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The Foreign Exchange (Forex) is a large decentralized market, on which trading analysis and algorithmic trading are popular. Research efforts have been focusing on proof of efficiency of certain technical indicators. We demonstrate,…
This paper deals with the stability properties of a closed market, where capital and labour force are acting like a predator-prey system in population-dynamics. The spatial movement of the capital and labour force are taken into account by…
Structural change consists of industrial diversification towards more productive, knowledge intensive activities. However, changes in the productive structure bear inherent links with job creation and income distribution. In this paper, we…
Many forecasting applications have a limited distributed target variable, which is zero for most observations and positive for the remaining observations. In the econometrics literature, there is much research about statistical model…
The correlated stochastic volatility models constitute a natural extension of the Black and Scholes-Merton framework: here the volatility is not a constant, but a stochastic process correlated with the price log-return one. At present,…
The article develops a general equilibrium model where power relations are central in the determination of unemployment, profitability, and income distribution. The paper contributes to the market forces versus institutions debate by…
The distribution of income and wealth in developed economies exhibits a robust two-class structure: an exponential (Boltzmann--Gibbs) bulk covering $\sim\!97\%$ of the population, and a power-law (Pareto) tail in the upper $\sim\!3\%$. We…
The metallurgy and materials communities have long known and exploited fundamental links between chemical and structural ordering in metallic solids and their mechanical properties. The highest reported strength achievable through the…
Impressive performance of pre-trained models has garnered public attention and made news headlines in recent years. Almost always, these models are produced by or in collaboration with industry. Using them is critical for competing on…
This paper explores different methods to estimate prices paid per efficiency unit of labor in panel data. We study the sensitivity of skill price estimates to different assumptions regarding workers' choice problem, identification…
Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic theories, the correlation structure among assets differs between emerging markets and developed countries. It is therefore…
We argue that the machine learning value chain is structurally unsustainable due to an economic data processing inequality: each state in the data cycle from inputs to model weights to synthetic outputs refines technical signal but strips…
We extend the work on optimal investment and consumption of a population considered in [2] to a general stochastic setting over a finite time horizon. We incorporate the Cobb-Douglas production function in the capital dynamics while the…
When analyzing the components influencing the stock prices, it is commonly believed that economic activities play an important role. More specifically, asset prices are more sensitive to the systematic economic news that impose a pervasive…
In this paper we define the class of matrix Mittag-Leffler distributions and study some of its properties. We show that it can be interpreted as a particular case of an inhomogeneous phase-type distribution with random scaling factor, and…
Reinforcement learning (RL) has been widely applied to game-playing and surpassed the best human-level performance in many domains, yet there are few use-cases in industrial or commercial settings. We introduce OR-Gym, an open-source…
We consider an economy made of competing firms which are heterogeneous in their capital and use several inputs for producing goods. Their consumption policy is fixed rationally by maximizing a utility and their capital cannot fall below a…
The paper discusses capital allocation using the Euler formula and focuses on the risk measures Value-at-Risk (VaR) and Expected shortfall (ES). Some new results connected to this capital allocation is known. Two examples illustrate that…
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…
About the economic growth the Keynesian theorists defend circular and cumulative processes, benefiting the rich localities and harming the poorest, without external interventions. In these processes the Verdoorn law has an important role.…