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Publications (420)
Policy Points
Cell and gene therapies (CGTs) offer treatment for rare and oftentimes deadly disease, but their prices are high, and payers may seek to limit spending.
Total annual costs of covering all existing and expected CGTs for the entire US population 2023–2035 to amount to less than $20 per person and concentrate in commercial and state Medi...
We propose a new performance attribution framework that decomposes a constrained portfolio’s holdings, expected returns, variance, expected utility, and realized returns into components attributable to (1) the unconstrained mean-variance optimal portfolio; (2) individual static constraints; and (3) information, if any, arising from those constraint...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
Using Induced Order Statistics to Construct Optimal Impact Portfolios with General Dependence and Marginals
We develop a mathematical framework for constructing optimal impact portfolios and quantifying their financial performance by characterizing the returns of impact-ranked assets using induced order statistics and copulas. Our results apply to...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
The Adaptive Markets Hypothesis (AMH) presents a new narrative that reconciles rational behaviour with periods of temporary financial insanity, and provides a formal and systematic exposition of the theory of the AMH and its many applications. In this narrative, intelligent but fallible investors learn from and adapt to changing environments. Finan...
We investigate the impact of information on biopharmaceutical stock prices via an event study encompassing 503,107 news releases from 1,012 companies. We distinguish between pharmaceutical and biotechnology companies, and apply three asset pricing models to estimate their abnormal returns. Acquisition-related news yields the highest positive return...
We propose a quantitative framework for assessing the financial impact of any form of impact investing, including socially responsible investing; environmental, social, and governance (ESG) objectives; and other nonfinancial investment criteria. We derive conditions under which impact investing detracts from, improves on, or is neutral to the perfo...
Gene therapy is a new class of medical treatment that alters part of a patient’s genome through the replacement, deletion, or insertion of genetic material. While still in its infancy, gene therapy has demonstrated immense potential to treat and even cure previously intractable diseases. Nevertheless, existing gene therapy prices are high, raising...
We review macro-finance models featuring nonlinear dynamics that have recently been developed in the literature, including models with funding liquidity constraints, market liquidity frictions, and bank run frictions, and discuss the empirical evidence and challenges of this class of models. We also construct an illustrative model featuring financi...
Background
We consider two key challenges that early-stage biotechnology firms face in developing a sustainable financing strategy and a sustainable business model: developing a valuation model for drug compounds, and choosing an appropriate operating model and corporate structure. We use the specific example of Unravel Biosciences—a therapeutics p...
The measurement of financial risk premia, the amount that a risky asset will outperform a risk-free one, is an important problem in asset pricing. The noisiness and non-stationarity of asset returns makes the estimation of risk premia using machine learning (ML) techniques challenging. In this work, we develop ML models that solve the problems asso...
Background:
The statistical significance of clinical trial outcomes is generally interpreted quantitatively according to the same threshold of 2.5% (in one-sided tests) to control the false-positive rate or type I error, regardless of the burden of disease or patient preferences. The clinical significance of trial outcomes-including patient prefer...
A fixed one-sided significance level of 5% is commonly used to interpret the statistical significance of randomized clinical trial (RCT) outcomes. While it is necessary to reduce the false positive rate, the threshold used could be chosen quantitatively and transparently to specifically reflect patient preferences regarding benefit-risk tradeoffs a...
The COVID-19 pandemic has raised awareness about the global imperative to develop and stockpile vaccines against future outbreaks of emerging infectious diseases. Prior to the pandemic, vaccine development for emerging infectious diseases was stagnant, largely due to the lack of financial incentive for pharmaceutical firms to undertake the necessar...
We review the recent literature on financing biomedical innovation, with a specific focus on the drug development process and how it may be enhanced to improve outcomes. We begin by laying out stylized facts about the structure of the drug development process and its associated costs and risks, and we present evidence that the rate of discovery for...
Objective: Provide US FDA and amyotrophic lateral sclerosis (ALS) society with a systematic, transparent, and quantitative framework to evaluate the efficacy of the ALS therapeutic candidate AMX0035 in its phase 2 trial, which showed statistically significant effects (p-value 3%) in slowing the rate of ALS progression on a relatively small sample s...
Despite its success in financial markets and other domains, collective intelligence seems to fall short in many critical contexts, including infrequent but repeated financial crises, political polarization and deadlock, and various forms of bias and discrimination. We propose an evolutionary framework that provides fundamental insights into the rol...
