged by financial intermediaries. However, the actual realization of peer-to-peer transactions and the levels and effects of decentralization are largely unknown. Our research pioneers a blockchain network study that applies social network analysis to measure the level, dynamics, and impacts of decentralization in DeFi token transactions on the Ethereum blockchain. First, we find a significant core-periphery structure in the AAVE token transaction network where the cores include the two largest centralized crypto exchanges. Second, we provide evidence that multiple network features consistently characterize decentralization dynamics. Finally, we document that a more decentralized network significantly predicts a higher return and lower volatility of the decentralized market of AAVE tokens on the Ethereum blockchain. We point out that our approach is seminal for inspiring future extensions related to the facets of application scenarios, research questions, and methodologies on the mechanics of blockchain decentralization. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2206.08401v4-abstract-full').style.display = 'none'; document.getElementById('2206.08401v4-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 30 November, 2023; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 16 June, 2022; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> June 2022. </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">Comments:</span> <span class="has-text-grey-dark mathjax">Accepted at 29th Annual Global Finance Conference featuring Professor Robert Engle, The 2003 Nobel Laureate in Economic Sciences</span> </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">ACM Class:</span> E.0; G.1; G.3; I.6; J.4; J.6 </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2205.04256">arXiv:2205.04256</a> <span> [<a href="https://arxiv.org/pdf/2205.04256">pdf</a>, <a href="https://arxiv.org/format/2205.04256">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Cryptography and Security">cs.CR</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Databases">cs.DB</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Social and Information Networks">cs.SI</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Statistical Finance">q-fin.ST</span> </div> </div> <p class="title is-5 mathjax"> SoK: Blockchain Decentralization </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a>, <a href="/search/econ?searchtype=author&query=Ma%2C+X">Xinshi Ma</a>, <a href="/search/econ?searchtype=author&query=Liu%2C+Y">Yulin Liu</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2205.04256v6-abstract-short" style="display: inline;"> Blockchain introduces decentralized trust in peer-to-peer networks, advancing security and democratizing systems. Yet, a unified definition for decentralization remains elusive. Our Systematization of Knowledge (SoK) seeks to bridge this gap, emphasizing quantification and methodological coherence. We've formulated a taxonomy defining blockchain decentralization across five facets: consensus, netw… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2205.04256v6-abstract-full').style.display = 'inline'; document.getElementById('2205.04256v6-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2205.04256v6-abstract-full" style="display: none;"> Blockchain introduces decentralized trust in peer-to-peer networks, advancing security and democratizing systems. Yet, a unified definition for decentralization remains elusive. Our Systematization of Knowledge (SoK) seeks to bridge this gap, emphasizing quantification and methodological coherence. We've formulated a taxonomy defining blockchain decentralization across five facets: consensus, network, governance, wealth, and transaction. Despite the prevalent focus on consensus decentralization, our novel index, based on Shannon entropy, provides comprehensive insights. Moreover, we delve into alternative metrics like the Gini and Nakamoto Coefficients and the Herfindahl-Hirschman Index (HHI), supplemented by an open-source Python tool on GitHub. In terms of methodology, blockchain research has often bypassed stringent scientific methods. By employing descriptive, predictive, and causal methods, our study showcases the potential of structured research in blockchain. Descriptively, we observe a trend of converging decentralization levels over time. Examining DeFi platforms reveals exchange and lending applications as more decentralized than their payment and derivatives counterparts. Predictively, there's a notable correlation between Ether's returns and transaction decentralization in Ether-backed stablecoins. Causally, Ethereum's transition to the EIP-1559 transaction fee model has a profound impact on DeFi transaction decentralization. To conclude, our work outlines directions for blockchain research, emphasizing the delicate balance among decentralization facets, fostering long-term decentralization, and the ties between decentralization, security, privacy, and efficiency. We end by spotlighting challenges in grasping blockchain decentralization intricacies. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2205.04256v6-abstract-full').style.display = 'none'; document.getElementById('2205.04256v6-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 4 August, 2023; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 9 May, 2022; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> May 2022. </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">ACM Class:</span> E.0; G.1; G.3; I.6; J.4; J.6 </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2205.03393">arXiv:2205.03393</a> <span> [<a href="https://arxiv.org/pdf/2205.03393">pdf</a>, <a href="https://arxiv.org/format/2205.03393">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Human-Computer Interaction">cs.HC</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computational Finance">q-fin.CP</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Applications">stat.AP</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computation">stat.CO</span> </div> </div> <p class="title is-5 mathjax"> The Right Tool for the Job: Matching Active Learning Techniques to Learning Objectives </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Jacobson%2C+S+A">Sarah A. Jacobson</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a>, <a href="/search/econ?searchtype=author&query=Zhu%2C+J">Jiasheng Zhu</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2205.03393v2-abstract-short" style="display: inline;"> Active learning comprises many varied techniques that engage students actively in the construction of their understanding. Because of this variation, different active learning techniques may be best suited to achieving different learning objectives. We study students' perceptions of a set of active