arXiv subjects

Suryadeepto Nag

Publications and source records attributed to Suryadeepto Nag.

7 recordsLinked to original sources

arXiv2024

The Carbon Premium: Correlation or Causation? Evidence from S&P 500 Companies

In the context of whether investors are aware of carbon-related risks, it is often hypothesized that there may be a carbon premium in the value of stocks of firms, conferring an abnormal excess value to firms' shares as a form of compensation to investors for their transition risk exposure through the ownership of carbon instensive stocks. However, there is little consensus in the literature regarding the existence of such a premium. Moreover few studies have examined whether the correlation that is often observed is actually causal. The pertinent question is whether more polluting firms give higher returns or do firms with high returns have less incentive to decarbonize? In this study, we investigate whether firms' emissions is causally linked to the presence of a carbon premium in a panel of 141 firms listed in the S\&P500 index using fixed-effects analysis, with propensity score weighting to control for selection bias in which firms increase their emissions. We find that there is a statistically significant positive carbon premium associated with Scope 1 emissions, while there is no significant premium associated with Scope 2 emissions, implying that risks associated with direct emissions by the firm are priced, while bought emissions are not.

q-fin.PR↗

arXiv2023

Does Reliable Electricity Mean Lesser Agricultural Labor Wages? Evidence from Indian Villages

Using a panel of 1,171 villages in rural India that were surveyed in the India Human Development Surveys, I perform a difference-in-differences analysis to find that improvements in electricity reliability have a negative effect on the increase in casual agricultural labor wage rates. Changes in men's wage rates are found to be affected more adversely than women's, resulting in a smaller widening of the gender wage gap. I find that better electricity reliability reduces the time spent by women in fuel collection substantially which could potentially increase labor supply. The demand for labor remains unaffected by reliability, which could lead the surplus in labor supply to cause wage rates to stunt. However, I show that electrical appliances such as groundwater pumps considerably increase labor demand indicating that governments could target increasing the adoption of electric pumps along with bettering the quality of electricity to absorb the surplus labor into agriculture.

econ.GN↗

arXiv2022

Studying the age of onset and detection of Chronic Myeloid Leukemia using a three-stage stochastic model

Chronic Myeloid Leukemia (CML) is a biphasic malignant clonal disorder that progresses, first with a chronic phase, where the cells have enhanced proliferation only, and then to a blast phase, where the cells have the ability of self-renewal. It is well-recognized that the Philadelphia chromosome (which contains the BCR-ABL fusion gene) is the "hallmark of CML". However, empirical studies have shown that the mere presence of BCR-ABL may not be a sufficient condition for the development of CML, and further modifications related to tumor suppressors may be necessary. Accordingly, we develop a three-mutation stochastic model of CML progression, with the three stages corresponding to the non-malignant cells with BCR-ABL presence, the malignant cells in the chronic phase and the malignant cells in the blast phase. We demonstrate that the model predictions agree with age incidence data from the United States. Finally, we develop a framework for the retrospective estimation of the time of onset of malignancy, from the time of detection of the cancer.

q-bio.QM↗

arXiv2022

Single Event Transition Risk: A Measure for Long Term Carbon Exposure

Although there is a growing consensus that a low-carbon transition will be necessary to mitigate the accelerated climate change, the magnitude of transition-risk for investors is difficult to measure exactly. Investors are therefore constrained by the unavailability of suitable measures to quantify the magnitude of the risk and are forced to use the likes of absolute emissions data or ESG scores in order to manage their portfolios. In this article, we define the Single Event Transition Risk (SETR) and illustrate how it can be used to approximate the magnitude of the total exposure of the price of a share to low-carbon transition. We also discuss potential applications of the single event framework and the SETR as a risk measure and discuss future direction on how this can be extended to a system with multiple transition events.

q-fin.RM↗

arXiv2022

Modeling the dynamics of COVID-19 transmission in India: Social Distancing, Regional Spread and Healthcare Capacity

In the new paradigm of health-centric governance, policy makers are in a constant need for appropriate metrics and estimates in order to determine the best policies in a non-arbitrary fashion. Thus, in this paper, a compartmentalized model for the transmission of COVID-19 is developed to facilitate policy making. A socially distanced compartment is added to the model and its utility in quantifying the magnitude of voluntary social distancing is illustrated. Modifications are made to incorporate inter-region migration, and suitable metrics are proposed to quantify the impact of migration on the rise of cases. The healthcare capacity is modeled and a method is developed to study the consequences of the saturation of the healthcare system. The model and related measures are used to study the nature of the transmission and spread of COVID-19 in India, and appropriate insights are drawn.

q-bio.PE↗

arXiv2021

Continuous-Time Higher Order Markov Chains: Formulation and Parameter Estimation

Stochastic processes find applications in modelling systems in a variety of disciplines. A large number of stochastic models considered are Markovian in nature. It is often observed that higher order Markov processes can model the data better. However most higher order Markov models are discrete. Here, we propose a novel continuous-time formulation of higher order Markov processes, as stochastic differential equations, and propose a method of parameter estimation by maximum likelihood methods.

math.PR↗

arXiv2020

Modeling the commodity prices of base metals in Indian commodity market using a Higher Order Markovian Approach

A Higher Order Markovian (HOM) model to capture the dynamics of commodity prices is proposed as an alternative to a Markovian model. In particular, the order of the former model, is taken to be the delay, in the response of the industry, to the market information. This is then empirically analyzed for the prices of Copper Mini and four other bases metals, namely Aluminum, Lead, Nickel and Zinc, in the Indian commodities market. In case of Copper Mini, the usage of the HOM approach consistently offer improvement, over the Markovian approach, in terms of the errors in forecasting. Similar trends were observed for the other base metals considered, with the exception of Aluminum, which can be attributed the volatility in the Asian market during the COVID-19 outbreak.

q-fin.TR↗