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Due to the variety of corporate risks in turmoil markets and the consequent financial distress especially in COVID-19 time, this paper investigates corporate resilience and compares different types of resilience that can be potential…
The measured correlations of financial time series in subsequent epochs change considerably as a function of time. When studying the whole correlation matrices, quasi-stationary patterns, referred to as market states, are seen by applying…
This paper investigates the dynamics of in the S&P500 index from daily returns for the last 30 years. Using a stochastic geometry technique, each S&P500 yearly batch of data is embedded in a subspace that can be accurately described by a…
The traditional and most common view of economists on the issue of (bad) uncertainty and its effects has been one of partial equilibrium. When the topic is approached from a macroeconomic perspective, the most frequent has been the…
Quantile regression is studied in combination with a penalty which promotes structured (or group) sparsity. A mixed $\ell_{1,\infty}$-norm on the parameter vector is used to impose structured sparsity on the traditional quantile regression…
Quantile regression is a technique to estimate conditional quantile curves. It provides a comprehensive picture of a response contingent on explanatory variables. In a flexible modeling framework, a specific form of the conditional quantile…
We analyze the size dependence and temporal stability of firm bankruptcy risk in the US economy by applying Zipf scaling techniques. We focus on a single risk factor-the debt-to-asset ratio R-in order to study the stability of the Zipf…
This paper studies a continuous-time optimal portfolio selection problem in the complete market for a behavioral investor whose preference is of the prospect type with probability distortion. The investor concerns about the terminal…
The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of…
This paper considers the quantile regression approach for partially linear spatial autoregressive models with possibly varying coefficients. B-spline is employed for the approximation of varying coefficients. The instrumental variable…
A multivariate quantile regression model with a factor structure is proposed to study data with many responses of interest. The factor structure is allowed to vary with the quantile levels, which makes our framework more flexible than the…
We introduce a prototype agent-based model of the macroeconomy, with budgetary constraints at its core. The model is related to a class of constraint satisfaction problems (CSPs), which has been thoroughly investigated in computer science.…
In this paper we conduct a longitudinal analysis of the structure of labour markets in the US over 7 decades of technological, economic and policy change. We make use of network science, natural language processing and machine learning to…
We investigate nonparametric regression methods based on spatial depth and quantiles when the response and the covariate are both functions. As in classical quantile regression for finite dimensional data, regression techniques developed…
In this paper, we introduce quantile coherency to measure general dependence structures emerging in the joint distribution in the frequency domain and argue that this type of dependence is natural for economic time series but remains…
Evaluating the financial performance of manufacturing firms requires consideration of both the time value of money and the relative importance of multiple decision criteria. Conventional approaches relying solely on deterministic…
We present a simple model of firm rating evolution. We consider two sources of defaults: individual dynamics of economic development and Potts-like interactions between firms. We show that such a defined model leads to phase transition,…
Corporate credit rating (CCR) plays a very important role in the process of contemporary economic and social development. How to use credit rating methods for enterprises has always been a problem worthy of discussion. Through reading and…
"What are the origins of risks?" and "How material are they?" -- these are the two most fundamental questions of any risk analysis. Quantitative Structuring -- a technology for building financial products -- provides economically meaningful…
The study of the critical dynamics in complex systems is always interesting yet challenging. Here, we choose financial market as an example of a complex system, and do a comparative analyses of two stock markets - the S&P 500 (USA) and…