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Heterogeneous trade elasticity and managerial skills
No full textInternational audienceThis paper investigates the role of firms’ managerial skills in the heterogeneous reaction of exporters to common exogenous changes in their international competitiveness (here captured by changes in the real exchange rate). Relying on a simple theoretical framework, we show that firms with better managerial skills have higher profits, market power and are able to adapt their markup more when faced with a competitiveness shock. We test this prediction relying on detailed firm-product-destination level export data from France for the period 1995-2007 matched with specific information on the firms’ share of managers. Our findings show that managerial intensive firms have larger exporter price elasticity to real exchange rate variations. In the wake of a depreciation, exporters whose management intensity is one standard deviation higher than the average, increase their prices by 51% to 73% more than the average exporter. This finding is robust to alternative explanations suggested by the literature
Incremental and Interactive PQ-and PC-Trees (Media Exposition)
No full textMedia Exposition trackInternational audiencePQ-trees [Booth, 1975; Kellogg S. Booth and George S. Lueker, 1976] (and their more general variant PC-trees [Hsu and McConnell, 2003; Wei-Kuan and Wen-Lian, 1999]) are a well-known data structure for representing the set of linear (or for PC-trees, circular) orders respecting a given set of consecutivity constraints. Each such constraint is specified by a set of elements and requires that these elements appear consecutively in the linear (or circular) order; thus, they disallow the set to be interleaved with its complement. The main operation supported by these data structures is thus the so-called update, which takes as input a set that forms an additional constraint, and in response changes the tree in order to restrict the represented orders to those satisfying the new constraint. Interpreting a given tree is straightforward: leaves represent the underlying elements, while inner nodes either allow the order of their subtrees to be reversed (Q/C-nodes) or to be arbitrarily permuted (P-nodes). However, the way this structure and the set of represented orders change under updates is less intuitive. We present an interactive web app that allows users to specify sets of consecutivity constraints in the form of a 0/1-matrix and then calculates and visualizes the corresponding PQ- or PC-tree. The constraints can then be changed dynamically while observing how this changes the structure of the tree and the set of represented orders. Through this interactive exploration, we hope to make PQ- and PC-trees more accessible to a wider audience
Computing Lindahl Equilibrium for Public Goods with and without Funding Caps
No full textInternational audienceLindahl equilibrium is a solution concept for allocating a fixed budget across several divisible public goods. It always lies in the weak core, meaning that the equilibrium allocation satisfies desirable stability and proportional fairness properties. We consider a model where agents have separable linear utility functions over the public goods, and the output assigns to each good an amount of spending, summing to at most the available budget.In the uncapped setting, each of the public goods can absorb any amount of funding. In this case, it is known that Lindahl equilibrium is equivalent to maximizing Nash social welfare, and this allocation can be computed by a public-goods variant of the proportional response dynamics. We introduce a new convex programming formulation for computing this solution and show that it is related to Nash welfare maximization through double duality and reformulation. We then show that the proportional response dynamics is equivalent to running mirror descent on our new formulation, thereby providing a new and very immediate proof of the convergence guarantee for the dynamics. Our new formulation has similarities to Shmyrev's convex program for Fisher market equilibrium.In the capped setting, each public good has an upper bound on the amount of funding it can receive, which is a type of constraint that appears in fractional committee selection and participatory budgeting. In this setting, existence of Lindahl equilibrium was only known via fixed-point arguments. The existence of an efficient algorithm computing one has been a long-standing open question. We prove that our new convex program continues to work when the cap constraints are added, and its optimal solutions are Lindahl equilibria. Thus, we establish that approximate Lindahl equilibrium can be efficiently computed in the capped setting to any desired accuracy. Our result also implies that approximately core-stable allocations can be efficiently computed for the class of separable piecewise-linear concave (SPLC) utilities
Estimation de covariance en grande dimension sur données financières
