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In this work we study an economic agent based model under different asymmetric information degrees. This model is quite simple and can be treated analytically since the buyers evaluate the quality of a certain good taking into account only…
A new mixture vector autoregressive model based on Gaussian and Student's $t$ distributions is introduced. As its mixture components, our model incorporates conditionally homoskedastic linear Gaussian vector autoregressions and…
A problem from thermodynamic formalism for countable symbolic Markov chains is considered. It concerns asymptotic behavior of the equilibrium measures corresponding to increasing sequences of finite sub-matrices of an infinite nonnegative…
A statistical generalization is made of microeconomics in the spirit of going from classical to statistical mechanics. The price and quantity of every commodity1 traded in the market, at each instant of time, is considered to be an…
Borrowing constraints are a key component of modern international macroeconomic models. The analysis of Emerging Markets (EM) economies generally assumes collateral borrowing constraints, i.e., firms access to debt is constrained by the…
Financial markets change their behaviours abruptly. The mean, variance and correlation patterns of stocks can vary dramatically, triggered by fundamental changes in macroeconomic variables, policies or regulations. A trader needs to adapt…
We start with the idea that open quantum systems can be used to represent financial markets by modelling events from the external environment and their impact on the market price. We show how to characterize distinct orbits of the time…
The value of an asset in a financial market is given in terms of another asset known as numeraire. The dynamics of the value is non-stationary and hence, to quantify the relationships between different assets, one requires convenient…
The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the…
Systemic risk in banking systems remains a crucial issue that it has not been completely understood. In our toy model, banks are exposed to two sources of risks, namely, market risk from their investments in assets external to the banking…
The fall of the Berlin Wall in 1989, modified the relations between cities of the former communist bloc. The European and worldwide reorientation of interactions that followed raises the question of the actual state of historical…
This paper introduces a new approach for estimating core inflation indicators based on common factors across a broad range of price indices. Specifically, by utilizing procedures for detecting multiple regimes in high-dimensional factor…
Markovian-regime-switching (MRS) models are commonly used for modelling economic time series, including electricity prices where independent regime models are used, since they can more accurately and succinctly capture electricity price…
Financial crises are a recurrent phenomenon with important effects on the real economy. The financial system is inherently fragile and it is therefore of great importance to be able to measure and characterize its systemic stability.…
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the…
This article presents several results establishing connections be- tween Markov chains and dynamical systems, from the point of view of open systems in physics. We show how all Markov chains can be understood as the information on one…
This paper studies the pricing of European-style Asian options when the price dynamics of the underlying risky asset are assumed to follow a Markov- modulated geometric Brownian motion; that is, the appreciation rate and the volatility of…
We study the distributions of money in a simple closed economic system for different types of monetary transactions. We know that for arbitrary and random sharing but locally conserving money transactions, the money distribution goes to the…
In order to figure out and to forecast the emergence phenomena of social systems, we propose several probabilistic models for the analysis of financial markets, especially around a crisis. We first attempt to visualize the collective…
We provide results relating to the integrability, uniform integrability and local integrability of exponential MAPs, which are natural extensions of exponential Levy models. Then, we use Mellin transform and partial integro-differential…