Calendrier du 09 octobre 2023
Roy Seminar (ADRES)
Du 09/10/2023 de 17:00 à 18:30
R1-09
COLLIARD Jean-Edouard (HEC)
Algorithmic Pricing and Liquidity in Securities Markets
We let "Algorithmic Market-Makers" (AMMs), using Q-learning algorithms, choose prices for a risky asset when their clients are privately informed about the asset payoff. We find that AMMs learn to cope with adverse selection and to update their prices after observing trades, as predicted by economic theory. However, in contrast to theory, AMMs charge a mark-up over the competitive price, which declines with the number of AMMs. Interestingly, markups tend to decrease with AMMs’ exposure to adverse selection. Accordingly, the sensitivity of quotes to trades is stronger than that predicted by theory and AMMs’ quotes become less competitive over time as asymmetric information declines.
Econometrics Seminar
Du 09/10/2023 de 16:15 à 17:30
CREST, room 3001
KWON Soonwoo (Brown University)
Testing Mechanisms
écrit avec Co-author: Jonathan Roth
Economists are often interested in the mechanisms by which a particular treatment affects an outcome. This paper develops tests for the "sharp null of full mediation" that the treatment D operates on the outcome Y only through a particular conjectured mechanism (or sets of mechanisms) M. A key observation is that if D is randomly assigned and has a monotone effect on M, then D is a valid instrumental variable for the LATE of M on Y. Existing tools for testing the validity of the LATE assumptions can thus be used to test the sharp null of full mediation when M and D are binary. We extend these results to settings where M is multi-valued or multi-dimensional. We further provide methods for lower-bounding the size of the alternative mechanisms when the sharp null is rejected. An advantage of our approach relative to existing tools for mediation analysis is that it does not require stringent assumptions about how M is assigned.
Paris Migration Economics Seminar
Du 09/10/2023 de 12:30 à 13:30
R1.14
YARKIN Alexander (Brown University and LISER)
Learning from the Origins
How do political preferences and voting behaviors respond to information coming from abroad? Focusing on the international migration network, I document that opinion changes at the origins spill over to 1st- and 2nd-generation immigrants abroad. Local diasporas, social media, and family ties to the origins facilitate the transmission, while social integration at destination weakens it. Using the variation in the magnitude, timing, and type of origin-country exposure to the European Refugee Crisis of 2015, I show that salient events trigger learning from the origins. Welcoming asylum policies at the origins decrease opposition to non-Europeans and far-right voting abroad. Transitory refugee flows through the origins send abroad the backlash. Data from Google Trends and Facebook suggests elevated attention to events at the origins and communication with like-minded groups as mechanisms. Similar spillovers following the passage of same-sex marriage laws show the phenomenon generalizes beyond refugee attitudes.
Régulation et Environnement
Du 09/10/2023 de 12:00 à 13:30
R1-09
ENACHE Andreea (Stockholm School of Economics)
Congestion and Market Expansion: Timing of New Movie Releases in Paris Theaters
écrit avec Christophe Bellégo
We use a unique dataset on movie ticket sales in the French movie theaters to structurally estimate the seasonal underlying movie demand, while accounting for competition effects, weather shocks and seasonal sale promotions campaigns. We use a three-level nested logit that allows us to accurately estimate the underlying demand by movie genre and find a significant inter-movie genres competition. Moreover, we control for the congestion in movie theaters and highlight the existence of a trade-off between the demand expansion for movies and the business stealing effect between different movie genres due to the limited availability of screens in a movie theater. We use the estimated model to predict the movie revenues in various scenarios and we provide recommendations for optimal time release for movies. We also discuss the implications for the theater's strategy of movies portfolio diversification given the estimated substitution patterns between different genres.