综合金融
Using the formalism of Lyapunov potential function it is shown that the stability principles for biomass in the ecosystem and for employment in economics are mathematically similar. The ecosystem is found to have a stable and an unstable…
Identifying unambiguously the presence of a bubble in an asset price remains an unsolved problem in standard econometric and financial economic approaches. A large part of the problem is that the fundamental value of an asset is, in…
We explore what causes business cycles by analyzing the Japanese industrial production data. The methods are spectral analysis and factor analysis. Using the random matrix theory, we show that two largest eigenvalues are significant. Taking…
Heterogeneity of economic agents is emphasized in a new trend of macroeconomics. Accordingly the new emerging discipline requires one to replace the production function, one of key ideas in the conventional economics, by an alternative…
Exponential distribution is ubiquitous in the framework of multi-agent systems. An alternative approach with an economic motivation to derive the exponential distribution in the framework of iterations in the space of distributions is…
We provide an axiomatic foundation for the representation of num\'{e}raire-invariant preferences of economic agents acting in a financial market. In a static environment, the simple axioms turn out to be equivalent to the following choice…
In this study, the fluctuation-dissipation theory is invoked to shed light on input-output interindustrial relations at a macroscopic level by its application to IIP (indices of industrial production) data for Japan. Statistical noise…
Leverage is strongly related to liquidity in a market and lack of liquidity is considered a cause and/or consequence of the recent financial crisis. A repurchase agreement is a financial instrument where a security is sold simultaneously…
We exploit the symmetry concepts developed in the companion review of this article to introduce a stochastic version of link reversal symmetry, which leads to an improved understanding of the reciprocity of directed networks. We apply our…
In this review we establish various connections between complex networks and symmetry. While special types of symmetries (e.g., automorphisms) are studied in detail within discrete mathematics for particular classes of deterministic graphs,…
After September 2008, the advanced economies severe decline caused demand for emerging economies' exports to drop and the crisis became truly global, much deeper and broader than expected. In these times of global depression, most countries…
We studied the topology of correlation networks among 34 major currencies using the concept of a minimal spanning tree and hierarchical tree for the full years of 2007-2008 when major economic turbulence occurred. We used the USD (US…
Our study shows that many firms would accumulate at zero output level (namely, Bankruptcy status) if a perfectly competitive market reaches full employment (namely, those people who should obtain employment have obtained employment). As a…
Econophysics is a new research field, which makes an attempt to bring economics in the fold of natural sciences or specifically attempts for a "physics of economics". The term Econophysics was formally born in Kolkata in 1995. The entry on…
We undertake a study of markets from the perspective of a financial agent with limited access to information. The set of wealth processes available to the agent is structured with reasonable economic properties, instead of the usual…
In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium…
We present a stochastic agent-based model for the distribution of personal incomes in a developing economy. We start with the assumption that incomes are determined both by individual labour and by stochastic effects of trading and…
We consider a simple stochastic differential equation for modeling bubbles in social context. A prime example is bubbles in asset pricing, but similar mechanisms may control a range of social phenomena driven by psychological factors (for…
A model is developed to study the effectiveness of innovation and its impact on structure creation and structure change on agent-based societies. The abstract model that is developed is easily adapted to any particular field. In any…
In this work, the time chart of Dow Jones Industrial Average (DJIA) index is analyzed and approach of recession time term is predicted, which may be hallmark of a worldwide economic crisis. However, the methods used for the prediction will…