综合金融
Recent research in economic theory attempts to study optimal economic growth and spatial location of economic activity in a unified framework. So far, the key result of this literature - asymptotic convergence, even in the absence of…
A government has to finance a risk for its population. It shares the charges among the population with a fixed scale based on economic criteria. Various organisms have to collect and to redistribute fairly the subsidies. Under these…
Using Jeff Holman's comments in Quantitative Finance to illustrate 4 critical errors students should learn to avoid: 1) Mistaking tails (4th moment) for volatility (2nd moment), 2) Missing Jensen's Inequality, 3) Analyzing the hedging…
Jan Tinbergen, the first recipient of the Nobel Memorial Prize in Economics in 1969, obtained his PhD in physics at the University of Leiden under the supervision of Paul Ehrenfest in 1929. Among many achievements as an economist after his…
A constrained informationally efficient market is defined to be one whose price process arises as the outcome of some equilibrium where agents face restrictions on trade. This paper investigates the case of short sale constraints, a setting…
In this paper we build a method to optimize Multi-Year Prospective Budgets. First we present a systemic model of Local Community Finances. Then, from two acceptable Multi-Year Prospective Budgets the method implements a Genetic Algorithm to…
We develop an algebraic framework for the description and analysis of financial behaviours, that is, behaviours that consist of transferring certain amounts of money at planned times. To a large extent, analysis of financial products…
We found a unified formula for description of the household incomes of all society classes, for instance, for the European Union in years 2005-2010. The formula is more general than well known that of Yakovenko et al. because, it…
We empirically test the effects of unanticipated fiscal policy shocks on the growth rate and the cyclical component of real private output and reveal different types of asymmetries in fiscal policy implementation. The data used are…
By using methods of statistical physics, we focus on the quantitative analysis of the economic income data descending from different databases. To explain our approach, we introduce the necessary theoretical background, the extended…
In his book with Alan Jolis, Vers un monde sans pauvret\'e (1997) Yunus gives the example of a microcredit loan of 1000BDT reimbursed via 50 weekly settlements of 22BDT and correctly claims that this corresponds to the annual interest rate…
For classification of the high frequency trading quantities, waiting times, price increments within and between sessions are referred to as the a-, b-, and c-increments. Statistics of the a-b-c-increments are computed for the Time & Sales…
The Unified Growth Theory is a puzzling collection of myths based on illusions created by hyperbolic distributions. Some of these myths are discussed. The examination of data shows that the three stages of growth (Malthusian Regime,…
We introduce a simple agent-based model which allows us to analyze three stylized facts: a fat-tailed size distribution of companies, a `tent-shaped' growth rate distribution, the scaling relation of the growth rate variance with firm size,…
The interbank market has a natural multiplex network representation. We employ a unique database of supervisory reports of Italian banks to the Banca d'Italia that includes all bilateral exposures broken down by maturity and by the secured…
We re-estimate statistical properties and predictive power of a set of Phillips curves, which are expressed as linear and lagged relationships between the rates of inflation, unemployment, and change in labour force. For France, several…
This essay discusses the advantages of a probabilistic agent-based approach to questions in theoretical economics, from the nature of economic agents, to the nature of the equilibria supported by their interactions. One idea we propose is…
Nanotechnology is the first major worldwide research initiative of the 21st century and probably is the solution vector in the economic environment. Also, innovation is widely recognized as a key factor in the economic development of…
The relationship between micro-structure and macro-structure of complex systems using information geometry has been dealt by several authors. From this perspective, we are going to apply it as a geometrical structure connecting both…
We present an elementary analysis of the dynamical aspects of the GDP / government surplus multiplier with relevance to the assessment of a country's debt repayment policy. We show the (at first) counter intuitive result that in order to…