learning techniques (including a Python simulation and an interactive game) and some traditional tec… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2205.03393v2-abstract-full').style.display = 'inline'; document.getElementById('2205.03393v2-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2205.03393v2-abstract-full" style="display: none;"> Active learning comprises many varied techniques that engage students actively in the construction of their understanding. Because of this variation, different active learning techniques may be best suited to achieving different learning objectives. We study students' perceptions of a set of active learning techniques (including a Python simulation and an interactive game) and some traditional techniques (like lecture). We find that students felt they engaged fairly actively with all of the techniques, though more with those with a heavy grade weight and some of the active learning techniques, and they reported enjoying the active learning techniques the most except for an assignment that required soliciting peer advice on a research idea. All of the techniques were rated as relatively effective for achieving each of six learning objectives, but to varying extents. The most traditional techniques like exams were rated highest for achieving an objective associated with lower order cognitive skills, remembering concepts. In contrast, some active learning techniques like class presentations and the Python simulation were rated highest for achieving objectives related to higher order cognitive skills, including learning to conduct research, though lectures also performed surprisingly well for these objectives. Other technique-objective matches are intuitive; for example, the debate is rated highly for understanding pros and cons of an issue, and small group discussion is rated highly for collaborative learning. Our results support the idea that different teaching techniques are best suited for different outcomes, which implies that a mix of techniques may be optimal in course design. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2205.03393v2-abstract-full').style.display = 'none'; document.getElementById('2205.03393v2-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 12 July, 2022; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 6 May, 2022; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> May 2022. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2202.12292">arXiv:2202.12292</a> <span> [<a href="https://arxiv.org/pdf/2202.12292">pdf</a>, <a href="https://arxiv.org/format/2202.12292">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computer Science and Game Theory">cs.GT</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Applications">stat.AP</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computation">stat.CO</span> </div> <div class="is-inline-block" style="margin-left: 0.5rem"> <div class="tags has-addons"> <span class="tag is-dark is-size-7">doi</span> <span class="tag is-light is-size-7"><a class="" href="https://doi.org/10.1162/rest_a_00990">10.1162/rest_a_00990 <i class="fa fa-external-link" aria-hidden="true"></i></a></span> </div> </div> </div> <p class="title is-5 mathjax"> Bridging Level-K to Nash Equilibrium </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Levin%2C+D">Dan Levin</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2202.12292v2-abstract-short" style="display: inline;"> We introduce NLK, a model that connects the Nash equilibrium (NE) and Level-K. It allows a player in a game to believe that her opponent may be either less or as sophisticated as, she is, a view supported in psychology. We apply NLK to data from five published papers on static, dynamic, and auction games. NLK provides different predictions than those of the NE and Level-K; moreover, a simple versi… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2202.12292v2-abstract-full').style.display = 'inline'; document.getElementById('2202.12292v2-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2202.12292v2-abstract-full" style="display: none;"> We introduce NLK, a model that connects the Nash equilibrium (NE) and Level-K. It allows a player in a game to believe that her opponent may be either less or as sophisticated as, she is, a view supported in psychology. We apply NLK to data from five published papers on static, dynamic, and auction games. NLK provides different predictions than those of the NE and Level-K; moreover, a simple version of NLK explains the experimental data better in many cases, with the same or lower number of parameters. We discuss extensions to games with more than two players and heterogeneous beliefs. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2202.12292v2-abstract-full').style.display = 'none'; document.getElementById('2202.12292v2-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 25 February, 2022; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 24 February, 2022; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> February 2022. </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">Comments:</span> <span class="has-text-grey-dark mathjax">Keywords: Nash equilibrium, Level-K, Bayesian Nash Equilibrium, Sub-game Perfect Bayesian Nash Equilibrium, Bounded rationality, psychology, behavioral economics, false consensus effects, centipede Game, the 11-20 money request game, Common Value Auction, experienced and inexperienced bidders, learning in games, equilibrium solution concepts, strategic thinking, chess players</span> </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">ACM Class:</span> J.4 </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2201.12893">arXiv:2201.12893</a> <span> [<a href="https://arxiv.org/pdf/2201.12893">pdf</a>, <a href="https://arxiv.org/format/2201.12893">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Artificial Intelligence">cs.AI</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Cryptography and Security">cs.CR</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computational Finance">q-fin.CP</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Machine Learning">stat.ML</span> </div> <div class="is-inline-block" style="margin-left: 0.5rem"> <div class="tags has-addons"> <span class="tag is-dark is-size-7">doi</span> <span class="tag is-light is-size-7"><a class="" href="https://doi.org/10.2139/ssrn.3657986">10.2139/ssrn.3657986 <i class="fa fa-external-link" aria-hidden="true"></i></a></span> </div> </div> </div> <p class="title is-5 mathjax"> Cryptocurrency Valuation: An Explainable AI Approach </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Liu%2C+Y">Yulin Liu</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2201.12893v8-abstract-short" style="display: inline;"> Currently, there are no convincing proxies for the fundamentals