Related papers: How do we measure trade elasticity for services?
Globalization processes interweave economic structures at a worldwide scale, trade playing a central role as one of the elemental channels of interaction among countries. Despite the significance of such phenomena, measuring economic…
Volatility measures the amplitude of price fluctuations. Despite it is one of the most important quantities in finance, volatility is not directly observable. Here we apply a maximum likelihood method which assumes that price and volatility…
This paper expands on stochastic volatility models by proposing a data-driven method to select the macroeconomic events most likely to impact volatility. The paper identifies and quantifies the effects of macroeconomic events across…
Using equilibrium fluctuations to understand the response of a physical system to an externally imposed perturbation is the basis for linear response theory, which is widely used to interpret experiments and shed light on microscopic…
Improvement of industrial performance such as cost, lead-time, adaptability, variety and traceability is the major finality of companies. At this need corresponds the necessity to collaborate and to strengthen their coordination mechanisms.…
An expanding literature articulates the view that Taylor rules are helpful in predicting exchange rates. In a changing world however, Taylor rule parameters may be subject to structural instabilities, for example during the Global Financial…
This paper proposes a two-step framework for techno-economic analysis of a demand-side flexibility service in distribution networks. Step one applies optimization-based modelling to propose a generic problem formulation which determines the…
Calculating by analytical theory the deformation of finite-sized elastic bodies in response to internally applied forces is a challenge. Here, we derive explicit analytical expressions for the amplitudes of modes of surface deformation of a…
We introduce an event based framework of directional changes and overshoots to map continuous financial data into the so-called Intrinsic Network - a state based discretisation of intrinsically dissected time series. Defining a method for…
The accurate determination of the elastic properties is non-trivial for metallic foils. The measured elastic modulus is often described in literature as significantly smaller than the respective modulus of the bulk counterparts. This paper…
Econometric identification generally relies on orthogonality conditions, which usually state that the random error term is uncorrelated with the explanatory variables. In convex regression, the orthogonality conditions for identification…
We study the Proportional Response dynamic in exchange economies, where each player starts with some amount of money and a good. Every day, the players bring one unit of their good and submit bids on goods they like, each good gets…
The volatility characterizes the amplitude of price return fluctuations. It is a central magnitude in finance closely related to the risk of holding a certain asset. Despite its popularity on trading floors, the volatility is unobservable…
Paper is based on "The cost of illiquidity and its effects on hedging", L. C. G. Rogers and Surbjeet Singh, 2010. We generalize its thesis to constant elasticity model, which own previously used Black-Schoels model as a special case. The…
We briefly review our recent studies on stochastic processes modelling internet on-line trading. We present a way to evaluate the average waiting time between the observation of the price in financial markets and the next price change,…
We empirically analyze the price and liquidity responses to trade signs, traded volumes and signed traded volumes. Utilizing the singular value decomposition, we explore the interconnections of price responses and of liquidity responses…
I propose a new terminology, international trade strength, which is defined as the ratio of a country's total international trade to its GDP. This parameter represents a country's ability to generate international trade by utilizing its…
Understanding the structure and formation of networks is a central topic in complexity science. Economic networks are formed by decisions of individual agents and thus not properly described by established random graph models. In this…
We study the identification and estimation of structural parameters in dynamic panel data logit models where decisions are forward-looking and the joint distribution of unobserved heterogeneity and observable state variables is…
The statistical properties of a stochastic process may be described (1)by the expectation values of the observables, (2)by the probability distribution functions or (3)by probability measures on path space. Here an analysis of level (3) is…