No full textIn this thesis, we tackle the problem of covariance estimation in high dimension, with financial applications. We provide a formula and prove the convergence of linear shrinkage in the setting where the mean is unknown. We extend this work to the case of multi-target linear shrinkage with formulas, an analysis of its convergence and an empirical study of the impact of the target set. Furthermore, we work on non-linear shrinkage for weighted sample covariance, with applications to stochastic volatility multivariate models. We compute asymptotic non-linear shrinkage formulas for covariance and precision matrix estimators, and the joint sample-population eigenvector overlap distribution, in the spirit of Ledoit and Péché. We propose different algorithmic approaches to numerically compute these formulas, in a wide range of dimensions.Dans cette thèse, nous adressons le problème d'estimation de covariance en grande dimension, avec des applications financières. Nous donnons une formule et prouvons la convergence du shrinkage linéaire dans le cadre où la moyenne est inconnue. Nous étendons ce travail au cas du shrinkage linéaire multi-cibles avec des formules, une analyse de sa convergence et une étude empirique de l'impact du choix des cibles. Ensuite, nous travaillons sur le shrinkage non-linéaire des matrices de covariance empiriques pondérées, avec des applications aux modèles multivariés avec volatilité stochastique. Nous établissons des formules asymptotiques de shrinkage non-linéaire pour l'estimation de matrices de covariance et de précision, ainsi que la loi jointe empirique-population de chevauchement des vecteurs propres, dans l'esprit de Ledoit et Péché. Nous proposons différentes approches algorithmiques pour calculer numériquement ces formules, sur un large spectre de dimensions
Online Housing Market
No full textInternational audienceWe study an online variant of the celebrated housing market problem, where each agent owns a single house and seeks to exchange it based on her preferences. In this online setting, agents may arrive and depart at any time, meaning not all agents are present in the housing market simultaneously. We extend the well-known serial dictatorship and top trading cycle mechanisms to the online scenario, aiming to retain their desirable properties, such as Pareto efficiency, individual rationality, and strategy-proofness. These extensions also seek to prevent agents from strategically delaying their arrivals or advancing their departures. We demonstrate that achieving all these properties simultaneously is impossible and present several variants that achieve different subsets of these properties
Believe it or not: Psychological Bias, ESG, and Investor Preferences
No full textDespite numerous pledges to achieve carbon neutrality and more than a decade of scrutiny of what is now known as green finance, capital continues to flow into fossil fuel companies. Meanwhile, investment in renewable energy remains insufficient, highlighting the need to understand the factors that shape investment decisions. Existing research has primarily focused on retail investors, paying limited attention to professional investors and even less to their investments in fossil fuel companies. Addressing these gaps, this paper surveys professional investors (149 responses) and studies their decision-making processes in the energy sector. To analyse whether investors value information related to the low-carbon transition of energy firms, a Multiple-Discrete-Continuous Extreme Value (MDCEV) model is employed for the first time in sustainable finance literature. The results show that investors recognise climate-related opportunities and are willing to invest in renewable energy, yet they continue to allocate significant capital to fossil fuel companies. Factors such as professional roles, investment experience, and resistance-to-change bias influence their willingness to exclude fossil fuels from their portfolios. The results highlight that perfect information alone is insufficient to redirect capital away from fossil fuels and that climate policies should be more incentivising to accelerate the transition
Ethical Considerations in Algorithm Construction: Evidence from Two Human-Resources Algorithms
No full textOrganizations increasingly rely on algorithms for decision-making, which raises significant ethical issues. In this paper, we provide a detailed case study of the development and deployment of two human resources (HR) algorithms in a major French digital company. Our findings show that these ethical issues reflect the ethical considerations of the various stakeholders involved in the process, i ncluding data scientists, HR practitioners, and legal experts. We discuss how these considerations intervene during the decision-making process in algorithm design and usage, offering insights for both academics and practitioners into how ethical issues are approached by different actors
Les métamorphoses de la politisation
No full textInternational audience"Un constat semble faire consensus aujourd'hui : la distance des citoyens à la politique, aux élus et aux élections, serait devenue la norme dans la France des années 2020. Pourtant, à y regarder de plus près, cette dépolitisation n'a rien d'évident et pourrait même relever de l'illusion. Les enquêtes réunies dans cet ouvrage ont été réalisées au moment des élections de 2022, pendant plusieurs mois, au plus près des électeurs et des électrices. Elles montrent que l'intérêt pour la politique ne s'est pas évanoui, mais que la politisation s'est métamorphosée. Elle ne se déploie plus seulement dans les institutions de la démocratie représentative (les partis politiques et leurs relais), mais au cøeur de la vie quotidienne, au sein de la famille, des réseaux amicaux, des relations de voisinage, au travail, etc. Ces formes ordinaires de la politisation ne sont pas inédites, mais elles sont plus visibles précisément parce que les institutions politiques n'effectuent plus le travail qu'elles réalisaient auparavant.
