Related papers: Productivity Dispersion: Facts, Theory, and Implic…
When opinion spread is studied, peer pressure is often modeled by interactions of more than two individuals (higher-order interactions). In our work, we introduce a two-layer random hypergraph model, in which hyperedges represent households…
A statistical model for the fragmentation of a conserved quantity is analyzed, using the principle of maximum entropy and the theory of partitions. Upper and lower bounds for the restricted partitioning problem are derived and applied to…
We propose a theory of the market impact of metaorders based on a coarse-grained approach where the microscopic details of supply and demand is replaced by a single parameter $\rho \in [0,+\infty]$ shaping the supply-demand equilibrium and…
When modeling a vector of risk variables, extreme scenarios are often of special interest. The peaks-over-thresholds method hinges on the notion that, asymptotically, the excesses over a vector of high thresholds follow a multivariate…
The upper tail of a claim size distribution of a property line of business is frequently modelled by Pareto distribution. However, the upper tail does not need to be Pareto distributed, extraordinary shapes are possible. Here, the…
The most popular approach in extreme value statistics is the modelling of threshold exceedances using the asymptotically motivated generalised Pareto distribution. This approach involves the selection of a high threshold above which the…
In this paper, we design indices of economic fluctuation narratives derived from economic surveys. Companies, governments, and investors rely on key metrics like GDP and industrial production indices to predict economic trends. However,…
We investigate the shape of the Italian personal income distribution using microdata from the Survey on Household Income and Wealth, made publicly available by the Bank of Italy for the years 1977--2002. We find that the upper tail of the…
Modern technologies are generating ever-increasing amounts of data. Making use of these data requires methods that are both statistically sound and computationally efficient. Typically, the statistical and computational aspects are treated…
This paper examines optimal risk sharing for empirically realistic risk attitudes, providing results on Pareto optimality, competitive equilibria, utility frontiers, and the first and second theorems of welfare. Contrary to common…
We develop an analytically tractable model featuring heterogeneous workers and firms, where labor markets clear through a one-to-many sorting mechanism. Firms determine both the number and composition of their employees, shaping (1) the…
Supply chain optimization schemes have more often than not underplayed the role of inherent stochastic fluctuations in the associated variables. The present article focuses on the associated reengagement and correlated renormalization of…
Investigations of inverse statistics (a concept borrowed from turbulence) in stock markets, exemplified with filtered Dow Jones Industrial Average, S&P 500, and NASDAQ, have uncovered a novel stylized fact that the distribution of exit time…
The relationships between diversity, productivity and scale determine much of the structure and robustness of complex biological and social systems. While arguments for the link between specialization and productivity are common, diversity…
I discuss our current understanding of parton distributions. I begin with the underlying theoretical framework, and the way in which different data sets constrain different partons, highlighting recent developments. The methods of examining…
Autoregressive processes are intensively studied in statistics and other fields of applied stochastics. For many applications the overshoot and the threshold-time are of special interest. When the upward innovations are in the class of…
This contribution examines the current controversy over research productivity. There are two sides in this controversy. Using extensive data from several industries and areas of research, one side argues that research productivity is…
I examine changes in matching efficiency and elasticities in Japan's labor market via Hello Work for unemployed workers from January 1972 to April 2024 using a nonparametric identification approach by y Lange and Papageorgiou (2020). I find…
We study the growth dynamics of the size of manufacturing firms considering competition and normal distribution of competency. We start with the fact that all components of the system struggle with each other for growth as happened in real…
By analyzing a large data set of daily returns with data clustering technique, we identify economic sectors as clusters of assets with a similar economic dynamics. The sector size distribution follows Zipf's law. Secondly, we find that…