Related papers: Stochastic modeling of Congress
We derive a continuous time model for the joint evolution of the mid price and the bid-ask spread from a multiscale analysis of the whole limit order book (LOB) dynamics. We model the LOB as a multiclass queueing system and perform our…
Climate policy and legislation has a significant influence on both domestic and global responses to the pressing environmental challenges of our time. The effectiveness of such climate legislation is closely tied to the complex dynamics…
We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a…
This paper studies a novel stochastic compartmental model that describes the dynamics of trust in society. The population is split into three compartments representing levels of trust in society: trusters, skeptics and doubters. The focus…
We investigate a statistical-static hedging technique for pricing assets considered as single-step stochastic cash flows. The valuation is based on constructing in a canonical way a European style derivative on a benchmark security such…
Two stochastic models are proposed to describe the evolution of the COVID-19 pandemic. In the first model the population is partitioned into four compartments: susceptible $S$, infected $I$, removed $R$ and dead people $D$. In order to have…
We study simultaneous price drops of real stocks and show that for high drop thresholds they follow a power-law distribution. To reproduce these collective downturns, we propose a minimal self-organized model of cascade spreading based on a…
Central banks rely on density forecasts from professional surveys to assess inflation risks and communicate uncertainty. A central challenge in using these surveys is irregular participation: forecasters enter and exit, skip rounds, and…
We introduce an innovative framework that leverages advanced big data techniques to analyze dynamic co-movement between stocks and their underlying fundamentals using high-frequency stock market data. Our method identifies leading…
We introduce the stochastic multiplicative point process modelling trading activity of financial markets. Such a model system exhibits power-law spectral density S(f) ~ 1/f**beta, scaled as power of frequency for various values of beta…
Modeling the evolution of a financial index as a stochastic process is a problem awaiting a full, satisfactory solution since it was first formulated by Bachelier in 1900. Here it is shown that the scaling with time of the return…
We study a family of weighted random walks on complete graphs. These `democratic walks' turn out to be explicitly solvable, and we find the hierarchy window for which the characteristic time scale saturates the so-called fast scrambling…
Targeting a better understanding of credit market dynamics, the authors have studied a stochastic model named the Hawkes process. Describing trades arrival times, this kind of model allows for the capture of self-excitement and mutual…
This study presents a Bayesian spatial voting analysis of the Colombian Senate during the 2006-2010 legislative period, leveraging a newly constructed roll-call dataset comprising 147 senators and 136 plenary votes. We estimate legislators'…
A microscopic dynamic model is here constructed and analyzed, describing the evolution of the income distribution in the presence of taxation and redistribution in a society in which also tax evasion and auditing processes occur. The focus…
Fat tails in financial time series and increase of stocks cross-correlations in high volatility periods are puzzling facts that ask for new paradigms. Both points are of key importance in fundamental research as well as in Risk Management…
Earlier we proposed the stochastic point process model, which reproduces a variety of self-affine time series exhibiting power spectral density S(f) scaling as power of the frequency f and derived a stochastic differential equation with the…
We explore the voter model dynamics on a directed random graph model ensemble (digraphs), given by the Directed Configuration Model. The voter model captures the evolution of opinions over time on a graph where each vertex represents an…
The binary many-step Markov chain with the step-like memory function is considered as a model for the analysis of rank distributions of words in stochastic symbolic dynamical systems. We prove that the envelope curve for this distribution…
This manuscript reports a stochastic dynamical scenario whose associated stationary probability density function is exactly a previously proposed one to adjust high-frequency traded volume distributions. This dynamical conjecture,…