Related papers: Statistical models for company growth
Random models of evolution are instrumental in extracting rates of microscopic evolutionary mechanisms from empirical observations on genetic variation in genome sequences. In this context it is necessary to know the statistical properties…
We investigate how price variations of a stock are transformed into profits and losses (P&Ls) of a trend following strategy. In the frame of a Gaussian model, we derive the probability distribution of P&Ls and analyze its moments (mean,…
We study self-organized models for information transmission and herd behavior in financial markets. Existing models are generalized to take into account the effect of size-dependent fragmentation and coagulation probabilities of groups of…
Existing theoretical models of evolution focus on the relative fitness advantages of different mutants in a population while the dynamic behavior of the population size is mostly left unconsidered. We here present a generic stochastic model…
Firms compete for clients, creating distributions of market shares ranging from domination by a few giant companies to markets in which there are many small firms. These market structures evolve in time, and may remain stable for many years…
Stochastic models of diffusion with excluded-volume effects are used to model many biological and physical systems at a discrete level. The average properties of the population may be described by a continuum model based on partial…
We study the asymptotic macroscopic properties of the mixed majority-minority game, modeling a population in which two types of heterogeneous adaptive agents, namely ``fundamentalists'' driven by differentiation and ``trend-followers''…
We investigate in this paper the estimation of Gaussian graphs by model selection from a non-asymptotic point of view. We start from a n-sample of a Gaussian law P_C in R^p and focus on the disadvantageous case where n is smaller than p. To…
Effort has been given for the development of an analytical approach that helps to address several sigmoidal and non-sigmoidal growth processes found in literature. In the proposed approach, the role of specific growth rate in different…
We investigate joint spectral characteristics of a family of matrices $\mathcal F $, associated with products in the semigroup generated by $\mathcal F$. In the literature, extremal measures such as the well-known joint spectral radius and…
The dynamics of linear stochastic growth equations on growing substrates is studied. The substrate is assumed to grow in time following the power law $t^\gamma$, where the growth index $\gamma$ is an arbitrary positive number. Two different…
We propose a semiparametric model for autonomous nonlinear dynamical systems and devise an estimation procedure for model fitting. This model incorporates subject-specific effects and can be viewed as a nonlinear semiparametric mixed…
In this short note we study the asymptotic behaviour of the minima over compact intervals of Gaussian processes, whose paths are not necessarily smooth. We show that, beyond the logarithmic large deviation Gaussian estimates, this problem…
This paper presents a new way to account for downside and upside risks when producing density nowcasts of GDP growth. The approach relies on modelling location, scale and shape common factors in real-time macroeconomic data. While movements…
Structured additive distributional regression models offer a versatile framework for estimating complete conditional distributions by relating all parameters of a parametric distribution to covariates. Although these models efficiently…
We present a preferential attachment growth model to obtain the distribution $P(K)$ of number of units $K$ in the classes which may represent business firms or other socio-economic entities. We found that $P(K)$ is described in its central…
This paper is concerned with sample size determination methodology for prediction models. We propose combining the individual calculations via a learning-type curve. We suggest two distinct ways of doing so, a deterministic skeleton of a…
We study unit-level expenditure on consumption across multiple countries and multiple years, in order to extract invariant features of consumption distribution. We show that the bulk of it is lognormally distributed, followed by a power law…
The paper presents an analysis performed over the worldwide top 150 firms in the pharmaceutical industry. It begins with a test of the Gibrat's Law of Proportionate Effect finding, in line with previous literature, a violation concerning…
We study the distributional properties of the linear discriminant function under the assumption of normality by comparing two groups with the same covariance matrix but different mean vectors. A stochastic representation for the…