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The dynamics of generalized Lotka-Volterra systems is studied by theoretical techniques and computer simulations. These systems describe the time evolution of the wealth distribution of individuals in a society, as well as of the market…
Machine Learning (ML) has been embraced as a powerful tool by the financial industry, with notable applications spreading in various domains including investment management. In this work, we propose a full-cycle data-driven investment…
Before the pandemic ride-pooling was a promising emerging mode in urban mobility. It started reaching the critical mass with a growing number of service providers and the increasing number of travellers (needed to ensure ride-pooling…
We study the evolution of spatially flat Friedmann-Lema\^{i}tre-Robertson-Walker universe for chaotic and Starobinsky potentials in the framework of modified loop quantum cosmologies. These models result in a non-singular bounce as in loop…
We investigate the dynamics of single and multiple scalar fields with exponential potentials, leading to power-law and assisted inflation, in loop quantum cosmology. Unlike in the classical theory, dynamical trajectories in loop quantum…
We hypothesize that portfolio sorts based on the V/P ratio generate excess returns and consist of companies that are undervalued for prolonged periods. Results, for the US market show that high V/P portfolios outperform low V/P portfolios…
The purpose of this paper is to introduce a new growth adjusted price-earnings measure (GA-P/E) and assess its efficacy as measure of value and predictor of future stock returns. Taking inspiration from the interpretation of the traditional…
This work introduces the first small-loss and gradual-variation regret bounds for online portfolio selection, marking the first instances of data-dependent bounds for online convex optimization with non-Lipschitz, non-smooth losses. The…
This paper proposes a time-zone vector autoregression (VAR) model to investigate comovements in the global financial market. Analyzing daily data from 36 national equity markets, we explore the subprime and European debt crises using static…
We study the time dependent cross correlations of stock returns, i.e. we measure the correlation as the function of the time shift between pairs of stock return time series using tick-by-tick data. We find a weak but significant effect…
During the last years, European intraday power markets have gained importance for balancing forecast errors due to the rising volumes of intermittent renewable generation. However, compared to day-ahead markets, the drivers for the intraday…
Using a metric related to the returns correlation, a method is proposed to reconstruct an economic space from the market data. A reduced subspace, associated to the systematic structure of the market, is identified and its dimension related…
Repetition in music consumption is a common phenomenon. It is notably more frequent when compared to the consumption of other media, such as books and movies. In this paper, we show that one particularly interesting repetitive behavior…
Nowadays, there is an increasing concern about the unsustainability of the take-make-dispose paradigm upon which traditional production and consumption systems are built. The concept of circular economy is gaining attention as a potential…
Behavioral Finance has become a challenge to the scientific community. Based on the assumption that behavioral aspects of investors may explain some features of the Stock Market, we propose an agent based model to study quantitatively this…
Using an intangible intensity factor that is orthogonal to the Fama--French factors, we compare the role of intangible investment in predicting stock returns over the periods 1963--1992 and 1993--2022. For 1963--1992, intangible investment…
This paper prices and replicates the financial derivative whose payoff at $T$ is the wealth that would have accrued to a $\$1$ deposit into the best continuously-rebalanced portfolio (or fixed-fraction betting scheme) determined in…
This paper investigates a novel behavioral feature of recursive preferences: aversion to risks that persist over time, or simply \textit{correlation aversion}. Greater persistence provides information about future consumption but reduces…
The precision era of cosmology demands accurate theoretical predictions from inflationary models. In quantitative reheating analyses, inflationary observables depend sensitively on the number of e-folds between horizon exit and the end of…
Logged advertising auctions make offline reserve-price evaluation attractive but risky. Replay tables can identify policies with large apparent yield gains, yet they can also hide weak threshold support, multiple-comparison effects,…