Related papers: The Micro-Aggregated Profit Share
The trade size $\omega$ has direct impact on the price formation of the stock traded. Econophysical analyses of transaction data for the US and Australian stock markets have uncovered market-specific scaling laws, where a master curve of…
A growing empirical literature suggests that equity-premium predictability is state dependent, with much of the forecasting power concentrated around recessionary periods (Henkel et al., 2011; Dangl and Halling, 2012; Devpura et al., 2018).…
By incorporating market impact and momentum traders into an agent-based model, we investigate the conditions for the occurrence of self-reinforcing feedback loops and the coevolutionary mechanism of prices and strategies. For low market…
This paper examines the effect of ownership concentration on product position, product variety and readership in markets for daily newspapers. US antitrust policy presumes that mergers reduce the amount and diversity of content available to…
The capacity market, a marketplace to exchange available generation capacity for electricity production, provides a major revenue stream for generators and is adopted in several U.S. regions. A subject of ongoing debate, the capacity market…
Nothing has done more to empower the free market, enterprise, and meritocracy than the spread of electricity and power to everyone. The power system has been the precursor to the greatest period of innovation in our history and has meant…
The long term estimation of the Marxist average rate of profit does not adhere to a theoretically grounded standard regarding which economic activities should or should not be included for such purposes, which is relevant because…
We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own…
I develop a simple Schumpeterian agent-based model where the entry and exit of firms, their productivity and markup, the birth of new industries and the social structure of the population are endogenous and use it to study the causes of…
The rapid expansion of distributed energy resources (DERs) is one of the most significant changes to electricity systems around the world. Examples of DERs include solar panels, small natural gas-fueled generators, combined heat and power…
This paper evaluates market equilibrium under different pricing mechanisms in a two-settlement 100%-renewables electricity market. Given general probability distributions of renewable energy, we establish game-theoretical models to analyze…
The growth of business firms is an example of a system of complex interacting units that resembles complex interacting systems in nature such as earthquakes. Remarkably, work in econophysics has provided evidence that the statistical…
The distribution of income and wealth in developed economies exhibits a robust two-class structure: an exponential (Boltzmann--Gibbs) bulk covering $\sim\!97\%$ of the population, and a power-law (Pareto) tail in the upper $\sim\!3\%$. We…
At what level should government or companies support research? This complex multi-faceted question encompasses such qualitative bonus as satisfying natural human curiosity, the quest for knowledge and the impact on education and culture,…
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…
Since August 2000, the stock market in the USA as well as most other western markets have depreciated almost in synchrony according to complex patterns of drops and local rebounds. In \cite{SZ02QF}, we have proposed to describe this…
Economic institutions often influence market outcomes not by directly controlling sellers' menus, but by shaping the market composition sellers face. We study the welfare effects of this upstream choice in a monopoly screening model. An…
We argue that an important contributing factor into market inefficiency is the lack of a robust mechanism for the stock price to rise if a company has good earnings, e.g., via buybacks/dividends. Instead, the stock price is prone to…
This study investigates the causal impact of takeovers on firm-level financial accounts on a sample of 4,482 targets in the European Union in the period 2007- 2021. Findings suggest that horizontal integrations do not have a statistically…
This paper is devoted to the important yet little explored subject of the market impact of limit orders. Our analysis is based on a proprietary database of metaorders - large orders that are split into smaller pieces before being sent to…