An improved nonparametric estimator for households marginal utility function
This paper considers the problem of estimating nonparametrically the marginal utility function of economic agents whose consumption decision is captured by a consumption based asset pricing Euler equation, and we provide an improved nonparametric estimator by taking advantage of the desirable properties of the local-linear least-squares (LLLS) estimator the nonparametric identification is based on a new set of less stringent assumptions that are easy to verify in practice, and show in simulations that our estimator has advantageous properties compared to existing estimators.
Do Positions of Large Traders Contain Predictive Information about Daily Returns on the LBMA Gold Fix?
This paper investigates whether an investment strategy based on the position of large traders may yield unusually returns. The strategy is predicated on the possibility of insider information regarding the LBMA Gold Fix. I found that the information collected by the Commodity Futures Trading Commission about large traders positions does contain important predictive information on future gold prices at the time of survey, but this predictive power vanishes before the data is made public, three days later.