Related papers: Economic state classification and portfolio optimi…
Changes in market conditions present challenges for investors as they cause performance to deviate from the ranges predicted by long-term averages of means and covariances. The aim of conditional asset allocation strategies is to overcome…
Previous research explored various conditions of financial markets based on the similarity of correlation structures and classified as market states. We introduce modifications to previous selection criteria for these market states, mainly…
In this paper we contrast the dynamics of the 2022 Ukraine invasion financial crisis with notable financial crises of the 21st century - the dot-com bubble, global financial crisis and COVID-19. We study the similarity in market dynamics…
The problem of portfolio optimization is one of the most important issues in asset management. This paper proposes a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the…
The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…
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…
The understanding of complex systems has become a central issue because complex systems exist in a wide range of scientific disciplines. Time series are typical experimental results we have about complex systems. In the analysis of such…
In this work, we consider the optimal portfolio selection problem under hard constraints on trading volume amounts when the dynamics of the risky asset returns are governed by a discrete-time approximation of the Markov-modulated geometric…
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…
We have studied inflationary paradigm through an inflationary equation of state. With a single parameter equation of state as a function of the scalar field responsible for accelerated expansion, we find an observationally viable model…
We analyze the forces that explain inflation using a panel of 122 countries from 1997 to 2015 with 37 regressors. 98 models motivated by economic theory are compared to a gradient boosting algorithm, non-linearities and structural breaks…
We consider a government that aims at reducing the debt-to-gross domestic product (GDP) ratio of a country. The government observes the level of the debt-to-GDP ratio and an indicator of the state of the economy, but does not directly…
In this study, we have developed a dynamic asset allocation investment strategy using reinforcement learning techniques. To begin with, we have addressed the crucial issue of incorporating non-stationarity of financial time series data into…
We investigate inflation driven by the evolution of highly excited quantum states within the framework of out of equilibrium field dynamics. The self-consistent evolution of these quantum states and the scale factor is studied analytically…
The study and measurement of economic resilience is ruled by high level of complexity related to the diverse structure, functionality, spatiality, and dynamics describing economic systems. Towards serving the demand of integration, this…
Optimization and expansion are two modes of staged evolution of complex systems where macroscopic observables change at a decreasing, respectively increasing, rate. A prime example of evolutionary expansion, Gross Domestic Product (GDP)…
Economic growth results from countries' accumulation of organizational and technological capabilities. The Economic and Product Complexity Indices, introduced as an attempt to measure these capabilities from a country's basket of exported…
Market indicators such as CPI and GDP have been widely used over decades to identify the stage of business cycles and also investment attractiveness of sectors given market conditions. In this paper, we propose a two-stage methodology that…
In a continuous time stochastic economy, this paper considers the problem of consumption and investment in a financial market in which the representative investor exhibits a change in the discount rate. The investment opportunities are a…
We analyze the flow into inflation for generic "single-clock" systems, by combining an effective field theory approach with a dynamical-systems analysis. In this approach, we construct an expansion for the potential-like term in the…