James Ming Chen SSRN Content https://www.ssrn.com/author=68651 https://www.ssrn.com/rss/ en-us Mon, 15 May 2023 01:03:45 GMT editor@ssrn.com (Editor) Mon, 15 May 2023 01:03:45 GMT webmaster@ssrn.com (WebMaster) SSRN RSS Generator 1.0 This study extends previous work applying unsupervised machine learning to commodity markets. "Clustering Commodity Markets in Space and Time" [DOI: 10.1016/j.resourpol.2021.102162] examined returns and volatility in commodity markets. That paper supported the conventional ontology of commodity markets for precious metals, base metals, agricultural commodities, and crude oil and refined fuels. "A Pattern New in Every Moment" [DOI: 10.3390/en14196099], used temporal clustering to identify critical periods in the trading of crude oil, gasoline, and diesel. This study combines the ontological methodology of "Commodity Markets in Space and Time" with the temporal clustering performed in "A Pattern New in Every Moment." Ontological clustering, contingent upon the identification of structural breaks and other critical periods within financial time series, is this study’s distinctive contribution. Conditional, time-variant ontological clustering should be applicable to any set of re-lated ... https://www.ssrn.com/abstract=4437366 https://www.ssrn.com/2293888.html Sun, 14 May 2023 02:51:31 GMT Chevron, the landmark Supreme Court case urging judicial deference to reasonable agency interpretations of vague or ambiguous statutes, has dominated federal administrative law since 1984. The sudden rise of the major questions doctrine, however, has destroyed Chevron’s jurisprudential habitat. Conservation biology suggests that habitat destruction is most devastating to dominant species, often imposing a biological “debt” that must be repaid through extinction. As with biology, so with law: “Major questions” having displaced agency deference, Chevron is doomed. https://www.ssrn.com/abstract=4392722 https://www.ssrn.com/2291567.html Tue, 09 May 2023 12:11:45 GMT Successive crises in the early twenty-first century prompted regulators around the world to ask financial institutions to implement a series of regulations. These measures aimed to increase transparency, improve consumer and investor protection, restructure financial capital, stabilize insurance and pension markets, and improve solvency. The Solvency II framework introduced in the European Union applied these principles to insurance companies. This study attempts to predict the solvency of an insurer within a set of European insurers. The dataset consists of 29 insurance groups that operate across the European Union with a country of origin within the European Union for the period 2016 to 2020. The variables were constructed from annual financial statements retrieved from (Thomson Reuters) DataStream. The solvency capital requirement ratios were obtained manually from the solvency financial condition reports of each group. Regularized linear regression applying a ℓ1/ ... https://www.ssrn.com/abstract=4405037 https://www.ssrn.com/2283240.html Thu, 20 Apr 2023 01:23:51 GMT The rhetoric if not the reasoning of the Supreme Court’s newly recognized “major questions doctrine” originates in the jurisprudence of Justice Antonin Scalia. The major questions doctrine rests on little more than Justice Scalia’s exercises in Latin etymology and his felicitous announcement that Congress “does not … hide elephants in mouseholes.” This doctrine threatens to eclipse textualist statutory interpretation. Textualism, which had long lived by the ipse dixit, now dies by the ipse dixit. But one must mourn for the Constitution. Justice Scalia’s major mousetrap comes not as a mouse, but as a wolf. https://www.ssrn.com/abstract=4392469 https://www.ssrn.com/2279708.html Wed, 12 Apr 2023 23:07:09 GMT Chevron, the landmark Supreme Court case urging judicial deference to reasonable agency interpretations of vague or ambiguous statutes, has dominated federal administrative law since 1984. The sudden rise of the major questions doctrine, however, has destroyed Chevron’s jurisprudential habitat. Conservation biology suggests that habitat destruction is most devastating to dominant species, often imposing a biological “debt” that must be repaid through extinction. As with biology, so with law: “Major questions” having displaced agency deference, Chevron is doomed. https://www.ssrn.com/abstract=4392722 https://www.ssrn.com/2279707.html Wed, 12 Apr 2023 23:06:45 GMT Chevron, the landmark Supreme Court case urging judicial deference to reasonable agency interpretations of vague or ambiguous statutes, has dominated federal administrative law since 1984. The sudden rise of the major questions doctrine, however, has destroyed Chevron’s jurisprudential habitat. Conservation ecology suggests that habitat destruction is most devastating to dominant species, often imposing a biological “debt” that must be repaid through extinction. As with biology, so with law: “Major questions” having displaced agency deference, Chevron is doomed. https://www.ssrn.com/abstract=4392722 https://www.ssrn.com/2272252.html Mon, 27 Mar 2023 14:40:53 GMT The rhetoric if not the reasoning of the Supreme Court’s newly recognized “major questions doctrine” originates in the jurisprudence of Justice Antonin Scalia. The major questions doctrine rests on little more than Justice Scalia’s exercises in Latin etymology and his felicitous announcement that Congress “does not … hide elephants in mouseholes.” This doctrine threatens to eclipse textualist statutory interpretation. Textualism, which had long lived by the ipse dixit, now dies by the ipse dixit. But one must mourn for the Constitution. Justice Scalia’s major mousetrap comes not as a mouse, but as a wolf. https://www.ssrn.com/abstract=4392469 https://www.ssrn.com/2272191.html Mon, 27 Mar 2023 13:08:54 GMT The 2021 Term of the Supreme Court was one of the most contentious and controversial in recent memory. This Term represented a striking reversal of five or six decades of jurisprudence. The era of Roe v. Wade, in retrospect, was a halcyon period of relative stability in Supreme Court doctrine. The 2021 Term delivered decisive wins in the 5G agenda of the culture wars: God, guns, gay people, gynecology, and gerrymandering. Most saliently, Roe has been overruled.