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Essays on Demand Estimation, Financial Economics and Machine Learning
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| 자료유형 | 학위논문 |
|---|---|
| 서명/저자사항 | Essays on Demand Estimation, Financial Economics and Machine Learning. |
| 개인저자 | He, Pu. |
| 단체저자명 | Columbia University. Business. |
| 발행사항 | [S.l.]: Columbia University., 2019. |
| 발행사항 | Ann Arbor: ProQuest Dissertations & Theses, 2019. |
| 형태사항 | 276 p. |
| 기본자료 저록 | Dissertations Abstracts International 81-03B. Dissertation Abstract International |
| ISBN | 9781085733724 |
| 학위논문주기 | Thesis (Ph.D.)--Columbia University, 2019. |
| 일반주기 |
Source: Dissertations Abstracts International, Volume: 81-03, Section: B.
Advisor: Glasserman, Paul |
| 이용제한사항 | This item must not be sold to any third party vendors. |
| 요약 | In this era of big data, we often rely on techniques ranging from simple linear regression, structural estimation, and state-of-the-art machine learning algorithms to make operational and financial decisions based on data. This calls for a deep understanding of practical and theoretical aspects of methods and models from statistics, econometrics, and computer science, combined with relevant domain knowledge. In this thesis, we study several practical, data-related problems in the particular domains of sharing economy and financial economics/financial engineering, using appropriate approaches from an arsenal of data-analysis tools. On the methodological front, we propose a new estimator for classic demand estimation problem in economics, which is important for pricing and revenue management.In the first part of this thesis, we study customer preference for the bike share system in London, in order to provide policy recommendations on bike share system design and expansion. We estimate a structural demand model on the station network to learn the preference parameters, and use the estimated model to provide insights on the design and expansion of the system. We highlight the importance of network effects in understanding customer demand and evaluating expansion strategies of transportation networks. In the particular example of the London bike share system, we find that allocating resources to some areas of the station network can be 10 times more beneficial than others in terms of system usage, and that currently implemented station density rule is far from optimal. We develop a new method to deal with the endogeneity problem of the choice set in estimating demand for network products. Our method can be applied to other settings, in which the available set of products or services depends on demand.In the second part of this thesis, we study demand estimation methodology when data has a long-tail pattern, that is, when a significant portion of products have zero or very few sales. Long-tail distributions in sales or market share data have long been an issue in empirical studies in areas such as economics, operations, and marketing, and it is increasingly common nowadays with more detailed levels of data available and many more products being offered in places like online retailers and platforms. The classic demand estimation framework cannot deal with zero sales, which yields inconsistent estimates. More importantly, biased demand estimates, if used as an input to subsequent tasks such as pricing, lead to managerial decisions that are far from optimal. We introduce two new two-stage estimators to solve the problem: our solutions apply machine learning algorithms to estimate market shares in the first stage, and in the second stage, we utilize the first-stage results to correct for the selection bias in demand estimates. We find that our approach works better than traditional methods using simulations.In the third part of this thesis, we study how to extract a signal from option pricing models to form a profitable stock trading strategy. Recent work has documented roughness in the time series of stock market volatility and investigated its implications for option pricing. We study a strategy for trading stocks based on measures of their implied and realized roughness. A strategy that goes long the roughest-volatility stocks and short the smoothest-volatility stocks earns statistically significant excess annual returns of 6% or more, depending on the time period and strategy details. Standard factors do not explain the profitability of the strategy. We compare alternative measures of roughness in volatility and find that the profitability of the strategy is greater when we sort stocks based on implied rather than realized roughness. We interpret the profitability of the strategy as compensation for near-term idiosyncratic event risk.Lastly, we apply a heterogeneous treatment effect (HTE) estimator from statistics and machine learning to financial asset pricing. Recent progress in the interdisciplinary area of causal inference and machine learning has proposed various promising estimators for HTE. We take the R-learner algorithm by Nie & Wager (2019) and adapt it to empirical asset pricing. We study characteristics associated with standard factors, size, value and momentum through the lens of HTE. Our goal is to identify sub-universes of stocks, "characteristic responders", in which size, value or momentum trading strategies perform best, compared with the performance had they been applied to the entire universe. On the other hand, we identify subsets of "characteristic traps" in which the strategies perform the worst. In our test period, the differences in average monthly returns between long-short strategies restricted to "characteristic responders" and "characteristic traps" range from 0.77% to 1.54% depending on treatment characteristics. The differences are statistically significant and cannot be explained by standard factors: a long-short of long-short strategy generates alpha of significant magnitude from 0.98% to 1.80% monthly, with respect to standard Fama-French plus momentum factors. Simple interaction terms between standard factors and ex-post important features do not explain the alphas either. We also characterize and interpret the characteristic traps and responders identified by our algorithm. Our study can be viewed as a systematic, data-driven way to investigate interaction effects between features and treatment characteristic, and to identify characteristic traps and responders. |
| 일반주제명 | Economics. Finance. Statistics. Artificial intelligence. |
| 언어 | 영어 |
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