of cryptocurrency assets. We propose a new market-to-fundamental ratio, the price-to-utility (PU) ratio, utilizing unique blockchain accounting methods. We then proxy various existing fundamental-to-market ratios by Bitcoin historical data and find they have little predictive power for short-term bitcoin returns. However, PU ratio eff… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2201.12893v8-abstract-full').style.display = 'inline'; document.getElementById('2201.12893v8-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2201.12893v8-abstract-full" style="display: none;"> Currently, there are no convincing proxies for the fundamentals of cryptocurrency assets. We propose a new market-to-fundamental ratio, the price-to-utility (PU) ratio, utilizing unique blockchain accounting methods. We then proxy various existing fundamental-to-market ratios by Bitcoin historical data and find they have little predictive power for short-term bitcoin returns. However, PU ratio effectively predicts long-term bitcoin returns than alternative methods. Furthermore, we verify the explainability of PU ratio using machine learning. Finally, we present an automated trading strategy advised by the PU ratio that outperforms the conventional buy-and-hold and market-timing strategies. Our research contributes to explainable AI in finance from three facets: First, our market-to-fundamental ratio is based on classic monetary theory and the unique UTXO model of Bitcoin accounting rather than ad hoc; Second, the empirical evidence testifies the buy-low and sell-high implications of the ratio; Finally, we distribute the trading algorithms as open-source software via Python Package Index for future research, which is exceptional in finance research. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2201.12893v8-abstract-full').style.display = 'none'; document.getElementById('2201.12893v8-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 8 July, 2023; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 30 January, 2022; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> January 2022. </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">ACM Class:</span> J.4; I.2; G.4 </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2201.05574">arXiv:2201.05574</a> <span> [<a href="https://arxiv.org/pdf/2201.05574">pdf</a>, <a href="https://arxiv.org/format/2201.05574">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Cryptography and Security">cs.CR</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Distributed, Parallel, and Cluster Computing">cs.DC</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computer Science and Game Theory">cs.GT</span> </div> <div class="is-inline-block" style="margin-left: 0.5rem"> <div class="tags has-addons"> <span class="tag is-dark is-size-7">doi</span> <span class="tag is-light is-size-7"><a class="" href="https://doi.org/10.1145/3548606.3559341">10.1145/3548606.3559341 <i class="fa fa-external-link" aria-hidden="true"></i></a></span> </div> </div> </div> <p class="title is-5 mathjax"> Empirical Analysis of EIP-1559: Transaction Fees, Waiting Time, and Consensus Security </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Liu%2C+Y">Yulin Liu</a>, <a href="/search/econ?searchtype=author&query=Lu%2C+Y">Yuxuan Lu</a>, <a href="/search/econ?searchtype=author&query=Nayak%2C+K">Kartik Nayak</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+F">Fan Zhang</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a>, <a href="/search/econ?searchtype=author&query=Zhao%2C+Y">Yinhong Zhao</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2201.05574v4-abstract-short" style="display: inline;"> A transaction fee mechanism (TFM) is an essential component of a blockchain protocol. However, a systematic evaluation of the real-world impact of TFMs is still absent. Using rich data from the Ethereum blockchain, the mempool, and exchanges, we study the effect of EIP-1559, one of the earliest-deployed TFMs that depart from the traditional first-price auction paradigm. We conduct a rigorous and c… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2201.05574v4-abstract-full').style.display = 'inline'; document.getElementById('2201.05574v4-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2201.05574v4-abstract-full" style="display: none;"> A transaction fee mechanism (TFM) is an essential component of a blockchain protocol. However, a systematic evaluation of the real-world impact of TFMs is still absent. Using rich data from the Ethereum blockchain, the mempool, and exchanges, we study the effect of EIP-1559, one of the earliest-deployed TFMs that depart from the traditional first-price auction paradigm. We conduct a rigorous and comprehensive empirical study to examine its causal effect on blockchain transaction fee dynamics, transaction waiting times, and consensus security. Our results show that EIP-1559 improves the user experience by mitigating intrablock differences in the gas price paid and reducing users' waiting times. However, EIP-1559 has only a small effect on gas fee levels and consensus security. In addition, we find that when Ether's price is more volatile, the waiting time is significantly higher. We also verify that a larger block size increases the presence of siblings. These findings suggest new directions for improving TFMs. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2201.05574v4-abstract-full').style.display = 'none'; document.getElementById('2201.05574v4-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 24 April, 2023; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 14 January, 2022; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> January 2022. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2109.10028">arXiv:2109.10028</a> <span> [<a href="https://arxiv.org/pdf/2109.10028">pdf</a>, <a href="https://arxiv.org/format/2109.10028">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Theoretical Economics">econ.TH</span> </div> <div class="is-inline-block" style="margin-left: 0.5rem"> <div class="tags has-addons"> <span class="tag is-dark is-size-7">doi</span> <span class="tag is-light is-size-7"><a class="" href="https://doi.org/10.1287/mnsc.2021.3986">10.1287/mnsc.2021.3986 <i class="fa fa-external-link" aria-hidden="true"></i></a></span> </div> </div> </div> <p class="title is-5 mathjax"> Knowledge Accumulation, Privacy, and Growth in a Data Economy </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Cong%2C+L+W">Lin William Cong</a>, <a href="/search/econ?searchtype=author&query=Xie%2C+D">Danxia Xie</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Longtian Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2109.10028v1-abstract-short" style="display: inline;"> We build an endogenous growth model with consumer-generated data as a