arXiv · arXiv q-fin · 2013
Cost overruns in transport infrastructure projects know no geographical limits, overruns are a global phenomenon. Nevertheless, the size of cost overruns varies with location. In the Netherlands, cost overruns appear to be smaller compared to the rest of the world. This paper tests whether Dutch projects perform significantly better in terms of cost overruns than other geographical areas. It is concluded that for roa…
Chantal C. Cantarelli, Bent Flyvbjerg, Søren L. Buhl
arXiv · arXiv q-fin · 2025
Accurate electricity price forecasting (EPF) is crucial for effective decision-making in power trading on the spot market. While recent advances in generative artificial intelligence (GenAI) and pre-trained large language models (LLMs) have inspired the development of numerous time series foundation models (TSFMs) for time series forecasting, their effectiveness in EPF remains uncertain. To address this gap, we bench…
Timothée Hornek Amir Sartipi, Igor Tchappi, Gilbert Fridgen
arXiv · arXiv q-fin · 2021
We aim to assess the impact of a pandemic data point on the calibration of a stochastic multi-population mortality projection model and its resulting projections for future mortality rates. Throughout the paper we put focus on the Li & Lee mortality model, which has become a standard for projecting mortality in Belgium and the Netherlands. We calibrate this mortality model on annual deaths and exposures at the level …
Jens Robben, Katrien Antonio, Sander Devriendt
arXiv · arXiv q-fin · 2018
This paper presents the results of the Dynamic Pricing Challenge, held on the occasion of the 17th INFORMS Revenue Management and Pricing Section Conference on June 29-30, 2017 in Amsterdam, The Netherlands. For this challenge, participants submitted algorithms for pricing and demand learning of which the numerical performance was analyzed in simulated market environments. This allows consideration of market dynamics…
Ruben van de Geer, Arnoud V. den Boer, Christopher Bayliss, Christine Currie, Andria Ellina
arXiv · arXiv q-fin · 2018
We consider a fundamental integer programming (IP) model for cost-benefit analysis flood protection through dike building in the Netherlands, due to Verweij and Zwaneveld. Experimental analysis with data for the Ijsselmeer lead to integral optimal solution of the linear programming relaxation of the IP model. This naturally led to the question of integrality of the polytope associated with the IP model. In this paper…
Aida Abiad, Sander Gribling, Domenico Lahaye, Matthias Mnich, Guus Regts
arXiv · arXiv q-fin · 2014
This study uses hierarchical structure methods (minimal spanning tree, (MST) and hierarchical tree, (HT)) to examine the hierarchical structures of the United State (US) foreign trade by using the real prices of their commodity export and import move together over time. We obtain the topological properties among the countries based on US foreign trade over the periods of 1985-2011. We also perform the bootstrap techn…
Ersin Kantar
arXiv · arXiv q-fin · 2013
We utilize long-term memory, fractal dimension and approximate entropy as input variables for the Efficiency Index [Kristoufek & Vosvrda (2013), Physica A 392]. This way, we are able to comment on stock market efficiency after controlling for different types of inefficiencies. Applying the methodology on 38 stock market indices across the world, we find that the most efficient markets are situated in the Eurozone (th…
Ladislav Kristoufek, Miloslav Vosvrda
arXiv · arXiv q-fin · 2013
We study the ever more integrated and ever more unbalanced trade relationships between European countries. To better capture the complexity of economic networks, we propose two global measures that assess the trade integration and the trade imbalances of the European countries. These measures are the network (or indirect) counterparts to traditional (or direct) measures such as the trade-to-GDP (Gross Domestic Produc…
Gautier M. Krings, Jean-François Carpantier, Jean-Charles Delvenne
arXiv · arXiv q-fin · 2013
Using a methodology similar to that used the in the worldwide research, the cost performance of Dutch large-scale transport infrastructure projects is determined. In the Netherlands, cost overruns are as common as cost underruns but because cost overruns are larger than cost underruns projects on average have a cost overrun of 16.5%. The focus on one country further enabled to consider cost overruns during different …
Chantal C. Cantarelli, Eric J. E. Molin, Bert van Wee, Bent Flyvbjerg
arXiv · arXiv q-fin · 2013
This paper examines three independent explanatory variables and their relation with cost overrun in order to decide whether this is different for Dutch infrastructure projects compared to worldwide findings. The three independent variables are project type (road, rail, and fixed link projects), project size (measured in terms of estimated costs) and the length of the project implementation phase. For Dutch projects, …
Chantal C. Cantarelli, Bert van Wee, Eric J. E. Molin, Bent Flyvbjerg
arXiv · arXiv q-fin · 2010
We compute the analytic expression of the probability distributions F{AEX,+} and F{AEX,-} of the normalized positive and negative AEX (Netherlands) index daily returns r(t). Furthermore, we define the αre-scaled AEX daily index positive returns r(t)^αand negative returns (-r(t))^αthat we call, after normalization, the αpositive fluctuations and αnegative fluctuations. We use the Kolmogorov-Smirnov statistical test, a…
Rui Gonçalves, Helena Ferreira, Alberto Pinto
arXiv · arXiv q-fin · 2009
Using an analog of the boundary element method in engineering and science, we analyze and model unemployment rate in Austria, Italy, the Netherlands, Sweden, Switzerland, and the United States as a function of inflation and the change in labor force. Originally, the model linking unemployment to inflation and labor force was developed and successfully tested for Austria, Canada, France, Germany, Japan, and the United…
Ivan Kitov, Oleg Kitov
arXiv · arXiv q-fin · 2008
We propose a novel multi-layered nonlinear model that is able to capture and predict the housing-demographic dynamics of the real-state market by simulating the transitions of owners among price-based house layers. This model allows us to determine which parameters are most effective to smoothen the severity of a potential market crisis. The International Monetary Fund (IMF) has issued severe warnings about the curre…
Ramon Huerta, Fernando Corbacho, Luis F. Lago-Fernandez
arXiv · arXiv q-fin · 2008
Most of the analytical techniques used in the business cycle synchronisation literature rely upon the estimation of an empirical correlation matrix of time series data of macroeconomic aggregates, real GDP usually being the key variable. But the small number of available observations and small number of economies mean that the empirical correlation matrix may contain considerable noise. Random matrix theory was devel…
Paul Ormerod
arXiv · arXiv q-fin · 2025
We investigate the drivers of vote delegation in Decentralized Autonomous Organizations (DAOs), using the Uniswap governance DAO as a laboratory. We show that parties with fewer self-owned votes and those affiliated with the controlling venture capital firm, Andreesen Horowitz (a16z), receive more vote delegations. These patterns suggest that while the Uniswap ecosystem values decentralization, a16z may engage in win…
Dion Bongaerts, Thomas Lambert, Daniel Liebau, Peter Roosenboom
arXiv · arXiv q-fin · 2020
Crowded trades by similarly trading peers influence the dynamics of asset prices, possibly creating systemic risk. We propose a market clustering measure using granular trading data. For each stock the clustering measure captures the degree of trading overlap among any two investors in that stock. We investigate the effect of crowded trades on stock price stability and show that market clustering has a causal effect …
Marc van Kralingen, Diego Garlaschelli, Karolina Scholtus, Iman van Lelyveld
arXiv · arXiv q-fin · 2012
In self-organizing networks, topology and dynamics coevolve in a continuous feedback, without exogenous driving. The World Trade Network (WTN) is one of the few empirically well documented examples of self-organizing networks: its topology strongly depends on the GDP of world countries, which in turn depends on the structure of trade. Therefore, understanding which are the key topological properties of the WTN that d…
Tiziano Squartini, Diego Garlaschelli