Related papers: Factor endowment -- commodity output relationships…
In allusion to some contradicting results in existing research, this paper selects China's latest stock data from 2005 to 2020 for empirical analysis. By choosing this periods' data, we avoid the periods of China's significant stock market…
The concept of weighted entropy takes into account values of different outcomes, i.e., makes entropy context-dependent, through the weight function. In this paper, we establish a number of simple inequalities for the weighted entropies…
We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own…
We introduce the Estimated Dynamic Equilibrium Model (EDEM), an agent-based framework that treats supply and demand as a coupled stochastic process driven by heterogeneous, noisy agent valuations. The model's primary technical contribution…
We study competitive equilibria in the classic Shapley-Shubik assignment model with indivisible goods and unit-demand buyers, with budget constraints: buyers can specify a maximum price they are willing to pay for each item, beyond which…
For a stochastic factor model we maximize the long-term growth rate of robust expected power utility with parameter $\lambda\in(0,1)$. Using duality methods the problem is reformulated as an infinite time horizon, risk-sensitive control…
The comovement phenomenon in financial markets creates decision scenarios with positively correlated asset returns. This paper addresses covariance matrix estimation under such conditions, motivated by observations of significant positive…
Empirical evidence for the Heckscher-Ohlin model has been inconclusive. We test whether the predictions of the Heckscher-Ohlin Theorem with respect to labor and capital find support in value-added trade. Defining labor-capital intensities…
We establish factoriality and non-injectivity in full generality for the mixed $q$-Araki-Woods von Neumann algebra associated to a separable real Hilbert space $\mathsf{H}_{\mathbf{R}}$ with $\dim\mathsf{H}_{\mathbf{R}}\geq 2$, a strongly…
Consider an ergodic Markov chain on a countable state space for which the return times have exponential tails. We show that the stationary version of any such chain is a finitary factor of an i.i.d. process. A key step is to show that any…
Skew product systems with monotone one-dimensional fibre maps driven by piecewise expanding Markov interval maps may show the phenomenon of intermingled basins. To quantify the degree of intermingledness the uncertainty exponent and the…
Behavioral experiments on the ultimatum game (UG) reveal that we humans prefer fair acts, which contradicts the prediction made in orthodox Economics. Existing explanations, however, are mostly attributed to exogenous factors within the…
Factor analysis is a classical data reduction technique that seeks a potentially lower number of unobserved variables that can account for the correlations among the observed variables. This paper presents an extension of the factor…
We fully describe the general form of a linear (or conjugate-linear) rank metric isometry on the Murray--von Neumann algebra associated with a II$_1$-factor. As an application, we establish Frobenius' theorem in the setting of…
We propose a confirmatory dynamic factor model for a large number of stocks whose returns are observed daily across multiple time zones. The model has a global factor and a continental factor that both drive the individual stock return…
We study a generalization of the Random Energy Model to the case when the number of exponential factors varies at random. Also a relation between REM and the Erd"os-R'enyi limit theorem for maximums of partial sums is considered.
We provide a complete characterization of optimal extinction in a two-sector model of economic growth through three results, surprising in both their simplicity and intricacy. (i) When the discount factor is below a threshold identified by…
In [1] we presented a model for transactions when goods are given away in the expectation of a later settlement. In settings where people keep track of their social accounts we were able to redefine concepts like account balance, yield…
An indispensable ingredient for pair density wave (PDW) superconductivity is the presence of an attractive pairing interaction at finite momentum. Here, we show how this condition can be met with straightforward electron-density…
Predictive inference requires balancing statistical accuracy against informational complexity, yet the choice of complexity measure is usually imposed rather than derived. We treat econometric objects as predictive rules, mappings from…