General Finance
The existence of stylized facts in financial data has been documented in many studies. In the past decade the modeling of financial markets by agent-based computational economic market models has become a frequently used modeling approach.…
As the decade turns, we reflect on nearly thirty years of successful manipulation of the world's public equity markets. This reflection highlights a few of the key enabling ingredients and lessons learned along the way. A quantitative…
We applied Deep Q-Network with a Convolutional Neural Network function approximator, which takes stock chart images as input, for making global stock market predictions. Our model not only yields profit in the stock market of the country…
In this paper we show similarities between turbulence and financial systems. Motivated by similarities between the two systems, we construct a multiscale model for hierarchical financial structures that exhibits a constant cascade of wealth…
This paper aims to explore the mechanical effect of a company's share repurchase on earnings per share (EPS). In particular, while a share repurchase scheme will reduce the overall number of shares, suggesting that the EPS may increase,…
Different shares of distinct commodity sectors in production, trade, and consumption illustrate how resources and capital are allocated and invested. Economic progress has been claimed to change the share distribution in a universal manner…
We take a closer look at the life and legacy of Micheal Milken. We discuss why Michael Milken, also know as the Junk Bond King, was not just any other King or run-of-the-mill Junk Dealer, but "The Junk Dealer". We find parallels between the…
Recent advances in the fields of machine learning and neurofinance have yielded new exciting research perspectives in practical inference of behavioural economy in financial markets and microstructure study. We here present the latest…
Stablecoins promise to bridge fiat currencies with the world of cryptocurrencies. They provide a way for users to take advantage of the benefits of digital currencies, such as ability to transfer assets over the internet, provide assurance…
As financial instruments grow in complexity more and more information is neglected by risk optimization practices. This brings down a curtain of opacity on the origination of risk, that has been one of the main culprits in the 2007-2008…
In this paper we consider two problems on optimal implementation delay of taxation with trade-off for spectrally negative L\'{e}vy insurance risk processes. In the first case, we assume that an insurance company starts to pay tax when its…
The informational context is regularly questioned in a transitional economic regime like the one implemented in China or Vietnam. This article investigates this issue and the predictive power of fundamental analysis in such context and more…
Myanmar is languishing at the bottom of key international indexes. United Nations considers the country as a structurally weak and vulnerable economy. Yet, from 2011 when Myanmar ended decades of military rule and isolationism and transited…
This paper makes the first attempt to introduce the tools from computer graphics into the art pricing research. We argue that the creation of a painting calls for a combination of conceptual effort and painting effort from the artist.…
In economics literature, it is accepted that all people are rational and they try to maximize their utilities as possible as they can. In addition, economic theories are formed with the assumptions not suitable to real life. For instance,…
We find the explicit expression for the equilibrium wealth distribution of the Directed Random Market process, recently introduced by Mart\'inez-Mart\'inez and L\'opez-Ruiz, which turns out to be a Gamma distribution with shape parameter…
We construct two examples of shareholder networks in which shareholders are connected if they have shares in the same company. We do this for the shareholders in Turkish companies and we compare this against the network formed from the…
This paper suggests that business cycles may be a manifestation of coupled real economy and stock market dynamics and describes a mechanism that can generate economic fluctuations consistent with observed business cycles. To this end, we…
This paper presents a model of capital accumulation for a large number of heterogenous producer-consumers in an exchange space in which interactions depend on agents' positions. Each agent is described by his production, consumption, stock…
Companies try to maximize their profits by recovering returned products of highly uncertain quality and quantity. In this paper, a reverse logistics network for an Original Equipment Manufacturer (OEM) is presented. Returned products are…