We perform an event study analysis that quantifies the market reaction to clinical trial result announcements for 13,807 trials from 2000 to 2020, one of the largest event studies of clinical trials to date. We first determine the specific dates in the clinical trial process on which the greatest impact on the stock prices of their sponsor companie...
Use of robust, quantitative tools to measure patient perspectives within product development and regulatory review processes offers the opportunity for medical device researchers, regulators, and other stakeholders to evaluate what matters most to patients and support the development of products that can best meet patient needs. The medical device...
The opioid epidemic in the U.S. has resulted in significant costs in human lives as well as to the health care system, employers, and insurers. While there is great motivation and urgency to address the opioid crisis, there are currently few non-opioid pain management medications in the development pipeline. The growing regulatory pressures and sti...
We study the relationships between the real-time psychophysiological activity of professional traders, their financial transactions, and market fluctuations. We collected multiple physiological signals such as heart rate, blood volume pulse, and electrodermal activity of 55 traders at a leading global financial institution during their normal worki...
![Flowchart of the original DELPHI model (in green) [2] and the...](publication/361691140/figure/fig1/AS:11431281275485140@1725410029046/Flowchart-of-the-original-DELPHI-model-in-green-2-and-the-additional-vaccination_Q320.jpg)
Following the approval by the FDA of two COVID-19 vaccines, which are administered in two doses three to four weeks apart, we simulate the effects of various vaccine distribution policies on the cumulative number of infections and deaths in the United States in the presence of shocks to the supply of vaccines. Our forecasts suggest that allocating...
Background
With multimorbidity becoming the norm rather than the exception, the management of multiple chronic diseases is a major challenge facing healthcare systems worldwide.
Methods
Using a large, nationally representative database of electronic medical records from the United Kingdom spanning the years 2005–2016 and consisting over 4.5 millio...
Background:
We estimate the probability of successful development and duration of clinical trials for medications to treat neuropathic and nociceptive pain. We also consider the effect of the perceived abuse potential of the medication on these variables.
Methods:
This study uses the Citeline database to compute the probabilities of success, dur...
Introduction:
Machine learning models are increasingly applied to predict the drug development outcomes based on intermediary clinical trial results. A key challenge to this task is to address various forms of bias in the historical drug approval data.
Objective:
We aimed to identify and mitigate the bias in drug approval predictions and quantif...
In this work, the authors develop a data-driven peer grouping system using artificial intelligence (AI) tools to capture market perception and, in turn, group companies into clusters at various levels of granularity. In addition, they develop a continuous measure of similarity between companies; use this measure to group companies into clusters and...
Building your startup with venture philanthropy investment.
Using a novel dataset of 653,455 individual brokerage accounts belonging to 298,556 households, we document the frequency, timing, and duration of panic sales, which we define as a decline of 90% of a household account’s equity assets over the course of one month, of which 50% or more is due to trades. We find that a disproportionate number of hous...
Biomedical innovation suffers from a “funding gap” between the needs of drug development firms and the availability of funds. The requirement of large investments for drug development projects and the high pipeline risk associated with FDA approval causes this funding gap in part. In this paper, we propose a new financial instrument—the “FDA hedge”...
Probability matching, also known as the “matching law” or Herrnstein’s Law, has long puzzled economists and psychologists because of its apparent inconsistency with basic self-interest. We conduct an experiment with real monetary payoffs in which each participant plays a computer game to guess the outcome of a binary lottery. In addition to finding...
The regulatory approval process for new therapies in oncology involves costly clinical trials that can span multiple years and historically have had a low probability of success. To derive estimates of the probability of success and other related risk characteristics in oncology clinical trials, we searched Informa Pharma Intelligence's Trialtrove...
Bayes’ rule is a fundamental principle that has been applied across multiple disciplines. However, few studies have addressed its origin as a cognitive strategy, or the underlying basis for generalization from a small sample. Using a simple binary choice model subject to natural selection, we derive Bayesian inference as an adaptive behavior under...
We describe a novel collaboration between academia and industry, an in-house data science and artificial intelligence challenge held by Novartis to develop machine-learning models for predicting drug-development outcomes, building upon research at MIT using data from Informa as the starting point. With over 50 cross-functional teams from 25 Novarti...
