综合金融
Margin trading in which investors purchase shares with money borrowed from brokers is blamed to be a major cause of the 2015 Chinese stock market crash. We propose a cascading failure model and examine how an increase in margin trading…
We describe the design of the CCI30 cryptocurrency index.
Money was invented to address the difficulty in the double coincidence of wants between the supply and demand when people exchanged their goods and services. There are two information states in society: one is the initial state that people…
Emerging economies frequently show a large component of their Gross Domestic Product to be dependant on the economic activity of small and medium enterprises. Nevertheless, e-business solutions are more likely designed for large companies.…
In this study we model the warranty claims process and evaluate the warranty servicing costs under non-renewing and renewing free repair warranties. We assume that the repair time for rectifying the claims is non-zero and the repair cost is…
The study aims to explore the strength of causal relationship between stock price search interest and real stock market outcomes on worldwide equity market indices. Such a phenomenon could also be mediated by investor behavior and extent of…
Since exchange economy considerably varies in the market assets, asset prices have become an attractive research area for investigating and modeling ambiguous and uncertain information in today markets. This paper proposes a new generative…
Countries tend to diversify their exports by entering products that are related to their current exports. Yet this average behavior is not representative of every diversification path. In this paper, we introduce a method to identify…
We present a simplistic model of the competition between different currencies. Each individual is free to choose the currency that minimizes his transaction costs, which arise whenever his exchanging relations have chosen a different…
We introduce a system of kinetic equations describing an exchange market consisting of two populations of agents (dealers and speculators) expressing the same preferences for two goods, but applying different strategies in their exchanges.…
This research investigated the potential for improving Peer-to-Peer (P2P) credit scoring by using "private information" about communications and travels of borrowers. We found that P2P borrowers' ego networks exhibit scale-free behavior…
We investigated publicly reported security breaches of internal controls in corporate systems to determine whether SOX assessments are information bearing with respect to breaches which can lead to materially significant losses and…
We present a stochastic, agent-based, binary-transaction Asset-Exchange Model (AEM) for wealth distribution that allows for agents with negative wealth. This model retains certain features of prior AEMs such as redistribution and…
A new model that combines economic growth rate fluctuations at the microscopic and macroscopic level is presented. At the microscopic level, firms are growing at different rates while also being exposed to idiosyncratic shocks at the firm…
We propose a diffusion process to describe the global dynamic evolution of credit operations at a national level given observed operations at a subnational level in a sovereign country. Empirical analysis with a unique dataset from…
Energy consumption in Ecuador has increased significantly during the last decades, affecting negatively the financial position of the country since large energy consumption subsidies are provided in its internal market and Ecuador is mostly…
Generally accepted depreciation methods do not compute the intrinsic value of an asset, as they do not factor for the Time Value of Money, a key principle within financial theory. This is disadvantageous, as knowing the intrinsic value of…
Regardless of the gold-standard being considered as outdated, it provides valuable signs concerning the development of novel monetary standards, better adjusted to the current macroeconomic environment. By using a point of view of classical…
In this paper we study the volatility and its probability distribution function for the cumulative production based on the experience curve hypothesis. This work presents a generalization of the study of volatility in [1], which addressed…
This article presents a new model for demographic simulation which can be used to forecast and estimate the number of people in pension funds (contributors and retirees) as well as workers in a public institution. Furthermore, the model…