Related papers: How does economic policy uncertainty comove with s…
We utilize the symmetric thermal optimal path (TOPS) method to examine the dynamic interaction patterns between the VIX and VIX futures markets. We document that the VIX dominates the VIX futures more in the first few years, especially…
There certainly is little or no doubt that politicians, sometimes consciously and sometimes not, exert a significant impact on stock markets. The evolving volatility over the Republican Donald Trump's surprise victory in the US presidential…
We use the logistic equation to model the dynamics of the GDP and the trade of the six countries with the highest GDP in the world, namely, USA, China, Japan, Germany, UK and India. From the modelling of the economic data, which are made…
Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…
This paper constructs a global economic policy uncertainty index through the principal component analysis of the economic policy uncertainty indices for twenty primary economies around the world. We find that the PCA-based global economic…
By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused…
This paper examines how trade policy uncertainty influences the correlation between U.S. stock indices and short-term government bonds. The objective is to assess whether policy-related shocks, especially those linked to trade tensions,…
To investigate the universal structure of interactions in financial dynamics, we analyze the cross-correlation matrix C of price returns of the Chinese stock market, in comparison with those of the American and Indian stock markets. As an…
Financial market resilience reflects the ability of a financial market to withstand external shocks and to recover from them, while its measurement has yet to be standardized. Accordingly, this paper quantifies the adaptability and…
Motivated by the current fears of a potentially stagflationary global economic environment, this paper uses new and recently introduced mathematical techniques to study multivariate time series pertaining to country inflation (CPI),…
Trade policy uncertainty has become a significant feature of today's global economy. While its impact on free trade is evident, its microeconomic effects remain open to debate. This study explores the influence of trade policy uncertainty…
We examine how monetary shocks spread throughout an economic model characterized by sticky prices and general equilibrium, where the pricing strategies of firms are interlinked, fostering a mutually beneficial relationship. In this dynamic…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
Scale invariance, collective behaviours and structural reorganization are crucial for portfolio management (portfolio composition, hedging, alternative definition of risk, etc.). This lack of any characteristic scale and such elaborated…
With the onset of climate change and the increasing need for effective policies, a multilateral approach is needed to make an impact on the growing threats facing the environment. Through the use of systematic analysis by way of C-ROADS and…
This paper investigates the impact of Trade Policy Uncertainty (TPU) on stock-bond correlation dynamics in the United States. Using daily data on major U.S. stock indices and the 10-year Treasury bond from 2015 to 2025, we estimate…
Uncertainty plays an important role in the global economy. In this paper, the economic policy uncertainty (EPU) indices of the United States and China are selected as the proxy variable corresponding to the uncertainty of national economic…
We have recently introduced the ``thermal optimal path'' (TOP) method to investigate the real-time lead-lag structure between two time series. The TOP method consists in searching for a robust noise-averaged optimal path of the distance…
This study presents a novel approach to modelling economic agents as analogous to spin states in physics, particularly the Ising model. By associating economic activity with spin orientations (up for inactivity, down for activity), the…
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…