Related papers: Complex economics of simple periodic systems
Why do companies choose particular capital structures? A compelling answer to this question remains elusive despite extensive research. In this article, we use double machine learning to examine the heterogeneous causal effect of credit…
The practice of valuation by marking-to-market with current trading prices is seriously flawed. Under leverage the problem is particularly dramatic: due to the concave form of market impact, selling always initially causes the expected…
We consider a simplified version of the Wealth Game, which is an agent-based financial market model with many interesting features resembling the real stock market. Market makers are not present in the game so that the majority traders are…
In this paper new analytical and numerical approaches to valuating path-dependent options of European type have been developed. The model of stochastic volatility as a basic model has been chosen. For European options we could improve the…
We investigate activities that have different periods of duration. We define the profit intensity as a measure of this economic category. The profit intensity in a repeated trading has a unique property of attaining its maximum at a fixed…
Many studies have analyzed how variability in reproductive success affects fitness. However, each study tends to focus on a particular problem, leaving unclear the overall structure of variability in populations. This fractured conceptual…
This paper incorporates fixed capital into a multi-sectoral input-output model to reassess the Okishio Theorem. We establish the existence of a critical wage elasticity strictly less than unity, beyond which cost-reducing technical progress…
We investigate the structure of the profit landscape obtained from the most basic, fluctuation based, trading strategy applied for the daily stock price data. The strategy is parameterized by only two variables, p and q. Stocks are sold and…
We study stochastic processes that generate non-growing complex networks without self-loops and multiple edges (simple graphs). The work concentrates on understanding and formulation of constraints which keep the rewiring stochastic…
This thesis develops a mathematical framework for the analysis of continuous-time trading strategies which, in contrast to the classical setting of continuous-time finance, does not rely on stochastic integrals or other probabilistic…
Energy storage shifts energy from off-peak periods to on-peak periods. Unlike conventional generation, storage is duration-limited: the stored energy capacity constrains the duration over which it can supply power. To understand how these…
We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time series are rather…
A Hawkes process model with a time-varying background rate is developed for analyzing the high-frequency financial data. In our model, the logarithm of the background rate is modeled by a linear model with a relatively large number of…
This paper investigates the investment problem of constructing an optimal no-short sequential portfolio strategy in a market with a latent dependence structure between asset prices and partly unobservable side information, which is often…
Identifying the structural dependence between the cryptocurrencies and predicting market trend are fundamental for effective portfolio management in cryptocurrency trading. In this paper, we present a unified Bayesian framework based on…
Labor market institutions are central for modern economies, and their polices can directly affect unemployment rates and economic growth. At the individual level, unemployment often has a detrimental impact on people's well-being and…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
We consider a model of a simple financial system consisting of a leveraged investor that invests in a risky asset and manages risk by using Value-at-Risk (VaR). The VaR is estimated by using past data via an adaptive expectation scheme. We…
A technique from stochastic portfolio theory [Fernholz, 1998] is applied to analyse equity returns of Small, Mid and Large cap portfolios in an emerging market through periods of growth and regional crises, up to the onset of the global…
In this work, with the help of fractional calculus, it is shown a time dependence of entropy more general than the well known Pesin relation is derived. Here the equiprobability postulate is not assumed, the system dynamic in the phase…