The Tenth Montreal IPSW took place on August 13-27, 2020, and was jointly organized by the Centre de recherches mathématiques (CRM) and the Institute for Dat...

We propose a tone-based event study to reveal the aggregate abnormal tone dynamics in media articles around earnings announcements. We test whether they co...

Optimal stopping is the problem of deciding the right time at which to take a particular action in a stochastic system, in order to maximize an expected rewa...

Robotic process automation (RPA) is used in various fields of human activity in order to implement faster and more secure processes through a reduction in th...

We empirically test the prediction of Pastor, stambaugh, and Taylor (2020) that green firms outperform brown firms when concerns about climate change increas...

We consider a two-stage game in a differentiated duopoly, where firms can pursue both a financial and an environmental objective. We assume that the maximu...

The Ninth Montreal IPSW took place on August 19-23, 2019, and was jointly organized by the CRM and IVADO (Institute for Data Valorization). The workshop welc...

In this paper, we consider the problem of equal risk pricing and hedging in which the fair price of an option is the price that exposes both sides of the con...

Utility-based shortfall risk measure (SR) effectively captures decision maker’s risk attitude on tail losses by an increasing convex loss function. In this ...

We introduce a novel ensemble learning approach which combines random partitions models through Potts clustering with a non-parametric predictor such as sha...

In this paper we consider a differentiated oligopoly with two product varieties that are supplied by two groups of firms. We assume that firms can change t...

We analyze a differential game with spatially distributed controls to study a multiregional transboundary pollution problem. The dynamics of the state variab...

Very large networks linking dynamical agents are now ubiquitous and the need to analyse, design and control them is evident. The emergence of the graphon the...

In this study, we develop a deterministic nonlinear filtering algorithm based on a high-dimensional version of Kitagawa (1987) to evaluate the likelihood fun...

Since nonprofit organizations play an important role in providing goods and services in all countries, this paper aims at determining optimal policies for ...

We analyze an endogenous growth model with non-constant discounting and a negative externality of growth on utility. With a decreasing rate of impatience, ...

Drawing on statistical learning theory, we derive out-of-sample and optimality guarantees about the investment strategy obtained from a regularized portfoli...

We consider several time series and for each of them, we fit an appropriate dynamic parametric model. This produces serially independent error terms for each...

For nearest neighbor univariate random walks in a periodic environment, where the probability of moving depends on a periodic function, we show how to estim...

Given $n$ points, a symmetric dissimilarity matrix $D$ of dimensions $n\times n$ and an integer $p\geq 2$, the $p$-dispersion problem (pD...