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A kinetic inhomogeneous Boltzmann-type equation is proposed to model the dynamics of the number of agents in a large market depending on the estimated value of an asset and the rationality of the agents. The interaction rules take into…
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 introduce the concept of "negative bubbles" as the mirror image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the…
The non-linear dynamics of driven oscillations in the size of a spherical bubble are mapped to the dynamics of a Newtonian particle in a potential within the incompressible liquid regime. The compressible liquid regime, which is important…
A rational bubble is a situation in which the asset price exceeds its fundamental value defined by the present discounted value of dividends in a rational equilibrium model. We discuss the recent development of the theory of rational…
This paper studies theory and inference related to a class of time series models that incorporates nonlinear dynamics. It is assumed that the observations follow a one-parameter exponential family of distributions given an accompanying…
This paper focuses on modeling the dynamic attributes of a dynamic network with a fixed number of vertices. These attributes are considered as time series which dependency structure is influenced by the underlying network. They are modeled…
We propose a statistical-stochastic surrogate modeling approach to predict the response of the mean and variance statistics under various initial conditions and external forcing perturbations. The proposed modeling framework extends the…
A recently developed nonlinear analytical model for axially loaded thin-walled stringer-stiffened plates based on variational principles is extended to include local buckling of the main plate. Interaction between the weakly stable global…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…
Recently research on bubble and its burst attract much interest of researchers in various field such as economics and physics. Economists have been regarding bubble as a disorder in prices. However, this research strategy has overlooked an…
A framework for deriving probabilistic data-driven closure models is proposed for coarse-grained numerical simulations of turbulence in statistically stationary state. The approach unites the ideal large-eddy simulation model and data…
One of the most important empirical findings in microeconometrics is the pervasiveness of heterogeneity in economic behaviour (cf. Heckman 2001). This paper shows that cumulative distribution functions and quantiles of the nonparametric…
In this article there is no intention to repeat basic concepts about risk management, but we will try to define why often is usefull the time series analysis during the assessment of risks, and how is possible to compute a significative…
Non-spherical particles transported by an anisotropic turbulent flow preferentially align with the mean shear and intermittently tumble when the local strain fluctuates. Such an intricate behaviour is here studied for inertialess,…
We highlight a very simple statistical tool for the analysis of financial bubbles, which has already been studied in [1]. We provide extensive empirical tests of this statistical tool and investigate analytically its link with stocks…
This paper investigates a partially linear spatial autoregressive panel data model that incorporates fixed effects, constant and time-varying regression coefficients, and a time-varying spatial lag coefficient. A two-stage least squares…
A hypothesis that the financial log-periodicity, cascading self-similarity through various time scales, carries signatures of a law is pursued. It is shown that the most significant historical financial events can be classified amazingly…
We propose a simple stochastic model of cascading transport in wave number space to clarify the origin of intermittent behavior of fully-developed fluid turbulence. In spite of lack of nonlinearity and viscosity the model gives non-Gaussian…
The space time autoregressive model has been widely applied in science, in areas such as economics, public finance, political science, agricultural economics, environmental studies and transportation analyses. The classical space time…