Related papers: The missing assets and the size of Shadow Banking:…
The existing approaches to sparse wealth allocations (1) are limited to low-dimensional setup when the number of assets is less than the sample size; (2) lack theoretical analysis of sparse wealth allocations and their impact on portfolio…
A significant number of the non-financial firms listed at Nairobi Securities Exchange (NSE) have been experiencing declining financial performance which deter investors from investing in such firms. The lenders are also not willing to lend…
Using detailed statistical analyses of the size distribution of a universe of equity exchange-traded funds (ETFs), we discover a discrete hierarchy of sizes, which imprints a log-periodic structure on the probability distribution of ETF…
It is well known that the distribution of returns from various financial instruments are leptokurtic, meaning that the distributions have "fatter tails" than a Normal distribution, and have skew toward zero. This paper presents a graceful…
We analyze the ideal gas like models of markets and review the different cases where a `savings' factor changes the nature and shape of the distribution of wealth. These models can produce similar distribution of wealth as observed across…
This article contains new tools for studying the shape of the stationary distribution of sizes in a dynamic economic system in which units experience random multiplicative shocks and are occasionally reset. Each unit has a Markov-switching…
The financial crisis of 2008 generated interest in more transparent, rules-based strategies for portfolio construction, with Smart beta strategies emerging as a trend among institutional investors. While they perform well in the long run,…
We introduce a Path Shadowing Monte-Carlo method, which provides prediction of future paths, given any generative model. At any given date, it averages future quantities over generated price paths whose past history matches, or `shadows',…
Spatial documentation is exponentially increasing given the availability of Big IoT Data, enabled by the devices miniaturization and data storage capacity. Bayesian spatial statistics is a useful statistical tool to determine the dependence…
This paper reviews recent attempts at modelling inequality of wealth as an emergent phenomenon of interacting-agent processes. We point out that recent models of wealth condensation which draw their inspiration from molecular dynamics have,…
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numeraire portfolio depends on market characteristics, which…
We analyze a database comprising quarterly sales of 55624 pharmaceutical products commercialized by 3939 pharmaceutical firms in the period 1992--2001. We study the probability density function (PDF) of growth in firms and product sales and…
The clandestine nature of covert networks makes reliable data difficult to obtain and leads to concerns with missing data. We explore the use of network models to represent missingness mechanisms. Exponential random graph models provide a…
We present a new method of estimating the distribution of sales rates of, e.g., book titles at an online bookstore, from the time evolution of ranking data found at websites of the store. The method is based on new mathematical results on…
In risk analysis, a global fit that appropriately captures the body and the tail of the distribution of losses is essential. Modelling the whole range of the losses using a standard distribution is usually very hard and often impossible due…
Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify and characterize hidden orders we fit…
While financial misconduct in advisory services persists despite regulation, the demand-side of market discipline, specifically the timing of investor detection, remains a critical bottleneck. Using approximately 55,700 FINRA BrokerCheck…
This paper develops new mathematical techniques to identify temporal shifts among a collection of US equities partitioned into a new and more detailed set of market sectors. Although conceptually related, our three analyses reveal distinct…
An exact solution is presented to a model that mimics the crowding effect in financial markets which arises when groups of agents share information. We show that the size distribution of groups of agents has a power law tail with an…
For utility maximization problems under proportional transaction costs, it has been observed that the original market with transaction costs can sometimes be replaced by a frictionless "shadow market" that yields the same optimal strategy…