new key factor for knowledge accumulation. Consumers balance between providing data for profit and potential privacy infringement. Intermediate good producers use data to innovate and contribute to the final good production, which fuels economic growth. Data are dynamically nonrival with flexible ownership while their production… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2109.10028v1-abstract-full').style.display = 'inline'; document.getElementById('2109.10028v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2109.10028v1-abstract-full" style="display: none;"> We build an endogenous growth model with consumer-generated data as a new key factor for knowledge accumulation. Consumers balance between providing data for profit and potential privacy infringement. Intermediate good producers use data to innovate and contribute to the final good production, which fuels economic growth. Data are dynamically nonrival with flexible ownership while their production is endogenous and policy-dependent. Although a decentralized economy can grow at the same rate (but are at different levels) as the social optimum on the Balanced Growth Path, the R&D sector underemploys labor and overuses data -- an inefficiency mitigated by subsidizing innovators instead of direct data regulation. As a data economy emerges and matures, consumers' data provision endogenously declines after a transitional acceleration, allaying long-run privacy concerns but portending initial growth traps that call for interventions. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2109.10028v1-abstract-full').style.display = 'none'; document.getElementById('2109.10028v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 21 September, 2021; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> September 2021. </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">Journal ref:</span> Management Science, 2021 </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2109.10027">arXiv:2109.10027</a> <span> [<a href="https://arxiv.org/pdf/2109.10027">pdf</a>, <a href="https://arxiv.org/format/2109.10027">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Theoretical Economics">econ.TH</span> </div> </div> <p class="title is-5 mathjax"> Endogenous Growth Under Multiple Uses of Data </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Cong%2C+L+W">Lin William Cong</a>, <a href="/search/econ?searchtype=author&query=Wei%2C+W">Wenshi Wei</a>, <a href="/search/econ?searchtype=author&query=Xie%2C+D">Danxia Xie</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Longtian Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2109.10027v1-abstract-short" style="display: inline;"> We model a dynamic data economy with fully endogenous growth where agents generate data from consumption and share them with innovation and production firms. Different from other productive factors such as labor or capital, data are nonrival in their uses across sectors which affect both the level and growth of economic outputs. Despite the vertical nonrivalry, the innovation sector dominates the… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2109.10027v1-abstract-full').style.display = 'inline'; document.getElementById('2109.10027v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2109.10027v1-abstract-full" style="display: none;"> We model a dynamic data economy with fully endogenous growth where agents generate data from consumption and share them with innovation and production firms. Different from other productive factors such as labor or capital, data are nonrival in their uses across sectors which affect both the level and growth of economic outputs. Despite the vertical nonrivalry, the innovation sector dominates the production sector in data usage and contribution to growth because (i) data are dynamically nonrival and add to knowledge accumulation, and (ii) innovations "desensitize" raw data and enter production as knowledge, which allays consumers' privacy concerns. Data uses in both sectors interact to generate spillover of allocative distortion and exhibit an apparent substitutability due to labor's rivalry and complementarity with data. Consequently, growth rates under a social planner and a decentralized equilibrium differ, which is novel in the literature and has policy implications. Specifically, consumers' failure to fully internalize knowledge spillover when bearing privacy costs, combined with firms' market power, underprice data and inefficiently limit their supply, leading to underemployment in the innovation sector and a suboptimal long-run growth. Improving data usage efficiency is ineffective in mitigating the underutilization of data, but interventions in the data market and direct subsidies hold promises. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2109.10027v1-abstract-full').style.display = 'none'; document.getElementById('2109.10027v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 21 September, 2021; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> September 2021. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2106.14456">arXiv:2106.14456</a> <span> [<a href="https://arxiv.org/pdf/2106.14456">pdf</a>, <a href="https://arxiv.org/ps/2106.14456">ps</a>, <a href="https://arxiv.org/format/2106.14456">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Theoretical Economics">econ.TH</span> </div> </div> <p class="title is-5 mathjax"> The Machiavellian frontier of top trading cycles </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Chen%2C+Y">Yajing Chen</a>, <a href="/search/econ?searchtype=author&query=Jiao%2C+Z">Zhenhua Jiao</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+C">Chenfeng Zhang</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luosai Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2106.14456v2-abstract-short" style="display: inline;"> This paper studies the housing market problem introduced by Shapley and Scarf (1974). We probe the Machiavellian frontier of the well-known top trading cycles (TTC) rule by weakening strategy-proofness and providing new characterizations for this rule. Specifically, our contribution lies in three aspects. First, we weaken the concept of strategy-proofness and introduce a new incentive notion calle… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2106.14456v2-abstract-full').style.display = 'inline'; document.getElementById('2106.14456v2-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2106.14456v2-abstract-full" style="display: none;"> This paper studies the housing market problem introduced by Shapley and Scarf (1974). We probe the Machiavellian frontier of the well-known top trading cycles (TTC) rule by weakening strategy-proofness and providing new characterizations for this rule. Specifically, our contribution lies in three aspects. First, we weaken the concept of strategy-proofness and introduce a new incentive notion called truncation-invariance, where the truthful preference-reporting assignment cannot be altered by any agent through misreporting a truncation of the true preference at the assignment produced by the true preference unilaterally. Second, we characterize the TTC rule by the following three groups of axioms: individual rationality, pair-efficiency, truncation-invariance; individual rationality, Pareto efficiency, truncation-invariance; individual rationality, endowments-swapping-proofness, truncation-invariance.1 The new characterizations refine several previous results.2 Third, we show through examples that the characterization results of Takamiya (2001) and Miyagawa (2002) can no longer be obtained if strategy-proofness is replaced with truncation-invariance. