综合金融
Investors in stock market are usually greedy during bull markets and scared during bear markets. The greed or fear spreads across investors quickly. This is known as the herding effect, and often leads to a fast movement of stock prices.…
Corporate venture capital is in the midst of a renaissance. The end of 2015 marked all-time highs both in the number of corporate firms participating in VC deals and in the amount of capital being deployed by corporate VCs. This paper…
In this paper, we analyze dynamic programming as a novel approach to solve the problem of maximizing the profits of a bank. The mathematical model of the problem and the description of a bank's work is described in this paper. The problem…
Since 2002 when China first introduced QFII (Qualified Foreign Institutional Investors) system, QFII has been developing in China for 14 years, during when RQFII, Shanghai-Hongkong Stock Connect Program, Shanghai-London Stock Connect…
Commodity exchange-traded funds (ETFs) are a significant part of the rapidly growing ETF market. They have become popular in recent years as they provide investors access to a great variety of commodities, ranging from precious metals to…
The paper provides a survey of results related to the "$\kappa$-generalized distribution", a statistical model for the size distribution of income and wealth. Topics include, among others, discussion of basic analytical properties,…
We investigate the volatility return intervals in the NYSE and FOREX markets. We explain previous empirical findings using a model based on the interacting agent hypothesis instead of the widely-used efficient market hypothesis. We derive…
We uncover a new anomaly in asset pricing that is linked to the remuneration: the more a company spends on salaries and benefits per employee, the better its stock performs, on average. Moreover, the companies adopting similar remuneration…
We study the effects of introducing information inefficiency in a model for a random linear economy with a representative consumer. This is done by considering statistical, instead of classical, economic general equilibria. Employing two…
Research funding agencies routinely use a proportion of their total revenues to support internal administration and marketing costs. The ratio of administration to total costs, referred to as the administration ratio, is highly variable and…
We propose a continuous-time stock-flow consistent model for inventory dynamics in an economy with firms, banks, and households. On the supply side, firms decide on production based on adaptive expectations for sales demand and a desired…
Since beginning of the 2008 financial crisis almost half a trillion euros have been spent to financially assist EU member states in taxpayer-funded bail-outs. These crisis resolutions are often accompanied by austerity programs causing…
Nowadays, financial data analysis is becoming increasingly important in the business market. As companies collect more and more data from daily operations, they expect to extract useful knowledge from existing collected data to help make…
Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…
The scope of financial systemic risk research encompasses a wide range of interbank channels and effects, including asset correlation shocks, default contagion, illiquidity contagion, and asset fire sales. This paper introduces a financial…
The aim of this work is to address the description of hyperinflation regimes in economy. The spirals of hyperinflation developed in Brazil, Israel, and Nicaragua are revisited. This new analysis of data indicates that the episodes occurred…
We propose a simple dynamical model of the formation of production networks among monopolistically competitive firms. The model subsumes the standard general equilibrium approach \`a la Arrow-Debreu but displays a wide set of potential…
This work's purpose is to understand the dynamics of some social systems whose properties can be captured by certain iterated function systems. To achieve this intension, we start from the theory of iterated function systems, and then we…
An approach is proposed to determine structural shift in time-series assuming non-linear dependence of lagged values of dependent variable. Copulas are used to model non-linear dependence of time series components.
The proposed model is aimed to reveal important patterns in the behavior of a simplified financial system. The patterns could be detected as regular cycles consisting of debt bubbles and crises. Financial cycles have a well defined…