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We investigate the problem of wealth distribution from the viewpoint of asset exchange. Robust nature of Pareto's law across economies, ideologies and nations suggests that this could be an outcome of trading strategies. However, the simple…
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…
Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail dependence have been stated in literature in recent years,…
Fluctuation theorems show how coarse graining transforms microscopic symmetry into observable irreversibility. Here we ask whether an analogous symmetrybased diagnostic can be constructed for financial markets. At the microscopic level,…
We propose a frustrated and disordered many-body model of a stockmarket in which independent adaptive traders can trade a stock subject to the economic law of supply and demand. We show that the typical scaling properties and the correlated…
The distribution of wealth among the members of a society is herein assumed to result from two fundamental mechanisms, trade and investment. An empirical distribution of wealth shows an abrupt change between the low-medium range, that may…
In the present paper a model of a market consisting of real and financial interacting sectors is studied. Agents populating the stock market are assumed to be not able to observe the true underlying fundamental, and their beliefs are biased…
Sequential user behavior modeling plays a crucial role in online user-oriented services, such as product purchasing, news feed consumption, and online advertising. The performance of sequential modeling heavily depends on the scale and…
We describe a simple model for speculative trading based on adaptive behavior of economic agents.The adaptive behavior is expressed through a feedback mechanism for changing agents' stock-to-bond ratios, depending on the past performance of…
We propose a deep learning approach to probabilistic forecasting of macroeconomic and financial time series. Being able to learn complex patterns from a data rich environment, our approach is useful for a decision making that depends on…
This paper analyzes the equilibrium distribution of wealth in an economy where firms' productivities are subject to idiosyncratic shocks, returns on factors are determined in competitive markets, dynasties have linear consumption functions…
We consider a fixed-point equation for a non-negative integer-valued random variable, that appears in branching processes with state-independent immigration. A similar equation appears in the analysis of a single-server queue with a…
The contribution of this paper is to introduce change of measure based techniques for the rare-event analysis of heavy-tailed stochastic processes. Our changes-of-measure are parameterized by a family of distributions admitting a mixture…
We propose an analytical approach to the computation of tail probabilities of compound distributions whose individual components have heavy tails. Our approach is based on the contour integration method, and gives rise to a representation…
We establish connections between optimal transport theory and the dynamic version of the Kyle model, including new characterizations of informed trading profits via conjugate duality and Monge-Kantorovich duality. We use these connections…
We present a detailed study of the statistical properties of an Agent Based Model and of its generalization to the multiplicative dynamics. The aim of the model is to consider the minimal elements for the understanding of the origin of the…
Causal questions are omnipresent in many scientific problems. While much progress has been made in the analysis of causal relationships between random variables, these methods are not well suited if the causal mechanisms only manifest…
This study develops a multi-factor framework where not only market risk is considered but also potential changes in the investment opportunity set. Although previous studies find no clear evidence about a positive and significant relation…
The upper extremes of a Markov chain with regulary varying stationary marginal distribution are known to exhibit under general conditions a multiplicative random walk structure called the tail chain. More generally, if the Markov chain is…
I demonstrate that with the market return determined by the equilibrium returns of the CAPM, expected returns of an asset are affected by the risks of all assets jointly. Another implication is that the range of feasible market returns will…