Related papers: Money Growth and Inflation: A Quantile Sensitivity…
The bubble is a controversial and important issue. Many methods which based on the rational expectation have been proposed to detect the bubble. However, for some developing countries, epically China, the asset markets are so young that for…
Quantile estimation is a problem presented in fields such as quality control, hydrology, and economics. There are different techniques to estimate such quantiles. Nevertheless, these techniques use an overall fit of the sample when the…
With a new deprivation (or poverty) function, in this paper, we theoretically study the changes in poverty with respect to the `global' mean and variance of the income distribution using Indian survey data. We show that when the income…
In the general framework of a semimartingale financial model and a utility function $U$ defined on the positive real line, we compute the first-order expansion of marginal utility-based prices with respect to a ``small'' number of random…
We study here numerically the behavior of an ideal gas like model of markets having only one non-consumable commodity. We investigate the behavior of the steady-state distributions of money, commodity and total wealth, as the dynamics of…
A causal structure is a description of the functional dependencies between random variables. A distribution is compatible with a given causal structure if it can be realized by a process respecting these dependencies. Deciding whether a…
Quantile and quantile effect functions are important tools for descriptive and causal analyses due to their natural and intuitive interpretation. Existing inference methods for these functions do not apply to discrete random variables. This…
We investigate the observational signatures of many-field inflation and present analytic expressions for the spectral index as a function of the prior. For a given prior we employ the central limit theorem and the horizon crossing…
This paper provides a method to construct simultaneous confidence bands for quantile functions and quantile effects in nonlinear network and panel models with unobserved two-way effects, strictly exogenous covariates, and possibly discrete…
The interplay among the possible variation of gauge coupling and the inflationary dynamics is investigated in a simplified toy model. Depending upon various parameters (scalar mass, curvature scale at the end of inflation and at the onset…
In recent literature on eternal inflation, a number of measures have been introduced which attempt to assign probabilities to different pocket universes by counting the number of each type of pocket according to a specific procedure. We…
Quantile regression is an increasingly important empirical tool in economics and other sciences for analyzing the impact of a set of regressors on the conditional distribution of an outcome. Extremal quantile regression, or quantile…
An empirical study of joint bivariate probability distribution of two consecutive price increments for a set of stocks at time scales ranging from one minute to thirty minutes reveals asymmetric structures with respect to the axes y=0, y=x,…
In this work the system of agents is applied to establish a model of the nonlinear distributed signal processing. The evolution of the system of the agents - by the prediction time scale diversified trend followers, has been studied for the…
This article investigates the causality structure of financial time series. We concentrate on three main approaches to measuring causality: linear Granger causality, kernel generalisations of Granger causality (based on ridge regression and…
This manuscript introduces deep learning models that simultaneously describe the dynamics of several yield curves. We aim to learn the dependence structure among the different yield curves induced by the globalization of financial markets…
Fintech lending has become a central mechanism through which digital platforms stimulate consumption, offering dynamic, personalized credit limits that directly shape the purchasing power of consumers. Although prior research shows that…
In this paper, we study the computation of sensitivities with respect to spot of path dependent financial derivatives by means of path weighting. We propose explicit path weighting formula and variance reduction adjustment in order to…
We introduce a new system of stochastic differential equations which models dependence of market beta and unsystematic risk upon size, measured by market capitalization. We fit our model using size deciles data from Kenneth French's data…
This paper provides an innovative perspective on the role of gold as a hedge and safe haven. We use a quantile-on-quantile regression approach to capture the dependence structure between gold returns and changes in uncertainty under…