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Do firm dynamics matter for the transmission of monetary policy? Empirically, the startup rate declines following a monetary contraction, while the exit rate increases, both of which reduce aggregate employment. I present a model that…
Mediation analyses are a statistical tool for testing the hypothesis about how the relationship between two variables may be direct or indirect via a third variable. Assessing statistical significance has been an area of active research;…
We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenous news. In order to understand why and…
While the investors' responses to price changes and their price forecasts are well accepted major factors contributing to large price fluctuations in financial markets, our study shows that investors' heterogeneous and dynamic risk aversion…
Employing a recent technique which allows the representation of nonstationary data by means of a juxtaposition of locally stationary patches of different length, we introduce a comprehensive analysis of the key observables in a financial…
Microstructure of market dynamics is studied through analysis of tick price data. Linear trend is introduced as a tool for such analysis. Trend arbitrage inequality is developed and tested. The inequality sets limiting relationship between…
This paper develops a strategic model of trade between two regions in which, depending on the relation among output, financial resources and transportation costs, the adjustment of prices towards an equilibrium is studied. We derive…
This paper contributes a new machine learning solution for stock movement prediction, which aims to predict whether the price of a stock will be up or down in the near future. The key novelty is that we propose to employ adversarial…
In this study, we introduce a physical model inspired by statistical physics for predicting price volatility and expected returns by leveraging Level 3 order book data. By drawing parallels between orders in the limit order book and…
The discrepancy between realized volatility and the market's view of volatility has been known to predict individual equity options at the monthly horizon. It is not clear how this predictability depends on a forecast's ability to predict…
The Price equation partitions the change in the expected value of a population measure. The first component describes the partial change caused by altered frequencies. The second component describes the partial change caused by altered…
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…
Standard high-dimensional factor models assume that the comovements in a large set of variables could be modeled using a small number of latent factors that affect all variables. In many relevant applications in economics and finance,…
In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge…
Nearest neighbor methods have become popular in official statistics, mainly in imputation or in statistical matching problems; they play a key role in machine learning too, where a high number of variants have been proposed. The choice of…
The uncertainty or the variability of the data may be treated by considering, rather than a single value for each data, the interval of values in which it may fall. This paper studies the derivation of basic description statistics for…
Force-based models describe pedestrian dynamics in analogy to classical mechanics by a system of second order ordinary differential equations. By investigating the linear stability of two main classes of forces, parameter regions with…
We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market…
The volume fluctuations in statistical mechanics are discussed. First, the volume fluctuations in ensembles with a fixed external pressure, the so called pressure ensembles, are considered. Second, a generalization of the pressure ensembles…
Measures of economic mobility represent aggregate values for how individual wealth changes over time. As such, these measures may not describe the feasibility of a typical individual to change their wealth. To address this limitation, we…