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This paper studies the time-varying structure of the equity market with respect to market capitalization. First, we analyze the distribution of the 100 largest companies' market capitalizations over time, in terms of inequality,…
It has been understood that the "local" existence of the Markowitz' optimal portfolio or the solution to the local-risk minimization problem is guaranteed by some specific mathematical structures on the underlying assets price processes…
This work introduces a new framework for modeling financial markets through an interpretable probabilistic state machine. By clustering historical returns based on momentum and risk features across multiple time horizons, we identify…
Intangible capital as the result of digitalization and globalization has not been fully measured yet in the economy because of several challenges. The limitation of data sources and the methodological issue related to how to measure and…
As a quantitative characterization of the complicated economy, Macroeconomic Variables (MEVs), including GDP, inflation, unemployment, income, spending, interest rate, etc., are playing a crucial role in banks' portfolio management and…
We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus on the non-stationarity of the market correlation structure.…
Corporate insolvency can have a devastating effect on the economy. With an increasing number of companies making expansion overseas to capitalize on foreign resources, a multinational corporate bankruptcy can disrupt the world's financial…
The last decades have not only been characterized by an explosive growth of data, but also an increasing appreciation of data as a valuable resource. Their value comes with the ability to extract meaningful patterns that are of economic,…
We study the growth dynamics of the size of manufacturing firms considering competition and normal distribution of competency. We start with the fact that all components of the system struggle with each other for growth as happened in real…
Prediction of events in financial markets is every investor's dream and, usually, wishful thinking. From a more general, economic and societal viewpoint, the identification of indicators for large events is highly desirable to assess…
We explore the possibility of putting constraints on quintessence models with large-scale structure observations. In particular we compute the linear and second order growth rate of the fluctuations in different flavors of quintessence…
In a capital adequacy framework, risk measures are used to determine the minimal amount of capital that a financial institution has to raise and invest in a portfolio of pre-specified eligible assets in order to pass a given capital…
A dynamic model of the social relations between workers and capitalists is introduced. The model is deduced from the assumption that the law of value is an organising principle of modern economies. The model self-organises into a dynamic…
The promise of equal opportunity is a cornerstone of modern societies, yet upward economic mobility remains out of reach for many. Using a decade of population-scale social network data from the Netherlands, covering over a billion family,…
This study explores the relationship between R&D intensity, as a measure of innovation, and financial performance among S&P 500 companies over 100 quarters from 1998 to 2023, including multiple crisis periods. It challenges the conventional…
By borrowing methods from complex system analysis, in this paper we analyze the features of the complex relationship that links the development and the industrialization of a country to economic inequality. In order to do this, we identify…
Power law distributions of macroscopic observables are ubiquitous in both the natural and social sciences. They are indicative of correlated, cooperative phenomena between groups of interacting agents at the microscopic level. In this paper…
Financial market is an example of complex system, which is characterized by a highly intricate organization and the emergence of collective behavior. In this paper, we quantify this emergent dynamics in the financial market by using…
This paper examines quantile dependence between international stock markets and evaluates its use for improving volatility forecasting. First, we analyze quantile dependence and directional predictability between the US stock market and…
The credit rating is an evaluation of a company's credit risk that values the ability to pay back the debt and predict the likelihood of the debtor defaulting. There are various features influencing credit rating. Therefore, it is essential…