综合金融

We introduce and analyze a linear kinetic model that describes the evolution of the probability density of the number of firms in a society, in which the microscopic rate of change obeys to the so-called law of proportional effect proposed…

We present a quantitative characterisation of the fluctuations of the annualized growth rate of the real US GDP per capita growth at many scales, using a wavelet transform analysis of two data sets, quarterly data from 1947 to 2015 and…

The paper presents an evolutionary economic model for the price evolution of stocks. Treating a stock market as a self-organized system governed by a fast purchase process and slow variations of demand and supply the model suggests that the…

The performance of trend following strategies can be ascribed to the difference between long-term and short-term realized variance. We revisit this general result and show that it holds for various definitions of trend strategies. This…

A growing number of systems are represented as networks whose architecture conveys significant information and determines many of their properties. Examples of network architecture include modular, bipartite, and core-periphery structures.…

In this paper, we reveal the attenuation mechanism of anchor of the commodity money from the perspective of logistics warehousing costs, and propose a novel Decayed Commodity Money (DCM) for the store of value across time and space.…

The statistical mechanics approach to wealth distribution is based on the conservative kinetic multi-agent model for money exchange, where the local interaction rule between the agents is analogous to the elastic particle scattering…

The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a strategic game played among all…

Cash management is concerned with optimizing the short-term funding requirements of a company. To this end, different optimization strategies have been proposed to minimize costs using daily cash flow forecasts as the main input to the…

We define risk-free portfolios using three gauge invariant differential operators that require such portfolios to be insensitive to price changes, to be self-financing, and to produce a zero real return so there are no risk-free profits.…

We propose a random walk model of asset returns where the parameters depend on market stress. Stress is measured by, e.g., the value of an implied volatility index. We show that model parameters including standard deviations and…

One of the problems faced by a firm that sells certain commodities is to determine the number of products that it must supply in order to maximize its profit. In this article, the authors give an answer to this problem of economic interest.…

The role of Network Theory in the study of the financial crisis has been widely spotted in the latest years. It has been shown how the network topology and the dynamics running on top of it can trigger the outbreak of large systemic crisis.…

We introduce economic models based on Boolean Delay Equations: this formalism makes easier to take into account the complexity of the interactions between firms and is particularly appropriate for studying the propagation of an initial…

We first review empirical evidence that asset prices have had episodes of large fluctuations and been inefficient for at least 200 years. We briefly review recent theoretical results as well as the neurological basis of trend following and…

Galor discovered many mysteries of the growth process. He lists them in his Unified Growth Theory and wonders how they can be explained. Close inspection of his mysteries reveals that they are of his own creation. They do not exist. He…

This article focuses on the work of O. Chanel and G. Chichilnisky (2013) on the flaws of expected utility theory while assessing the value of life. Expected utility is a fundamental tool in decision theory. However, it does not fit with the…

In this article we present an alternative model for the distribution of household incomes in the United States. We provide arguments from two differing perspectives which both yield the proposed income distribution curve, and then fit this…

Since governments give stimulus to firms and expect the spillover effect by fiscal policies, it is important to know the effectiveness that they can control the economy. To clarify the controllability of the economy, we investigate a firm…

This study examine the difference in the size of avalanches among industries triggered by demand shocks, which can be rephrased by control of the economy or fiscal policy, and by using the production-inventory model and observed data. We…