Background: With multimorbidity becoming the norm rather than the exception, the management of multiple chronic diseases is a major challenge facing healthcare systems worldwide.
Methods: Using a large, nationally representative database of electronic medical records from the United Kingdom spanning the years 2005 to 2016 and consisting over 4.5 mi...
The interaction between product market competition, R&D investment, and the financing choices of R&D-intensive firms on the development of innovative products is only partially understood. We hypothesize that as competition increases, R&D-intensive firms will: i) increase R&D investment relative to existing assets in place; ii) carry more cash; and...
We represent risk factors as sums of orthogonal components capturing fluctuations with cycles of different length. The representation leads to novel spectral factor models in which systematic risk is allowed—without being forced—to vary across frequencies. Frequency-specific systematic risk is captured by a notion of spectral beta. We show that tra...
Academic institutions play a central role in the biotech industry through technology licensing and the creation of startups, but few data are available on their performance and the magnitude of their impact. Here we present a systematic study of technology licensing by one such institution, the Massachusetts Institute of Technology (MIT). Using dat...
Teaser: A portfolio-based parallel discovery strategy, coupled with an adaptive clinical trial platform, significantly reduces the financial risks of undertaking novel drug development projects for glioblastoma and expedites the drug discovery process.
Development of curative treatments for glioblastoma (GBM) has been stagnant in recent decades lar...
We compare and contrast the expected duration and number of infections and deaths averted among several designs for clinical trials of COVID-19 vaccine candidates, including traditional and adaptive randomized clinical trials and human challenge trials. Using epidemiological models calibrated to the current pandemic, we simulate the time course of...
The regulatory approval process for new therapies involves costly clinical trials that can span multiple years. When valuing a candidate therapy from a financial perspective, industry sponsors may terminate a program early if clinical evidence suggests market prospects are not as favorable as originally forecasted. Intuition suggests that clinical...
We provide a critical review of macroeconomic models used for monetary policy at central banks from a finance perspective. We review the history of monetary policy modeling, survey the core monetary models used by major central banks, and construct an illustrative model for those readers who are unfamiliar with the literature. Within this framework...
We assess the potential financial impact of future gene therapies by identifying the 109 late-stage gene therapy clinical trials currently underway, estimating the prevalence and incidence of their corresponding diseases, developing novel mathematical models of the increase in quality-adjusted life years for each approved gene therapy, and simulati...
We compare and contrast the expected duration and number of infections and deaths averted among several designs for clinical trials of COVID-19 vaccine candidates, including traditional randomized clinical trials and adaptive and human challenge trials. Using epidemiological models calibrated to the current pandemic, we simulate the time course of...
Advances in financial technology have made tax-loss harvesting more feasible for retail investors than such strategies were in the past. We evaluated the magnitude of this “tax alpha” with the use of historical data from the CRSP monthly database for the 500 securities with the largest market capitalizations from 1926 to 2018. Given long-term and s...
A key driver in biopharmaceutical investment decisions is the probability of success of a drug development program. We estimate the probabilities of success (PoSs) of clinical trials for vaccines and other anti-infective therapeutics using 43,414 unique triplets of clinical trial, drug, and disease between January 1, 2000, and January 7, 2020, yiel...
In the midst of epidemics such as COVID-19, therapeutic candidates are unlikely to be able to complete the usual multiyear clinical trial and regulatory approval process within the course of an outbreak. We apply a Bayesian adaptive patient-centered model—which minimizes the expected harm of false positives and false negatives—to optimize the clini...
A key driver in biopharmaceutical investment decisions is the probability of success of a drug development program. We estimate the probabilities of success (PoS) of clinical trials for vaccines and other anti-infective therapeutics using 43,414 unique triplets of clinical trial, drug, and disease between January 1, 2000, and January 7, 2020, yield...
In the midst of epidemics such as COVID-19, therapeutic candidates are unlikely to be able to complete the usual multi-year clinical trial and regulatory approval process within the course of an outbreak. We apply a Bayesian adaptive patient-centered model---which minimizes the expected harm of false positives and false negatives---to optimize the...
We examine the disruptive pricing strategy of abaloparatide, an osteoporosis drug launched by Radius Health in 2017 at a list price 45% lower than its main competitor. This strategy allowed Radius to gain rapid access to this market and achieve a corresponding growth in patient volume. It now faces two challenges: the perverse incentive of Medicare...
