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In this paper we discuss a scaling approach to business fluctuations. Our starting point consists in recognizing that concepts and methods derived from physics have allowed economists to (re)discover a set of stylized facts which have to be…
Financial market prediction on the basis of online sentiment tracking has drawn a lot of attention recently. However, most results in this emerging domain rely on a unique, particular combination of data sets and sentiment tracking tools.…
This paper presents a novel machine learning approach to GDP prediction that incorporates volatility as a model weight. The proposed method is specifically designed to identify and select the most relevant macroeconomic variables for…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
The underlying idea behind the construction of indices of economic inequality is based on measuring deviations of various portions of low incomes from certain references or benchmarks, that could be point measures like population mean or…
To elucidate the non-trivial empirical statistical properties of fluctuations of a typical non-steady time series representing the appearance of words in blogs, we investigated approximately five billion Japanese blogs over a period of six…
This article reviews the economics literature of, primarily, the last 20 years, that studies the link between income shocks and consumption fluctuations at the household level. We identify three broad approaches through which researchers…
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).…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
We propose a framework combining detrended fluctuation analysis with standard regression methodology. The method is built on detrended variances and covariances and it is designed to estimate regression parameters at different scales and…
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…
Fluctuations in stock prices are influenced by a complex interplay of factors that go beyond mere historical data. These factors, themselves influenced by external forces, encompass inter-stock dynamics, broader economic factors, various…
The forecasting of political, economic, and public health indicators using internet activity has demonstrated mixed results. For example, while some measures of explicitly surveyed public opinion correlate well with social media proxies,…
Economic behavior is shaped not only by quantitative information but also by the narratives through which such information is communicated and interpreted (Shiller, 2017). I show that narratives extracted from earnings calls significantly…
Socio-economic inequality is measured using various indices. The Gini ($g$) index, giving the overall inequality is the most commonly used, while the recently introduced Kolkata ($k$) index gives a measure of $1-k$ fraction of population…
The goal of this paper is to evaluate the informational content of sentiment extracted from news articles about the state of the economy. We propose a fine-grained aspect-based sentiment analysis that has two main characteristics: 1) we…
In this paper we propose a novel index to quantify and measure the flow of information on macro and micro scales. We discuss the implications of this index for knowledge management fields and also as intellectual capital that can thus be…
We study a stochastic model for the diffusion of competing opinions in a population composed of three types of agents: trend-followers, opposers, and indifferent individuals. The decision dynamics are driven by reinforcement mechanisms,…
Classical measures of inequality use the mean as the benchmark of economic dispersion. They are not sensitive to inequality at the left tail of the distribution, where it would matter most. This paper presents a new inequality measurement…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…