Related papers: Economic state classification and portfolio optimi…
We propose a new model for the joint evolution of the European inflation rate, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, continuous time setting. We derive the valuation equation for…
This paper considers a portfolio trading strategy formulated by algorithms in the field of machine learning. The profitability of the strategy is measured by the algorithm's capability to consistently and accurately identify stock indices…
Financial markets have been extensively studied as highly complex evolving systems. In this paper, we quantify financial price fluctuations through a coupled dynamical system composed of phase oscillators. We find a Financial Coherence and…
By employing the technique of enlargement of filtrations, we demonstrate how to incorporate information about the future trend of the stochastic interest rate process into a financial model. By modeling the interest rate as an affine…
In this paper, we consider the problem of optimization of a portfolio consisting of securities. An investor with an initial capital, is interested in constructing a portfolio of securities. If the prices of securities change, the investor…
GDP/capita correlations are investigated in various time windows (TW), for the time interval 1990-2005. The target group of countries is the set of 25 EU members, 15 till 2004 plus the 10 countries which joined EU later on. The TW-means of…
Embedding value investment in portfolio optimization models has always been a challenge. In this paper, we attempt to incorporate it by employing principal component analysis to filter out dominant financial ratios from each sector and…
This study optimises manually derived rule-based expert system classification of objects according to changes in their properties over time. One of the key challenges that this study tries to address is how to classify objects that exhibit…
Consider the problem of a government that wants to reduce the debt-to-GDP (gross domestic product) ratio of a country. The government aims at choosing a debt reduction policy which minimises the total expected cost of having debt, plus the…
We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus on the non-stationarity of the market correlation structure.…
We consider an investor faced with the utility maximization problem in which the risky asset price process has pure-jump dynamics affected by an unobservable continuous-time finite-state Markov chain, the intensity of which can also be…
The disaggregated time-series for the Consumer Price Index (CPI) often exhibits exact zero price changes, stemming from structural features of the data collection process. However, the currently prominent stochastic volatility model of…
Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient…
Picking out DBI scalar field as inflation, the slow-rolling inflationary scenario is studied by attributing an exponential time function to scale factor; known as intermediate inflation. The perturbation parameters of the model are…
There are two main approaches to non-equlibrium statistical mechanics: one using stochastic processes and the other using dynamical systems. To model the dynamics during inflation one usually adopts a stochastic description, which is known…
Economy correlations between the 19 richest countries are investigated through their Gross Domestic Product increments. A distance is defined between increment correlation matrix elements and their evolution studied as a function of time…
This study presents a computational and theoretical framework inspired by thermodynamic principles to analyze the dynamics of economic inflation within adiabatic and non-adiabatic systems. In a framework referred to as developmental…
We present a new approach to description of national economies. For this we use the state space viewpoint, which is used mostly in the theory of dynamical systems and in the control theory. Gross domestic product, inflation, and…
We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time-homogeneous Markov chain.…
This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depend on an external process of economic factors. There are transaction costs with a structure that…