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2106.14456v2-abstract-full').style.display = 'none'; document.getElementById('2106.14456v2-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 9 April, 2024; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 28 June, 2021; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> June 2021. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2104.07888">arXiv:2104.07888</a> <span> [<a href="https://arxiv.org/pdf/2104.07888">pdf</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Cryptography and Security">cs.CR</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Numerical Analysis">math.NA</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computational Finance">q-fin.CP</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computation">stat.CO</span> </div> </div> <p class="title is-5 mathjax"> Optimal Algorithmic Monetary Policy </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a>, <a href="/search/econ?searchtype=author&query=Liu%2C+Y">Yulin Liu</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2104.07888v3-abstract-short" style="display: inline;"> Centralized monetary policy, leading to persistent inflation, is often inconsistent, untrustworthy, and unpredictable. Algorithmic stablecoins enabled by blockchain technology are promising in solving this problem. Algorithmic stablecoins utilize a monetary policy that is entirely rule-based. However, there is little understanding of how to optimize the rule. We propose a model that trade-off the… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2104.07888v3-abstract-full').style.display = 'inline'; document.getElementById('2104.07888v3-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2104.07888v3-abstract-full" style="display: none;"> Centralized monetary policy, leading to persistent inflation, is often inconsistent, untrustworthy, and unpredictable. Algorithmic stablecoins enabled by blockchain technology are promising in solving this problem. Algorithmic stablecoins utilize a monetary policy that is entirely rule-based. However, there is little understanding of how to optimize the rule. We propose a model that trade-off the price for supply stability. We further study the comparative statics by varying several design features. Finally, we discuss the empirical implications for designing stablecoins by the private sector and Central Bank Digital Currency (CBDC) by the public sector. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2104.07888v3-abstract-full').style.display = 'none'; document.getElementById('2104.07888v3-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 7 October, 2021; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 16 April, 2021; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> April 2021. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2103.00173">arXiv:2103.00173</a> <span> [<a href="https://arxiv.org/pdf/2103.00173">pdf</a>, <a href="https://arxiv.org/format/2103.00173">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Numerical Analysis">math.NA</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computational Finance">q-fin.CP</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computation">stat.CO</span> </div> </div> <p class="title is-5 mathjax"> Deciphering Bitcoin Blockchain Data by Cohort Analysis </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Liu%2C+Y">Yulin Liu</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Luyao Zhang</a>, <a href="/search/econ?searchtype=author&query=Zhao%2C+Y">Yinhong Zhao</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2103.00173v3-abstract-short" style="display: inline;"> Bitcoin is a peer-to-peer electronic payment system that has rapidly grown in popularity in recent years. Usually, the complete history of Bitcoin blockchain data must be queried to acquire variables with economic meaning. This task has recently become increasingly difficult, as there are over 1.6 billion historical transactions on the Bitcoin blockchain. It is thus important to query Bitcoin tran… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2103.00173v3-abstract-full').style.display = 'inline'; document.getElementById('2103.00173v3-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2103.00173v3-abstract-full" style="display: none;"> Bitcoin is a peer-to-peer electronic payment system that has rapidly grown in popularity in recent years. Usually, the complete history of Bitcoin blockchain data must be queried to acquire variables with economic meaning. This task has recently become increasingly difficult, as there are over 1.6 billion historical transactions on the Bitcoin blockchain. It is thus important to query Bitcoin transaction data in a way that is more efficient and provides economic insights. We apply cohort analysis that interprets Bitcoin blockchain data using methods developed for population data in the social sciences. Specifically, we query and process the Bitcoin transaction input and output data within each daily cohort. This enables us to create datasets and visualizations for some key Bitcoin transaction indicators, including the daily lifespan distributions of spent transaction output (STXO) and the daily age distributions of the cumulative unspent transaction output (UTXO). We provide a computationally feasible approach for characterizing Bitcoin transactions that paves the way for future economic studies of Bitcoin. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2103.00173v3-abstract-full').style.display = 'none'; document.getElementById('2103.00173v3-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 15 January, 2022; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 27 February, 2021; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> March 2021. