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Prudent management of insurance investment portfolios requires competent asset pricing of fixed-income assets with time-to-event contingent cash flows, such as consumer asset-backed securities (ABS). Current market pricing techniques for…
In the first part of this paper (Sections 1-4), we study a standard exchange economy model with Cobb-Douglas type consumers and give a necessary and sufficient condition for the existence of an odd period cycle in the Walras-Samuelson…
We study the stability of a discrete-time dynamical mean-field Ising model to perturbations. This model belongs to a broader class of models often used in the study of opinion dynamics in financial markets. In the presence of noise, these…
Our study empirically predicts the bubble of non-fungible tokens (NFTs): transferable and unique digital assets on public blockchains. This topic is important because, despite their strong market growth in 2021, NFTs on a project basis have…
We study the effect of drift in pure-jump transaction-level models for asset prices in continuous time, driven by point processes. The drift is as-sumed to arise from a nonzero mean in the efficient shock series. It follows that the drift…
The transient ejection due to a bubble bursting at the interface of a liquid with a gas environment is here described using a dynamical scaling analysis along the process. We show here that the ejection of a liquid microjet requires the…
Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…
We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing…
This paper develops a new model of business cycles. The model is economical in that it is solved with an aggregate demand-aggregate supply diagram, and the effects of shocks and policies are obtained by comparative statics. The model builds…
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Cryptocurrencies and Bitcoin, in particular, are prone to wild swings resulting in frequent jumps in prices, making them historically popular for traders to speculate. A better understanding of these fluctuations can greatly benefit crypto…
Scattering moments provide nonparametric models of random processes with stationary increments. They are expected values of random variables computed with a nonexpansive operator, obtained by iteratively applying wavelet transforms and…
Methodology that recently lead us to predict to an amazing accuracy the date (July 11, 2008) of reverse of the oil price up trend is briefly summarized and some further aspects of the related oil price dynamics elaborated. This methodology…
We present a mathematical framework to produce a numerical estimation to the distribution of the lifetime of bubbles emerging from first order cosmological phase transitions. In a precedent work, we have implemented the Sound Shell model to…
We propose a stochastic volatility model for time series of curves. It is motivated by dynamics of intraday price curves that exhibit both between days dependence and intraday price evolution. The curves are suitably normalized to…
We propose a formula of time-series prediction by means of three states random field Ising model (RFIM). At the economic crisis due to disasters or international disputes, the stock price suddenly drops. The macroscopic phenomena should be…
Let $(X_t)_{t\geq 0}$ be a regular one-dimensional diffusion that models a biological population. If one assumes that the population goes extinct in finite time it is natural to study the $Q$-process associated to $(X_t)_{t\geq 0}$. This is…
Jump diffusion processes are widely used to model asset prices over time, mainly for their ability to capture complex discontinuous behavior, but inference on the model parameters remains a challenge. Here our goal is posterior inference on…
Bitcoin represents one of the most interesting technological breakthroughs and socio-economic experiments of the last decades. In this paper, we examine the role of speculative bubbles in the process of Bitcoin's technological adoption by…