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We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call the infimum of expectations class of risk measures, we show…
We have studied numerically the statistical mechanics of the dynamic phenomena, including money circulation and economic mobility, in some transfer models. The models on which our investigations were performed are the basic model proposed…
The increasing difficulties in financing the welfare state and in particular public retirement pensions have been one of the outcomes both of the decrease of fertility and birth rates combined with the increase of life expectancy. The…
Being able to predict the occurrence of extreme returns is important in financial risk management. Using the distribution of recurrence intervals---the waiting time between consecutive extremes---we show that these extreme returns are…
Mixed modeling of extreme values and random effects is relatively unexplored topic. Computational difficulties in using the maximum likelihood method for mixed models and the fact that maximum likelihood method uses available data and does…
Conventional neuroimaging analyses have revealed the computational specificity of localized brain regions, exploiting the power of the subtraction technique in fMRI and event-related potential analyses in EEG. Moving beyond this convention,…
The process by which new ideas, innovations, and behaviors spread through a large social network can be thought of as a networked interaction game: Each agent obtains information from certain number of agents in his friendship neighborhood,…
We use a controlled laboratory experiment to study the causal impact of income decreases within a time period on redistribution decisions at the end of that period, in an environment where we keep fixed the sum of incomes over the period.…
As data-driven methods are deployed in real-world settings, the processes that generate the observed data will often react to the decisions of the learner. For example, a data source may have some incentive for the algorithm to provide a…
This paper examines the impact of cognitive biases on financial decision-making through a static Bayesian game framework. While traditional economic theory assumes fully rational investors, real-world choices are often shaped by loss…
We propose a new multivariate time series model in which we assume that each component has a tendency to revert to the minimum of all components. Such a specification is useful to describe phenomena where each member in a population which…
A branching process in varying environment with generation-dependent immigration is a modification of the standard branching process in which immigration is allowed and the reproduction and immigration laws may vary over the generations.…
The interaction of all mobile species with their environment hinges on their movement patterns: the places they visit and how frequently they go there. In human society, where the prevalent form of cohabitation is in cities, the highly…
A mechanistic theory is developed to describe segregation in confined multicomponent suspensions such as blood. It incorporates the two key phenomena arising in these systems at low Reynolds number: hydrodynamic pair collisions and…
Human behavioural patterns exhibit selfish or competitive, as well as selfless or altruistic tendencies, both of which have demonstrable effects on human social and economic activity. In behavioural economics, such effects have…
Collective opinions affect civic participation, governance, and societal norms. Due to the influence of opinion dynamics, many models of their formation and evolution have been developed. A commonly used approach for the study of opinion…
We propose a set of conservative models in which agents exchange wealth with a preference in the choice of interacting agents in different ways. The common feature in all the models is that the temporary values of financial status of agents…
The main goal of this paper is an application of Bayesian inference in testing the relation between risk and return on the financial instruments. On the basis of the Intertemporal CAPM model we built a general sampling model suitable in…
Numerous experimental studies have demonstrated that the microenvironment is a key regulator influencing the proliferative and migrative potentials of species. Spatial and temporal disturbances lead to adverse and hazardous…
The distributional impacts of congestion pricing have been widely studied in the literature and the evidence on this is mixed. Some studies find that pricing is regressive whereas others suggest that it can be progressive or neutral…