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2012.15716">arXiv:2012.15716</a> <span> [<a href="https://arxiv.org/pdf/2012.15716">pdf</a>, <a href="https://arxiv.org/format/2012.15716">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Econometrics">econ.EM</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Methodology">stat.ME</span> </div> </div> <p class="title is-5 mathjax"> Assessing Sensitivity to Unconfoundedness: Estimation and Inference </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Masten%2C+M+A">Matthew A. Masten</a>, <a href="/search/econ?searchtype=author&query=Poirier%2C+A">Alexandre Poirier</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Linqi Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2012.15716v1-abstract-short" style="display: inline;"> This paper provides a set of methods for quantifying the robustness of treatment effects estimated using the unconfoundedness assumption (also known as selection on observables or conditional independence). Specifically, we estimate and do inference on bounds on various treatment effect parameters, like the average treatment effect (ATE) and the average effect of treatment on the treated (ATT), un… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2012.15716v1-abstract-full').style.display = 'inline'; document.getElementById('2012.15716v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2012.15716v1-abstract-full" style="display: none;"> This paper provides a set of methods for quantifying the robustness of treatment effects estimated using the unconfoundedness assumption (also known as selection on observables or conditional independence). Specifically, we estimate and do inference on bounds on various treatment effect parameters, like the average treatment effect (ATE) and the average effect of treatment on the treated (ATT), under nonparametric relaxations of the unconfoundedness assumption indexed by a scalar sensitivity parameter c. These relaxations allow for limited selection on unobservables, depending on the value of c. For large enough c, these bounds equal the no assumptions bounds. Using a non-standard bootstrap method, we show how to construct confidence bands for these bound functions which are uniform over all values of c. We illustrate these methods with an empirical application to effects of the National Supported Work Demonstration program. We implement these methods in a companion Stata module for easy use in practice. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2012.15716v1-abstract-full').style.display = 'none'; document.getElementById('2012.15716v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 31 December, 2020; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> December 2020. </p> <p class="comments is-size-7"> <span class="has-text-black-bis has-text-weight-semibold">Comments:</span> <span class="has-text-grey-dark mathjax">37 pages with 41 page appendix</span> </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2012.03200">arXiv:2012.03200</a> <span> [<a href="https://arxiv.org/pdf/2012.03200">pdf</a>, <a href="https://arxiv.org/format/2012.03200">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Risk Management">q-fin.RM</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Optimization and Control">math.OC</span> </div> </div> <p class="title is-5 mathjax"> Pandemic risk management: resources contingency planning and allocation </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Chen%2C+X">Xiaowei Chen</a>, <a href="/search/econ?searchtype=author&query=Chong%2C+W+F">Wing Fung Chong</a>, <a href="/search/econ?searchtype=author&query=Feng%2C+R">Runhuan Feng</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Linfeng Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2012.03200v1-abstract-short" style="display: inline;"> Repeated history of pandemics, such as SARS, H1N1, Ebola, Zika, and COVID-19, has shown that pandemic risk is inevitable. Extraordinary shortages of medical resources have been observed in many parts of the world. Some attributing factors include the lack of sufficient stockpiles and the lack of coordinated efforts to deploy existing resources to the location of greatest needs. The paper investiga… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2012.03200v1-abstract-full').style.display = 'inline'; document.getElementById('2012.03200v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2012.03200v1-abstract-full" style="display: none;"> Repeated history of pandemics, such as SARS, H1N1, Ebola, Zika, and COVID-19, has shown that pandemic risk is inevitable. Extraordinary shortages of medical resources have been observed in many parts of the world. Some attributing factors include the lack of sufficient stockpiles and the lack of coordinated efforts to deploy existing resources to the location of greatest needs. The paper investigates contingency planning and resources allocation from a risk management perspective, as opposed to the prevailing supply chain perspective. The key idea is that the competition of limited critical resources is not only present in different geographical locations but also at different stages of a pandemic. This paper draws on an analogy between risk aggregation and capital allocation in finance and pandemic resources planning and allocation for healthcare systems. The main contribution is to introduce new strategies for optimal stockpiling and allocation balancing spatio-temporal competitions of medical supply and demand. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2012.03200v1-abstract-full').style.display = 'none'; document.getElementById('2012.03200v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 6 December, 2020; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> December 2020. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2011.06753">arXiv:2011.06753</a> <span> [<a href="https://arxiv.org/pdf/2011.06753">pdf</a>, <a href="https://arxiv.org/format/2011.06753">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Econometrics">econ.EM</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="General Economics">econ.GN</span> </div> </div> <p class="title is-5 mathjax"> Weak Identification in Discrete Choice Models </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Frazier%2C+D+T">David T. Frazier</a>, <a href="/search/econ?searchtype=author&query=Renault%2C+E">Eric Renault</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Lina Zhang</a>, <a href="/search/econ?searchtype=author&query=Zhao%2C+X">Xueyan Zhao</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2011.06753v2-abstract-short" style="display: inline;"> We study the impact of weak identification in discrete choice models, and provide insights into the determinants of identification strength in these models. Using these insights, we propose a novel test that can consistently detect weak identification in commonly applied discrete choice models, such as probit, logit, and many of their extensions. Furthermore, we