Related papers: An equation for a time-dependent profit rate
We propose to study market efficiency from a computational viewpoint. Borrowing from theoretical computer science, we define a market to be \emph{efficient with respect to resources $S$} (e.g., time, memory) if no strategy using resources…
Our computational economic analysis investigates the relationship between inequality, mobility and the financial accumulation process. Extending the baseline model by Levy et al., we characterise the economic process through stylised return…
A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density…
In this paper, we give a Breiman's theorem for conditional dependent random vector, where one component has a regularly-varying-tailed distribution with the index $\alpha\ge0$ and its slowly varying function satisfies a relaxed condition,…
A simple connection between mass M of a particle or a body and time t is proposed. The flow of time t depends on the relativechange of mass, i.e \frac{\Delta M}{M}=- \mu dt, where \mu is unknown parameter. Some of the simplest consequences…
Recently, the concept of tail dependence has been discussed in financial applications related to market or credit risk. The multivariate extreme value theory is a proper tool to measure and model dependence, for example, of large loss…
Economic growth is measured as the rate of relative change in gross domestic product (GDP) per capita. Yet, when incomes follow random multiplicative growth, the ensemble-average (GDP per capita) growth rate is higher than the time-average…
People often deviate from expected utility theory when making risky and intertemporal choices. While the effects of probabilistic risk and time delay have been extensively studied in isolation, their interplay and underlying theoretical…
We study market-to-book ratios of stocks in the context of Stochastic Portfolio Theory. Functionally generated portfolios that depend on auxiliary economic variables other than relative capitalizations ("sizes") are developed in two ways,…
We study an optimal stopping problem with an unbounded, time-dependent and discontinuous reward function. This problem is motivated by the pricing of a variable annuity contract with guaranteed minimum maturity benefit, under the assumption…
We argue that an important contributing factor into market inefficiency is the lack of a robust mechanism for the stock price to rise if a company has good earnings, e.g., via buybacks/dividends. Instead, the stock price is prone to…
The average and median income dependence on work experience and time is analyzed and modeled for the USA. The original data set providing the mean and median income estimates in 10 year long intervals spans a long time period of almost 35…
Information theory provides ideas for conceptualising information and measuring relationships between objects. It has found wide application in the sciences, but economics and finance have made surprisingly little use of it. We show that…
We consider an equity-linked contract whose payoff depends on the lifetime of policy holder and the stock price. We assume the limited capital for hedging and we provide with the best strategy for an insurance company in the meaning of so…
In this paper we extend the work by Ryuzo Sato devoted to the development of economic growth models within the framework of the Lie group theory. We propose a new growth model based on the assumption of logistic growth in factors. It is…
The focus of this paper is the analysis of real-time systems with recursion, through the development of good theoretical techniques which are implementable. Time is modeled using clock variables, and recursion using stacks. Our technique…
Learning rate is a critical component of reinforcement learning (RL). This work uses global and local clocks to distinguish two types of learning rates. The former is of the standard form $\alpha_t$ that depends only on the time step $t$…
We present a novel exactly solvable ordinary differential equation model for rate-induced tipping: a dynamic phenomenon of dynamical systems where a time-dependent parameter triggers the transition of stability of a system. Our model…
Aging is thought to be a consequence of intrinsic breakdowns in how genetic information is processed. But mounting experimental evidence suggests that aging can be slowed. To help resolve this mystery, I derive a mortality equation which…
Energy decay is established for the damped wave equation on compact Riemannian manifolds where the damping coefficient is allowed to depend on time. Using a time dependent observability inequality, it is shown that the energy of solutions…