<br><br>Note: The title of this review alludes to “25 or 6 to 4,” a 1970 song by Chicago. https://www.ssrn.com/abstract=4385851 https://www.ssrn.com/2268578.html Mon, 20 Mar 2023 11:29:03 GMT <b>Spanish abstract:</b> La econofísica es el área multidisciplinar del conocimiento que intenta combinar la física, las matemáticas y los distintos campos que abarcan la economía. Algunos de los conceptos introducidos por los físicos en finanzas, tales como fractalidad o multifractalidad, han sido aceptadas por la mayoría de los economistas. Los trabajos entorno al análisis de esta propiedad se han multiplicado a lo largo de la última década<br><br><b>English abstract:</b> Econophysics is the multidisciplinary domain of knowledge that attempts to combine physics, mathematics and the different fields that cover the economy. Some of the concepts introduced by physicists in finance, such as fractality or multifractality, have been accepted by most economists. Work addressing these concepts has proliferated throughout the last decade. https://www.ssrn.com/abstract=4369976 https://www.ssrn.com/2259817.html Thu, 02 Mar 2023 14:56:32 GMT Markets for energy-related commodities figure prominently in developmental economics, international trade, and environmental law and policy. Markets for Brent oil, West Texas intermediate crude, gasoline, and diesel affect not only energy policy but also demand for agricultural commodities that serve as feedstocks for ethanol and biodiesel. The natural resource curse in developmental economics arises largely from fossil fuel markets as well as gemstones and precious metals. Factors affecting oil prices include wars and other political disturbances, shifts in global supply and demand, and technological and regulatory changes promoting demand for renewable energy. Even ephemera such as OPEC production decisions and extreme weather events must be taken into account. Amid climate change and death by pandemic disease, the factors affecting energy commodity markets closely track the four horsemen of the Apocalypse: pestilence, war, famine, and death.<br><br>In its original and proper Greek ... https://www.ssrn.com/abstract=4369980 https://www.ssrn.com/2258511.html Tue, 28 Feb 2023 22:57:22 GMT Unsupervised machine learning can interpret logarithmic returns and conditional volatility in commodity markets. k-means and hierarchical clustering can generate a financial ontology of markets for fuels, precious and base metals, and agricultural commodities. Manifold learning methods such as multidimensional scaling (MDS) and t-distributed stochastic neighbor embedding (t-SNE) enable the visualization of comovement and other financial relationships in three dimensions.<br><br>Different methods of unsupervised learning excel at different tasks. k-means clustering based on logarithmic returns works well with MDS to classify commodities and to create a spatial ontology of commodities trading, A strikingly different application involves k-means clustering of the matrix transpose, such that conditional volatility is evaluated by trading date rather than by commodity. This approach can isolate the two most calamitous temporal regimes of the past two decades: the global financial crisis ... https://www.ssrn.com/abstract=3791138 https://www.ssrn.com/2257891.html Tue, 28 Feb 2023 03:26:03 GMT Unsupervised machine learning can interpret logarithmic returns and conditional volatility in commodity markets. k-means and hierarchical clustering can generate a financial ontology of markets for fuels, precious and base metals, and agricultural commodities. Manifold learning methods such as multidimensional scaling (MDS) and t-distributed stochastic neighbor embedding (t-SNE) enable the visualization of comovement and other financial relationships in three dimensions.<br><br>Different methods of unsupervised learning excel at different tasks. k-means clustering based on logarithmic returns works well with MDS to classify commodities and to create a spatial ontology of commodities trading, A strikingly different application involves k-means clustering of the matrix transpose, such that conditional volatility is evaluated by trading date rather than by commodity. This approach can isolate the two most calamitous temporal regimes of the past two decades: the global financial crisis ... https://www.ssrn.com/abstract=3791138 https://www.ssrn.com/2257676.html Tue, 28 Feb 2023 01:19:28 GMT The vector of a linear model’s coefficients represents the clearest guide to causal inference. Collinearity among variables, however, undermines the interpretation of that model. A wildly large positive coefficient on one variable may be offset by a comparably large negative coefficient on a collinear variable. Neither the size nor the sign of those coefficients can be trusted.<br><br>Instability arising from collinearity and high variance can be remedied through regularized or penalized regression. These methods can select model features in graduated or categorical fashion. Enforcing ℓ2 (Ridge) and ℓ1 (Lasso) regularization can blunt or even eliminate irrelevant or redundant variables. Methods incorporating the ℓ1 norm can induce sparsity. The resulting vector of nonzero standardized coefficients delivers the ℓ0 quasi-norm as the best mathematical representation of the model’s causal inferences.<br><br>In addition to Lasso, Ridge, and ElasticNet (a hybrid of Lasso and Ridge), this ... https://www.ssrn.com/abstract=4188299 https://www.ssrn.com/2184875.html Tue, 13 Sep 2022 08:58:43 GMT Retirement security is of paramount importance to working people. Adequate retirement income is also a leading concern for private and public pension systems. Pension funding adequacy measures the ability of pension scheme assets to meet a system’s liabilities. Pension managers accumulate assets primarily from employee contributions. Assets then grow through investment returns. Liabilities consist mainly of benefits promised and paid to pensioners.<br><br>In several countries, even within the European Union, a substantial percentage of the population receives pension income much lower than pre-retirement income or even the poverty line. At the same time, pension funding adequacy is threatened by reduced fertility in most European countries. Economic crises during the first quarter of the twenty-first century — the great recession, a sovereign debt crisis, the Covid-19 pandemic — have decreased individual and family income. These crises have reduced pension payments.<br><br>When the ... https://www.ssrn.com/abstract=4185168 https://www.ssrn.com/2172510.html Thu, 11 Aug 2022 22:53:15 GMT