Related papers: Money Growth and Inflation: A Quantile Sensitivity…
We have studied numerically the statistical mechanics of the dynamic phenomena, including money circulation and economic mobility, in some transfer models. The models on which our investigations were performed are the basic model proposed…
The money supply is endogenous if the monetary policy strategy is the so called Inflation and Interest Rate Targeting, IRT. With that and perfect credibility, the theory of the price level and inflation only needs the Fisher equation, but…
Quantile regression has become a valuable tool to analyze heterogeneous covaraite-response associations that are often encountered in practice. The development of quantile regression methodology for high-dimensional covariates primarily…
Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the…
The institution of money can be seen as a foundational social mechanism, enabling communities to quantify collectively regulate economic processes. Money can be said, indeed, to constitute the micro-macro link in economics. This paper…
Temporal data distribution shift is prevalent in the financial text. How can a financial sentiment analysis system be trained in a volatile market environment that can accurately infer sentiment and be robust to temporal data distribution…
Ratios of sample percentiles or of quantiles based on a single sample are often published for skewed income data to illustrate aspects of income inequality, but distribution-free confidence intervals for such ratios are to our knowledge not…
We study the noncommutative inflation with a time-dependent noncommutativity between space and time. From the numerical analysis of power law inflation, there are clues that the CMB spectrum indicates a nonconstant noncommutative inflation.…
We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to a small amount of model uncertainty. Specifically, we compute explicitly the first-order sensitivity of their…
The long-lasting socio-economic impact of the global financial crisis has questioned the adequacy of traditional tools in explaining periods of financial distress, as well as the adequacy of the existing policy response. In particular, the…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…
We briefly review statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as random transfers of money between the agents…
In the recent times of global Covid pandemic, the Federal Reserve has raised the concerns of upsurges in prices. Given the complexity of interaction between inflation and inequality, we examine whether the impact of inflation on inequality…
An agent-based computational economical toy model for the emergence of money from the initial barter trading, inspired by Menger's postulate that money can spontaneously emerge in a commodity exchange economy, is extensively studied. The…
We study a variant of the Cont-Bouchaud model which utilizes the perco lation approach of multi-agent simulations of the stock market fluctuations. Here, instead of considering the relative price change as the difference of the total demand…
We investigate cosmological solutions for the modified gravity theory obtained from quantum relative entropy between the metric of spacetime and the metric induced by the geometry and matter fields. The vacuum equations admit inflationary…
We argue that inflationary dynamics may support a scenario where significant matter-antimatter asymmetry is generated from initially small-scale quantum fluctuations that are subsequently stretched out over large scales. This scenario can…
In this article we look at stochastic processes with uncertain parameters, and consider different ways in which information is obtained when carrying out observations. For example we focus on the case of a the random evolution of a traded…
This paper considers forecasts of the growth and inflation distributions of the United Kingdom with factor-augmented quantile autoregressions under a model averaging framework. We investigate model combinations across models using weights…
Inflection point inflation generically includes a deviation from slow-roll when the inflaton approaches the inflection point. Such deviations are shown to be generated by transitions between singular trajectories. The effects on the power…