Related papers: Comment on 'Asset Bubbles and Overlapping Generati…
An equation for the evolution of the distribution of wealth in a population of economic agents making binary transactions with a constant total amount of "money" has recently been proposed by one of us (RLR). This equation takes the form of…
We propose a new class of inflationary solutions to the standard cosmological problems (horizon, flatness, monopole,...), based on a modification of old inflation. These models do not require a potential which satisfies the normal…
The term `history effect' refers to the contribution of any past mass transfer events between a gas bubble and its liquid surroundings towards the current diffusion-driven growth or dissolution dynamics of that same bubble. The history…
Wealth inequality is an important matter for economic theory and policy. Ongoing debates have been discussing recent rise in wealth inequality in connection with recent development of active financial markets around the world. Existing…
We construct a statistical indicator for the detection of short-term asset price bubbles based on the information content of bid and ask market quotes for plain vanilla put and call options. Our construction makes use of the martingale…
We perform econometric tests on a modified Goodwin model where the capital accumulation rate is constant but not necessarily equal to one as in the original model (Goodwin, 1967). In addition to this modification, we find that addressing…
We generalize classical results on the existence of optimal portfolios in discrete time frictionless market models to models with capital gains taxes. We consider the realistic but mathematically challenging rule that losses do not trigger…
We analyze the household savings problem in a general setting where returns on assets, non-financial income and impatience are all state dependent and fluctuate over time. All three processes can be serially correlated and mutually…
In this talk we discuss three different issues. First of all, there exist several proposals how to solve cosmological problems by adiabatic expansion of the Universe, without any use of inflation. We explain why these models do not solve…
Using a self-similar approach a general nonsteady theory is elaborated for the case of the diffusion growth of a gas bubble in a supersaturated solution of gas in liquid. Due to the fact that the solution and the bubble in it are physically…
This paper examines an optimal investment problem in a continuous-time (essentially) complete financial market with a finite horizon. We deal with an investor who behaves consistently with principles of Cumulative Prospect Theory, and whose…
Using a recently introduced rational expectation model of bubbles, based on the interplay between stochasticity and positive feedbacks of prices on returns and volatility, we develop a new methodology to test how this model classifies 9…
This article deals with the issues of global-in-time existence and asymptotic analysis of a fluid-particle interaction model in the so-called bubbling regime. The mixture occupies the physical space $\Omega \subset \mathbb{R}^3$ which may…
Economic and financial time series can feature locally explosive behavior when a bubble is formed. The economic or financial bubble, especially its dynamics, is an intriguing topic that has been attracting longstanding attention. To…
We investigate a class of models of topological inflation in which a super-Hubble-sized global monopole seeds inflation. These models are attractive since inflation starts from rather generic initial conditions, but their not so attractive…
This paper reviews recent attempts at modelling inequality of wealth as an emergent phenomenon of interacting-agent processes. We point out that recent models of wealth condensation which draw their inspiration from molecular dynamics have,…
We introduce a simple model of economy, where the time evolution is described by an equation capturing both exchange between individuals and random speculative trading, in such a way that the fundamental symmetry of the economy under an…
Pertaining to Agent-based Computational Economics (ACE), this work presents two models for the rise and downfall of speculative bubbles through an exchange price fixing based on double auction mechanisms. The first model is based on a…
Emerging markets such as India provide investors with returns far greater than those in developed markets; taking the average returns from the period 1995 to 2014 the returns are 4.714% to 3.276% of the developed market. The majority of…
Banks must optimize risky investments, dividend payouts, and capital structure under tight Basel III solvency and liquidity constraints, while costly equity issuance serves as a distress-recovery tool. We formulate this as a stochastic…