demonstrate that when the null hypo… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2011.06753v2-abstract-full').style.display = 'inline'; document.getElementById('2011.06753v2-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2011.06753v2-abstract-full" style="display: none;"> We study the impact of weak identification in discrete choice models, and provide insights into the determinants of identification strength in these models. Using these insights, we propose a novel test that can consistently detect weak identification in commonly applied discrete choice models, such as probit, logit, and many of their extensions. Furthermore, we demonstrate that when the null hypothesis of weak identification is rejected, Wald-based inference can be carried out using standard formulas and critical values. A Monte Carlo study compares our proposed testing approach against commonly applied weak identification tests. The results simultaneously demonstrate the good performance of our approach and the fundamental failure of using conventional weak identification tests for linear models in the discrete choice model context. Furthermore, we compare our approach against those commonly applied in the literature in two empirical examples: married women labor force participation, and US food aid and civil conflicts. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2011.06753v2-abstract-full').style.display = 'none'; document.getElementById('2011.06753v2-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 19 January, 2021; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 12 November, 2020; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> November 2020. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2009.09614">arXiv:2009.09614</a> <span> [<a href="https://arxiv.org/pdf/2009.09614">pdf</a>, <a href="https://arxiv.org/ps/2009.09614">ps</a>, <a href="https://arxiv.org/format/2009.09614">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Econometrics">econ.EM</span> </div> </div> <p class="title is-5 mathjax"> Spillovers of Program Benefits with Missing Network Links </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Lina Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2009.09614v3-abstract-short" style="display: inline;"> The issue of missing network links in partially observed networks is frequently neglected in empirical studies. This paper addresses this issue when investigating the spillovers of program benefits in the presence of network interactions. Our method is flexible enough to account for non-i.i.d. missing links. It relies on two network measures that can be easily constructed based on the incoming and… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2009.09614v3-abstract-full').style.display = 'inline'; document.getElementById('2009.09614v3-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2009.09614v3-abstract-full" style="display: none;"> The issue of missing network links in partially observed networks is frequently neglected in empirical studies. This paper addresses this issue when investigating the spillovers of program benefits in the presence of network interactions. Our method is flexible enough to account for non-i.i.d. missing links. It relies on two network measures that can be easily constructed based on the incoming and outgoing links of the same observed network. The treatment and spillover effects can be point identified and consistently estimated if network degrees are bounded for all units. We also demonstrate the bias reduction property of our method if network degrees of some units are unbounded. Monte Carlo experiments and a naturalistic simulation on real-world network data are implemented to verify the finite-sample performance of our method. We also re-examine the spillover effects of home computer use on children's self-empowered learning. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2009.09614v3-abstract-full').style.display = 'none'; document.getElementById('2009.09614v3-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 15 August, 2024; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 21 September, 2020; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> September 2020. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2009.02642">arXiv:2009.02642</a> <span> [<a href="https://arxiv.org/pdf/2009.02642">pdf</a>, <a href="https://arxiv.org/format/2009.02642">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Econometrics">econ.EM</span> </div> </div> <p class="title is-5 mathjax"> Decomposing Identification Gains and Evaluating Instrument Identification Power for Partially Identified Average Treatment Effects </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Lina Zhang</a>, <a href="/search/econ?searchtype=author&query=Frazier%2C+D+T">David T. Frazier</a>, <a href="/search/econ?searchtype=author&query=Poskitt%2C+D+S">D. S. Poskitt</a>, <a href="/search/econ?searchtype=author&query=Zhao%2C+X">Xueyan Zhao</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2009.02642v3-abstract-short" style="display: inline;"> This paper examines the identification power of instrumental variables (IVs) for average treatment effect (ATE) in partially identified models. We decompose the ATE identification gains into components of contributions driven by IV relevancy, IV strength, direction and degree of treatment endogeneity, and matching via exogenous covariates. Our decomposition is demonstrated with graphical illustrat… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2009.02642v3-abstract-full').style.display = 'inline'; document.getElementById('2009.02642v3-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2009.02642v3-abstract-full" style="display: none;"> This paper examines the identification power of instrumental variables (IVs) for average treatment effect (ATE) in partially identified models. We decompose the ATE identification gains into components of contributions driven by IV relevancy, IV strength, direction and degree of treatment endogeneity, and matching via exogenous covariates. Our decomposition is demonstrated with graphical illustrations, simulation studies and an empirical example of childbearing and women's labour supply. Our analysis offers insights for understanding the complex role of IVs in ATE identification and for selecting IVs in practical policy designs. Simulations also suggest potential uses of our analysis for detecting irrelevant instruments. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2009.02642v3-abstract-full').style.display = 'none'; document.getElementById('2009.02642v3-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 5 September, 2022; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 5 September, 2020; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> September 2020. