arXiv subjects

Wanling Rudkin

Publications and source records attributed to Wanling Rudkin.

4 recordsLinked to original sources

arXiv2026

A Multiscale Ball Test for Conditional Mean Independence

Tests of conditional mean independence can lose power when departures are confined to a bounded part of a multivariate predictor space and the relevant spatial scale is unknown. We propose a Multiscale Ball Conditional Mean Independence (MBCMI) test that aggregates support-weighted local mean contrasts in an outcome variable across balls centered on each data point in a predictor set. Fixed-grid theory identifies the population target, establishes consistency for grid-visible alternatives, and derives a Pitman local-power limit governed by the ball-smoothed mean departure. For serial data, feasible recursive-sign-bootstrap validity for stable finite-order autoregressions with conditionally sign-symmetric innovations is established. Application-aligned serial null experiments reject 4.25% of the time. MBCI is demonstrated to be strongest for local and radial signals. Predictor-law experiments show that these conclusions are not an artefact of independent Gaussian covariates. In monthly U.S. finance data, cross-fitted residual MBCMI tests remove every full-sample rejection, suggesting contemporaneous conditional-mean dependence rather than evidence of distinctive nonlinear structure.

stat.ME↗

arXiv2026

Fund Competition under Conflicting ESG Rating Methodologies

Competing ESG rating providers reward different portfolio attributes. This paper models funds that choose portfolios and fees for investors with heterogeneous ESG priorities. Portfolio changes can improve both providers' scores or favour one methodology over the other, and investor demand determines which methodology each fund targets. Greater disagreement makes provider-specific positioning more productive but common improvement less productive. Funds therefore specialise more, yet both provider scores, investor participation, and equilibrium fees fall in the benchmark equilibrium. Investor heterogeneity creates matching gains from specialisation, while common improvement supports holdings-based ESG exposure. Methodology convergence improves participation and common exposure but weakens matching across investor clienteles. Convergence raises welfare when the social value of common exposure is sufficiently high.

q-fin.PR↗

arXiv2026

ballmapper: Applying Topological Data Analysis Ball Mapper in Stata

Topological Data Analysis Ball Mapper (TDABM) offers a model-free visualization of multivariate data which does not necessitate the information loss associated with dimensionality reduction. TDABM Dlotko (2019) produces a cover of a multidimensional point cloud using equal size balls, the radius of the ball is the only parameter. A TDABM visualization retains the full structure of the data. The graphs produced by TDABM can convey coloration according to further variables, model residuals, or variables within the multivariate data. An expanding literature makes use of the power of TDABM across Finance, Economics, Geography, Medicine and Chemistry amongst others. We provide an introduction to TDABM and the \texttt{ballmapper} package for Stata.

stat.ME↗

arXiv2019

Reaction Asymmetries to Social Responsibility Index Recomposition: A Matching Portfolio Approach

Listing on the Dow Jones Sustainability Index is seen as a gold-standard, verifying to the market that a firm is fully engaged with a corporate social responsibility agenda. Robustly quantifying the impact of listing, and de-listing, against any industry level shocks, as well as evolution in the competitive relationship between firms within the industry, provides a strength absent in existing works. It is shown that cumulative abnormal returns on stocks added to the index are significantly positive in the three trading weeks prior to the official announcement. The post-listing correction result posited to date is also demonstrated to hold; the proportion of periods with significant negative returns is low, however. Announcement, rather than effective dates are critical to returns. Differentials between these stages in the chronology is an important contribution of this paper. Most effects end before the membership changes become effective. Whilst there are considerable gains to be made, they come pre-announcement date and require foresight to exploit. Investors must research likely new members to gain maximum return.

q-fin.ST↗