Social Sciences

We use the Confounder Adjusted Testing and Estimating (CATE) proposed in our previous paper to estimate the abnormal return (aka 'alpha') of U.S. equity mutual funds. When funds are ranked by the difference between CATE alpha and CAPM alpha, the top …

We study a simple but extremely noisy form of information cascade---tweets. We use a doubly stochastic self-exciting point process to model the retweet process. The SEISMIC model we develop only requires the timestamps and the graph degrees to make …