Related papers: The puzzle that just isn't
We consider a banking network represented by a system of stochastic differential equations coupled by their drift. We assume a core-periphery structure, and that the banks in the core hold a bubbly asset. The banks in the periphery have not…
The possibility that the non-minimal coupling inflation could be eternal is investigated. We calculate the quantum fluctuation of the inflaton in a Hubble time and find that it has the same value as in the minimal case in the slow-roll…
It has recently been suggested that Planck scale physics may effect the evolution of cosmological fluctuations in the early stages of cosmological inflation in a non-trivial way, leading to an excited state for modes whose wavelength is…
This article introduces a new mathematical concept of illiquidity that goes hand in hand with credit risk. The concept is not volume- but constraint-based, i.e., certain assets cannot be shorted and are ineligible as num\'eraire. If those…
A financial market comprising of a certain number of distinct companies is considered, and the following statement is proved: either a specific agent will surely beat the whole market unconditionally in the long run, or (and this "or" is…
The primary objective of this note is to revisit the two envelope problem and propose a simple resolution. It is argued that the paradox arises from the ambiguity associated with the money content $x of the chosen envelope. When X=x is…
We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of…
We investigate the links between various no-arbitrage conditions and the existence of pricing functionals in general markets, and prove the Fundamental Theorem of Asset Pricing therein. No-arbitrage conditions, either in this abstract…
This study presents empirical evidence to support the validity of new definitions in financial markets. The author develops a new method to determine investors' risk attitudes in financial markets. The risk attitudes of investors in US…
A model of inflation is proposed in which compact extra dimensions allow a graceful exit without recourse to flat potentials or super-Planckian field values. Though bubbles of true vacuum are too sparse to uniformly reheat the Universe by…
Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal…
This note continues investigation of randomness-type properties emerging in idealized financial markets with continuous price processes. It is shown, without making any probabilistic assumptions, that the strong variation exponent of…
Nontransitive choices have long been an area of curiosity within economics. However, determining whether nontransitive choices represent an individual's preference is a difficult task since choice data is inherently stochastic. This paper…
Let X1, ..., Xn be arbitrary non-negative independent random variables with respective expected values $\mu_{i}$ at most one. We sketch but do not prove an equivalent conjecture to Feige's Conjecture $\mathbb{P} \left( \sum_{i=1}^{n} X_{i}…
In recent literature on eternal inflation, a number of measures have been introduced which attempt to assign probabilities to different pocket universes by counting the number of each type of pocket according to a specific procedure. We…
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with different underlying rate…
Galor discovered many mysteries of the growth process. He lists them in his Unified Growth Theory and wonders how they can be explained. Close inspection of his mysteries reveals that they are of his own creation. They do not exist. He…
This paper supplies two possible resolutions of Fortune's (2000) margin-loan pricing puzzle. Fortune (2000) noted that the margin loan interest rates charged by stock brokers are very high in relation to the actual (low) credit risk and the…
A unified approach to quintessence and inflation is investigated with the use of a single scalar field. It is argued that successful potentials have to approximate a combination of exponential and inverse power-law decline in the limit of…
We analyze the forces that explain inflation using a panel of 122 countries from 1997 to 2015 with 37 regressors. 98 models motivated by economic theory are compared to a gradient boosting algorithm, non-linearities and structural breaks…