Related papers: The puzzle that just isn't
In this article, I will present a paradox whose purpose is to draw your attention to an important topic in finance, concerning the non-independence of the financial returns (non-ergodic hypothesis). In this paradox, we have two people…
Statistical dynamics of financial systems is investigated, based on a model of a randomly coupled equation system driven by a stochastic Langevin force. Anticorrelations of price returns, and subdiffusion of prices is found from the model,…
The speculation game is an agent-based toy model to investigate the dynamics of the financial market. Our model has achieved the reproduction of 10 of the well-known stylized facts for financial time series. However, there is also a…
The question of how a pure fiat currency is enforced and comes to have a non-zero value has been much debated (Selgin, 1994). What is less often addressed is the case where the enforcement is taken for granted and we ask what value (in…
Heinsohn and Steiger's "Eigentum, Zins und Geld" (1996) proposes the property premium as the foundational determinant of interest, replacing time preference. This paper examines whether the replacement succeeds. It does not. The two…
We solve time-reversed stochastic inflation in the semi-infinite flat potential with a constant drift term and derive an exact expression for the probability distribution of the curvature fluctuations. It exhibits exponential decaying tails…
Compound interest as well as inflation grows exponentially with time, whereas other means to repay debt grow polynomially. For this and other, mostly political, reasons, debt without inflation is unsustainable. We suggest a discontinuous…
The pre-big bang's kinetic driven inflationary mechanism is not an adequate form of inflation: the Planck length grows more rapidly than the scale factor. In order to explain our large universe, the resulting post-big bang universe requires…
The basic workings of inflationary models are summarized, along with the arguments that strongly suggest that our universe is the product of inflation. The mechanisms that lead to eternal inflation in both new and chaotic models are…
The twin primes conjecture is a very old problem. Tacitly it is supposed that the primes it deals with are finite. In the present paper we consider three problems that are not related to finite primes but deal with infinite integers. The…
We prove the superhedging duality for a discrete-time financial market with proportional transaction costs under model uncertainty. Frictions are modeled through solvency cones as in the original model of [Kabanov, Y., Hedging and…
We analyze a controlled price formation experiment in the laboratory that shows evidence for bubbles. We calibrate two models that demonstrate with high statistical significance that these laboratory bubbles have a tendency to grow faster…
There are several aspects of data markets that distinguish them from a typical commodity market: asymmetric information, the non-rivalrous nature of data, and informational externalities. Formally, this gives rise to a new class of games…
In the literature there have been incompatible estimates for the amount of non-Gaussianity in hybrid inflation. In this note we point out the sources for the discrepancies and show that the results for the amount of non-Gaussianity in…
We prove limit theorems for the super-replication cost of European options in a Binomial model with friction. The examples covered are markets with proportional transaction costs and the illiquid markets. The dual representation for the…
As operators acting on the undetermined final settlement of a derivative security, expectation is linear but price is non-linear. When the market of underlying securities is incomplete, non-linearity emerges from the bid-offer around the…
Eternal inflation, the idea that there is always a part of the universe that is expanding exponentially, is a frequent feature of inflationary models. It has been argued that eternal inflation requires the violation of energy conditions,…
In economic studies and popular media, interest rates are routinely cited as a major factor behind commodity price fluctuations. At the same time, the transmission channels are far from transparent, leading to long-running debates on the…
When uncertainty is modelled by a set of non-dominated and non-compact probability measures, a notion of essential supremum for a family of real-valued functions is developed in terms of upper semi-analytic functions. We show how the…
We find a rather unique extension of inflationary scenario which avoids selfreproduction and thus resolves the problems of multiverse, predictability and initial conditions. In this theory the amplitude of the cosmological perturbations is…