Related papers: Michael Milken: The Junk Dealer
Financial models do not merely analyse markets, but actively shape them. This effect, known as performativity, describes how financial theories and the subsequent actions based on them influence market processes, by creating self-fulfilling…
A multi-product monopolist faces a buyer who is privately informed about his valuations for the goods. As is well-known, optimal mechanisms are in general complicated, while simple mechanisms -- such as pure bundling or separate sales --…
Following a Geometrical Brownian Motion extension into an Irrational Fractional Brownian Motion model, we re-examine agent behaviour reacting to time dependent news on the log-returns thereby modifying a financial market evolution. We…
The disclosure of the VW emission manipulation scandal caused a quasi-experimental market shock to the observable environmental quality of VW diesel vehicles. To investigate the market reaction to this shock, we collect data from a used-car…
In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained…
Blockchain technology has emerged as a game-changer in a variety of industries, providing robust solutions that can supplant conventional procedures. The unique potential of this technology originates from its decentralized ledger systems,…
Machine learning algorithms can now outperform classic economic models in predicting quantities ranging from bargaining outcomes, to choice under uncertainty, to an individual's future jobs and wages. Yet this predictive accuracy comes at a…
This paper examines the pivotal role central banks play in advancing sustainable finance, a crucial component in addressing global environmental and social challenges. As supervisors of financial stability and economic growth, central banks…
This short review presents a selected history of the mutual fertilization between physics and economics, from Isaac Newton and Adam Smith to the present. The fundamentally different perspectives embraced in theories developed in financial…
This paper analyzes the bank lending channel and the heterogeneous effects on the euro area, providing evidence that the channel is indeed working. The analysis of the transmission mechanism is based on structural impulse responses to an…
The quantitative aspirations of economists and financial analysts have for many years been based on the belief that it should be possible to build models of economic systems - and financial markets in particular - that are as predictive as…
In a seminal paper, McAfee (1992) presented the first dominant strategy truthful mechanism for double auction. His mechanism attains nearly optimal gain-from-trade when the market is sufficiently large. However, his mechanism may leave…
The economical world consists of a highly interconnected and interdependent network of firms. Here we develop temporal and structural network tools to analyze the state of the economy. Our analysis indicates that a strong clustering can be…
This paper studies matching markets in the presence of middlemen. In our framework, a buyer-seller pair may either trade directly or use the services of a middleman; and a middleman may serve multiple buyer-seller pairs. Direct trade…
In view of some persistent recent reports on a singular kind of growth of the world wealth inequality, where a finite (often handful) number of people tend to possess more than the wealth of the planet's 50\% population, we explore here if…
Humankind is confronted with a "nuclear stewardship curse", facing the prospect of needing to manage nuclear products over long time scales in the face of the short-time scales of human polities. I propose a super Manhattan-type effort to…
Robotics has the potential to magnify the skilled workforce of the nation by complementing our workforce with automation: teams of people and robots will be able to do more than either could alone. The economic engine of the U.S. runs on…
We study the impacts of business cycles on machine learning (ML) predictions. Using the S&P 500 index, we find that ML models perform worse during most recessions, and the inclusion of recession history or the risk-free rate does not…
A potential objective of every financial organization is to retain existing customers and attain new prospective customers for long-term. The economic behaviour of customer and the nature of the organization are controlled by a prescribed…
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market…