General Finance
The future value of a security is described as a random variable. Distribution of this random variable is the formal image of risk uncertainty. On the other side, any present value is defined as a value equivalent to the given future value.…
The investment economy is a main characteristic of prosperous society. The investment portfolio management is a main financial problem, which has to be solved by the investment, commercial and central banks with the application of modern…
In this paper we provide compelling evidence of cyclical mean reversion and multiperiod stock return predictability over horizons of about 30 years with a half-life of about 15 years. This implies that the US stock market follows a…
A simple quantitative example of a reflexive feedback process and the resulting price dynamics after an exogenous price shock to a financial network is presented. Furthermore, an outline of a theory that connects financial reflexivity,…
Herein, we applied statistical physics to study incomes of three (low-, medium- and high-income) society classes instead of the two (low- and medium-income)classes studied so far. In the frame of the threshold nonlinear Langevin dynamics…
In this paper we aim to find a measure for the diversity of cash flows between agents in an economy. We argue that cash flows can be linked to probabilities of finding a currency unit in a given cash flow. We then use the information…
This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both the drift and volatility of the driving process. At a technical level, the analysis requires a…
Interval bankruptcy problems arise in situations where an estate has to be liquidated among a fixed number of creditors and uncertainty about the amounts of the claims is modeled by intervals. We extend in the interval setting the classical…
This research examines relationship between staging of Venture Capital (VC) investments and social feedback visible in publicly available data on the Web. We address the question of Venture Capital investment sensitivity to performance and…
There are few papers about the consumption pattern of the Portuguese wine, using econometrics techniques. This work, pretend to analyze the consumers behavior of the wine produced in Portugal, determining the demand equation with panel data…
We investigate the dynamics of a trust game on a mixed population where individuals with the role of buyers are forced to play against a predetermined number of sellers, whom they choose dynamically. Agents with the role of sellers are also…
Modern approaches to stock pricing in quantitative finance are typically founded on the 'Black-Scholes model' and the underlying 'random walk hypothesis'. Empirical data indicate that this hypothesis works well in stable situations but, in…
The objective of this article is to analyze the impact of capital structure on profitability. This impact can be explained by three essential theories: signaling theory, tax theory and the agency costs theory. A sample of 1846 French…
We introduce a simple model for addressing the controversy in the study of financial systems, sometimes taken as brownian-like processes and other as critical systems with fluctuations of arbitrary magnitude. The model considers a…
If financial markets displayed the informational efficiency postulated in the efficient markets hypothesis (EMH), arbitrage operations would be self-extinguishing. The present paper considers arbitrage sequences in foreign exchange (FX)…
The Bohmian quantum approach is implemented to analyze the financial markets. In this approach, there is a wave function that leads to a quantum potential. This potential can explain the relevance and entanglements of the agent's behaviors…
This reviews the econophysics activities in Belgium from my admittedly biased point of view. Unknown historical notes or facts are presented for the first time explaining the aims, whence evolution of the research papers and friendly…
We have studied statistical characteristics of five share price time series. For each stock price, we estimated a best fit quantitative model for the monthly closing price as based on the decomposition into two defining consumer price…
We collect and analyze the data for working time, life expectancy, and the pair output and infrastructure of industrializing nations. During S-functional recovery from disaster the pair's time shifts yield 25 years for the infrastructure's…
We analyse four consecutive cycles observed in the USA for employment and inflation. They are driven by three oil price shocks and an intended interest rate shock. Non-linear coupling between the rate equations for consumer products as prey…