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There is a widespread recent interest in using ideas from statistical physics to model certain types of problems in economics and finance. The main idea is to derive the macroscopic behavior of the market from the random local interactions…
Stochastic differential equations have proved to be a valuable governing framework for many real-world systems which exhibit ``noise'' or randomness in their evolution. One quality of interest in such systems is the shape of their…
We study a generalised model of population growth in which the state variable is population growth rate instead of population size. Stochastic parametric perturbations, modelling phenotypic variability, lead to a Langevin system with two…
During its history, the ultimate goal of economics has been to develop similar frameworks for modeling economic behavior as invented in physics. This has not been successful, however, and current state of the process is the neoclassical…
Spreadsheets offer a supremely successful and intuitive means of processing and exchanging numerical content. Its intuitive ad-hoc nature makes it hugely popular for use in diverse areas including business and engineering, yet these very…
Statistical Mechanics deals with ensembles of microstates that are compatible with fixed constraints and that on average define a thermodynamic macrostate. The evolution of a small system is normally subjected to changing constraints and…
Many widely used models amount to an elaborate means of making up numbers--but once a number has been produced, it tends to be taken seriously and its source (the model) is rarely examined carefully. Many widely used models have little…
Macroeconomic data is characterized by a limited number of observations (small T), many time series (big K) but also by featuring temporal dependence. Neural networks, by contrast, are designed for datasets with millions of observations and…
Stochastic dominance serves as a general framework for modeling a broad spectrum of decision preferences under uncertainty, with risk aversion as one notable example, as it naturally captures the intrinsic structure of the underlying…
We propose a novel framework for modeling time-varying persistence in economic time series, allowing for smoothly evolving heterogeneity in shock dynamics. We leverage localized regression techniques to flexibly identify changes in…
The fundamental purpose of the present research article is to introduce the basic principles of Dimensional Analysis in the context of the neoclassical economic theory, in order to apply such principles to the fundamental relations that…
This paper is a study of the history of the transplant of mathematical tools using negative feedback for macroeconomic stabilization policy from 1948 to 1975 and the subsequent break of the use of control for stabilization policy which…
We propose a flexible stochastic framework for modeling the market share dynamics over time in a multiple markets setting, where firms interact within and between markets. Firms undergo stochastic idiosyncratic shocks, which contract their…
Since the celebrated paper by El Karoui, Peng and Quenez [Mathematical Finance, 7 (1997), 1--71], backward stochastic differential equations have found wide applications in stochastic control, financial technology and machine learning. In…
Many large cities are found at locations with certain first nature advantages. Yet, those exogenous locational features may not be the most potent forces governing the spatial pattern of cities. In particular, population size, spacing and…
The article discusses a generalization of model of economic growth with constant pace, which takes into account the effects of dynamic memory. Memory means that endogenous or exogenous variable at a given time depends not only on their…
In modern science, computer models are often used to understand complex phenomena, and a thriving statistical community has grown around analyzing them. This review aims to bring a spotlight to the growing prevalence of stochastic computer…
This work lies in the fusion of experimental economics and data mining. It continues author's previous work on mining behaviour rules of human subjects from experimental data, where game-theoretic predictions partially fail to work.…
In sustained growth with random dynamics stationary distributions can exist without detailed balance. This suggests thermodynamical behavior in fast growing complex systems. In order to model such phenomena we apply both a discrete and a…
Unlike equilibrium statistical mechanics, with its well-established foundations, a similar widely-accepted framework for non-equilibrium statistical mechanics (NESM) remains elusive. Here, we review some of the many recent activities on…