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/2007.11961">arXiv:2007.11961</a> <span> [<a href="https://arxiv.org/pdf/2007.11961">pdf</a>, <a href="https://arxiv.org/format/2007.11961">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Theoretical Economics">econ.TH</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Computer Science and Game Theory">cs.GT</span> </div> </div> <p class="title is-5 mathjax"> Dominant Resource Fairness with Meta-Types </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Yin%2C+S">Steven Yin</a>, <a href="/search/econ?searchtype=author&query=Wang%2C+S">Shatian Wang</a>, <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Lingyi Zhang</a>, <a href="/search/econ?searchtype=author&query=Kroer%2C+C">Christian Kroer</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="2007.11961v3-abstract-short" style="display: inline;"> Inspired by the recent COVID-19 pandemic, we study a generalization of the multi-resource allocation problem with heterogeneous demands and Leontief utilities. Unlike existing settings, we allow each agent to specify requirements to only accept allocations from a subset of the total supply for each resource. These requirements can take form in location constraints (e.g. A hospital can only accept… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2007.11961v3-abstract-full').style.display = 'inline'; document.getElementById('2007.11961v3-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="2007.11961v3-abstract-full" style="display: none;"> Inspired by the recent COVID-19 pandemic, we study a generalization of the multi-resource allocation problem with heterogeneous demands and Leontief utilities. Unlike existing settings, we allow each agent to specify requirements to only accept allocations from a subset of the total supply for each resource. These requirements can take form in location constraints (e.g. A hospital can only accept volunteers who live nearby due to commute limitations). This can also model a type of substitution effect where some agents need 1 unit of resource A \emph{or} B, both belonging to the same meta-type. But some agents specifically want A, and others specifically want B. We propose a new mechanism called Dominant Resource Fairness with Meta Types which determines the allocations by solving a small number of linear programs. The proposed method satisfies Pareto optimality, envy-freeness, strategy-proofness, and a notion of sharing incentive for our setting. To the best of our knowledge, we are the first to study this problem formulation, which improved upon existing work by capturing more constraints that often arise in real life situations. Finally, we show numerically that our method scales better to large problems than alternative approaches. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('2007.11961v3-abstract-full').style.display = 'none'; document.getElementById('2007.11961v3-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 12 August, 2021; <span class="has-text-black-bis has-text-weight-semibold">v1</span> submitted 21 July, 2020; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> July 2020. </p> </li> <li class="arxiv-result"> <div class="is-marginless"> <p class="list-title is-inline-block"><a href="https://arxiv.org/abs/1906.11208">arXiv:1906.11208</a> <span> [<a href="https://arxiv.org/pdf/1906.11208">pdf</a>, <a href="https://arxiv.org/format/1906.11208">other</a>] </span> </p> <div class="tags is-inline-block"> <span class="tag is-small is-link tooltip is-tooltip-top" data-tooltip="Econometrics">econ.EM</span> <span class="tag is-small is-grey tooltip is-tooltip-top" data-tooltip="Methodology">stat.ME</span> </div> </div> <p class="title is-5 mathjax"> Proxy expenditure weights for Consumer Price Index: Audit sampling inference for big data statistics </p> <p class="authors"> <span class="search-hit">Authors:</span> <a href="/search/econ?searchtype=author&query=Zhang%2C+L">Li-Chun Zhang</a> </p> <p class="abstract mathjax"> <span class="has-text-black-bis has-text-weight-semibold">Abstract</span>: <span class="abstract-short has-text-grey-dark mathjax" id="1906.11208v1-abstract-short" style="display: inline;"> Purchase data from retail chains provide proxy measures of private household expenditure on items that are the most troublesome to collect in the traditional expenditure survey. Due to the sheer amount of proxy data, the bias due to coverage and selection errors completely dominates the variance. We develop tests for bias based on audit sampling, which makes use of available survey data that canno… <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('1906.11208v1-abstract-full').style.display = 'inline'; document.getElementById('1906.11208v1-abstract-short').style.display = 'none';">▽ More</a> </span> <span class="abstract-full has-text-grey-dark mathjax" id="1906.11208v1-abstract-full" style="display: none;"> Purchase data from retail chains provide proxy measures of private household expenditure on items that are the most troublesome to collect in the traditional expenditure survey. Due to the sheer amount of proxy data, the bias due to coverage and selection errors completely dominates the variance. We develop tests for bias based on audit sampling, which makes use of available survey data that cannot be linked to the proxy data source at the individual level. However, audit sampling fails to yield a meaningful mean squared error estimate, because the sampling variance is too large compared to the bias of the big data estimate. We propose a novel accuracy measure that is applicable in such situations. This can provide a necessary part of the statistical argument for the uptake of big data source, in replacement of traditional survey sampling. An application to disaggregated food price index is used to demonstrate the proposed approach. <a class="is-size-7" style="white-space: nowrap;" onclick="document.getElementById('1906.11208v1-abstract-full').style.display = 'none'; document.getElementById('1906.11208v1-abstract-short').style.display = 'inline';">△ Less</a> </span> </p> <p class="is-size-7"><span class="has-text-black-bis has-text-weight-semibold">Submitted</span> 15 June, 2019; <span class="has-text-black-bis has-text-weight-semibold">originally announced</span> June 2019. </p> </li> </ol> <nav class="pagination is-small is-centered breathe-horizontal" role="navigation" aria-label="pagination"> <a href="" class="pagination-previous is-invisible">Previous </a> <a href="/search/?searchtype=author&query=Zhang%2C+L&start=50" class="pagination-next" >Next </a> <ul class="pagination-list"> <li> <a href="/search/?searchtype=author&query=Zhang%2C+L&start=0" class="pagination-link is-current" aria-label="Goto page 1">1 </a> 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