Synthetically Controlled Bandits
We consider experimentation in settings where, due to interference or other concerns, experimental units are coarse. ‘Region-split’ experiments on online platforms, where an intervention is applied to a single region over some experimental horizon, are one example of such a setting. Synthetic control is the state-of-the-art approach to inference in such experiments. The cost of these experiments is high since the opportunity cost of a sub-optimal intervention is borne by an entire region over the length of the experiment.
Thompson Sampling with Information Relaxation Penalties
We consider a finite-horizon multi-armed bandit (MAB) problem in a Bayesian setting, for which we propose an information relaxation sampling framework. With this framework, we define an intuitive family of control policies that include Thompson sampling (TS) and the Bayesian optimal policy as endpoints. Analogous to TS, which, at each decision epoch pulls an arm that is best with respect to the randomly sampled parameters, our algorithms sample entire future reward realizations and take the corresponding best action.
Identifying Factors Predicting Kidney Graft Survival in Chile Using Elastic-Net-Regularized Cox Regression
We developed a predictive statistical model to identify donor–recipient characteristics related to kidney graft survival in the Chilean population. Given the large number of potential predictors relative to the sample size, we implemented an automated variable selection mechanism that could be revised in future studies as more national data is collected. Materials and Methods: A retrospective multicenter study was conducted to analyze data from 822 adult kidney transplant recipients from adult donors between 1998 and 2018.
Utilizing Partial Flexibility to Improve Emergency Department Flow: Theory and Implementation
Emergency Departments (EDs) typically have multiple areas where patients of different acuity levels receive treatments. In practice, different areas often operate with fixed nurse staffing levels. When there are substantial imbalances in congestion among different areas, it could be beneficial to deviate from the original assignment and reassign nurses. However, reassignments typically are only feasible at the beginning of 8-12-hour shifts, providing partial flexibility in adjusting staffing levels.
Investor Information Choice with Macro and Micro Information
We develop a model of information and portfolio choice in which ex ante identical investors choose to specialize because of fixed attention costs required in learning about securities. Without this friction, investors would invest in all securities and would be indifferent across a wide range of information choices. When securities' dividends depend on an aggregate (macro) risk factor and an idiosyncratic (micro) shocks, fixed attention costs lead investors to specialize in either macro or micro information.
Quantifying utilitarian outcomes to inform triage ethics: Simulated performance of a ventilator triage protocol under Sars-CoV-2 pandemic surge conditions
Background
Equitable protocols to triage life-saving resources must be specified prior to shortages in order to promote transparency, trust and consistency. How well proposed utilitarian protocols perform to maximize lives saved is unknown. We aimed to estimate the survival rates that would be associated with implementation of the New York State 2015 guidelines for ventilator triage, and to compare them to a first-come-first-served triage method.
Methods
Service design to balance waiting time and infection risk: An application for elections during the COVID-19 pandemic
The COVID-19 pandemic has caused great disruption to the service sector, and it has, in turn, adapted by implementing measures that reduce physical contact among employees and users; examples include home-office work and the setting of occupancy restrictions at indoor locations.
Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and Their Effect on Portfolio Execution
The composition of natural liquidity has been changing over time. An analysis of intraday volumes for the S&P500 constituent stocks illustrates that (i) volume surprises, i.e., deviations from their respective forecasts, are correlated across stocks, and (ii) this correlation increases during the last few hours of the trading session.
Product Ranking in the Presence of Social Learning
This paper studies product ranking mechanisms of a monopolistic online platform in the presence of social learning. The products' quality is initially unknown, but consumers can sequentially learn it as online reviews accumulate. A salient aspect of our problem is that consumers, who want to purchase a product from a list of items displayed by the platform, incur a search cost while scrolling down the list. In this setting, the social learning dynamics, and hence the demand, is aected by the interplay of two unique features: substitution and ranking eects.
Risk-Sensitive Optimal Execution via a Conditional Value-at-Risk Objective
We consider a liquidation problem in which a risk-averse trader tries to liquidate a fixed quantity of an asset in the presence of market impact and random price fluctuations. When deciding the liquidation strategy, the trader encounters a trade-off between the transaction costs incurred due to market impact and the volatility risk of holding the position.