In: The European Journal of Finance
Recent evidence by Fama and French (1992,1996) and others shows that betas and returns are not related empirically. They interpret this as evidence against the validity of the capital asset pricing model and they conclude that the beta is not a good measure of risk. This paper claims that usual tests do not leave much opportunity for beta to appear as a useful variable capable of explaining...
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In: Comptes rendus Mathematique
We construct simply connected smooth manifolds M of dimension 4k ≤ 8 with the following properties: the second homotopy group π₂(M) is finite, M admits a smooth action by the circle S¹ and the Â-genus Â(M) is non-zero.
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In: Proceedings of the Third Arolla Conference on Algebraic Topology, 18-24 August 2008
We give a survey on geometric properties of the Witten genus. The survey focuses on relations between the Witten genus, group actions and positive curvature.
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Tuning one's shower in some hotels may turn into a challenging coordination game with imperfect information. The temperature sensitivity increases with the number of agents, making the problem possibly unlearnable. Because there is in practice a finite number of possible tap positions, identical agents are unlikely to reach even approximately their favorite water temperature. Heterogeneity allows...
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We show that a simple model reproduces very closely the evolution of the GDP in constant dollars of many countries during the times of recession and recovery. A theoretical analysis illustrates how an optimal dynamical policy reduces both recession duration and severity, and increases the value of GDP at all times. We propose a criterion to distinguish a posteriori a dynamical policy from a...
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We report activity data analysis on several open source software projects, focusing on time between modifications and on the number of files modified at once. Both have fat-tailed distributions, long-term memory, and display systematic non-trivial cross-correlations, suggesting that quiet periods are followed by cascading modifications. In addition the maturity of a software project can be...
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In: Journal of Statistical Mecanics, Theory and Experiment (2008) L04004
We explore the effect of discounting and experimentation in a simple model of interacting adaptive agents. Agents belong to either of two types and each has to decide whether to participate a game or not, the game being profitable when there is an excess of players of the other type. We find the emergence of large fluctuations as a result of the onset of a dynamical instability which may arise...
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