Related papers: Economic state classification and portfolio optimi…
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…
A new branch based on Markov processes is developing in the recent literature of financial time series modeling. In this paper, an Indexed Markov Chain has been used to model high frequency price returns of quoted firms. The peculiarity of…
The physics of the inflationary universe requires the study of the out of equilibrium evolution of quantum fields in curved spacetime. We present the evolution for both the geometry and the matter (described by the quantum inflaton field)…
We investigate the entanglement due to geometric corrections in particle creation during inflation. To do so, we propose a single-field inflationary scenario, nonminimally coupled to the scalar curvature of spacetime. We require particle…
We develop an optimal experimental design framework for adapting the covariance inflation and localization in data assimilation problems. Covariance inflation and localization are ubiquitously employed to alleviate the effect of using…
In the continuous time mean-variance model, we want to minimize the variance (risk) of the investment portfolio with a given mean at terminal time. However, the investor can stop the investment plan at any time before the terminal time. To…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
We develop a general framework for state estimation in systems modeled with noise-polluted continuous time dynamics and discrete time noisy measurements. Our approach is based on maximum likelihood estimation and employs the calculus of…
The patterns of different financial data sources vary substantially, and accordingly, investors exhibit heterogeneous cognition behavior in information processing. To capture different patterns, we propose a novel approach called the…
For $n$ assets and discrete-time rebalancing, the probability to complete a given schedule of investments and withdrawals is maximized over progressively measurable portfolio weight functions. Applications consider two assets, namely the…
The decision process requires information about the present state of the system, but in economy acquiring data and processing them is an expensive and time consuming process. Therefore the state of the system is measured and announced at…
Inflation exhibits state-dependent, skewed, and fat-tailed dynamics that make risk a central concern for monetary policy. Accordingly, inflation risks are distributional and cannot be fully captured by mean-based models. We propose a…
We propose a methodology for clustering financial time series of stocks' returns, and a graphical set-up to quantify and visualise the evolution of these clusters through time. The proposed graphical representation allows for the…
We use a replica approach to deal with portfolio optimization problems. A given risk measure is minimized using empirical estimates of asset values correlations. We study the phase transition which happens when the time series is too short…
We consider the estimation of the multi-period optimal portfolio obtained by maximizing an exponential utility. Employing Jeffreys' non-informative prior and the conjugate informative prior, we derive stochastic representations for the…
This study investigates whether international equity markets systematically price global macroeconomic risks. The empirical analysis is conducted using monthly excess returns for ten G20 countries over the period 2000-2024. A Dynamic Factor…
Two network measures known as the Economic Complexity Index (ECI) and Product Complexity Index (PCI) have provided important insights into patterns of economic development. We show that the ECI and PCI are equivalent to a spectral…
The integration of Central and Eastern European (CEE) countries into the European Economic Area serves as a valuable experiment for the regional economic development theory. The long-lasting convergence of these economies with more advanced…
This paper presents a novel quantitative approach for comparative economic studies, addressing limitations in current classification methods. Conventional approaches in comparative economics often rely on ad hoc and categorical…
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…