综合金融
The recent crisis and the following flight to simplicity put most derivative businesses around the world under considerable pressure. We argue that the traditional modeling techniques must be extended to include product design. We propose a…
The correlation coefficient between stocks depends on price history and includes information on hierarchical structure in financial markets. It is useful for portfolio selection and estimation of risk. I introduce the Life Time of…
I find a topological arrangement of assets traded in a phonographic market which has associated a meaningful economic taxonomy. I continue using the Minimal Spanning Tree and the Life-time Of Correlations between assets, but now outside the…
The paper discusses various practical consequences of treating economics and finance as an inherently dynamic and chaotic system. On the theoretical side this looks at the general applicability of the market-making pricing approach to…
This paper combines ideas from classical economics and modern finance with the general Lotka-Volterra models of Levy & Solomon to provide straightforward explanations of wealth and income distributions. Using a simple and realistic economic…
In simulations of some economic gas-like models, the asymptotic regime shows an exponential wealth distribution, independently of the initial wealth distribution given to the system. The appearance of this statistical equilibrium for this…
Intertemporal decision making involves choices among options whose effects occur at different moments. These choices are influenced not only by the effect of rewards value perception at different moments, but also by the time perception…
The analysis of the USA 2001 income distribution shows that it can be described by at least two main components, which obey the generalized Tsallis statistics with different values of the q parameter. Theoretical calculations using the gas…
It is argued that arguments for strict prohibition of interests must be based on the use of arguments from authority. This is carried out by first making a survey of so-called dialectical roots for interest prohibition and then…
The paper gives a simple algebraic description, and background justification, for the Bowley Ratio, the relative returns to labour and capital, in a simple economy.
A generalized continuous economic model is proposed for random markets. In this model, agents interact by pairs and exchange their money in a random way. A parameter controls the effectiveness of the transactions between the agents. We show…
We investigate the problem of optimal dividend distribution for a company in the presence of regime shifts. We consider a company whose cumulative net revenues evolve as a Brownian motion with positive drift that is modulated by a finite…
A relation between interest rates and inflation is presented using a two component economic model and a simple general principle. Preliminary results indicate a remarkable similarity to classical economic theories, in particular that of…
A new model for the stock market price analysis is proposed. It is suggested to look at price as an everywhere discontinuous function of time of bounded variation.
The goal of this study is to determine which strategic model, either IO or RBV, allows firms to generate the highest performance on a competitive market. Contrasting with classical studies that mobilize analyses as VARCOMP, we deploy a…
This paper highlights the size-dependency of income distributions, i.e. the income distribution curves versus the population of a country systematically. By using the generalized Lotka-Volterra model to fit the empirical income data in the…
Interest prohibition theory concerns theoretical aspects of interest prohibition. We attempt to lay down some aspects of interest prohibition theory wrapped in a larger framework of informal logic. The reason for this is that interest…
The Lucas critique has exposed the problem of the trade-off between changes in monetary policy and structural breaks in economic time series. The search for and characterisation of such breaks has been a major econometric task ever since.…
One of the more memorable moments of last summer's credit crunch came when the CFO of Goldman Sachs, David Viniar, announced in August that Goldman's flagship GEO hedge fund had lost 27% of its value since the start of the year. As Mr.…
The existence of the pricing kernel is shown to imply the existence of an ambient information process that generates market filtration. This information process consists of a signal component concerning the value of the random variable X…