相关论文: Can we explain unexpected fluctuations of long-ter…

In economic studies and popular media, interest rates are routinely cited as a major factor behind commodity price fluctuations. At the same time, the transmission channels are far from transparent, leading to long-running debates on the…

This article is an extension of the work of one of us (Coopersmith, 2011) in deriving the relationship between certain interest rates and the inflation rate of a two component economic system. We use the well-known Fisher relation between…

We propose a general interpretation for long-range correlation effects in the activity and volatility of financial markets. This interpretation is based on the fact that the choice between `active' and `inactive' strategies is subordinated…

We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary…

We incorporate the behaviour of tax evasion into the standard two-dimensional Ising model and augment it by providing policy-makers with the opportunity to curb tax evasion via an appropriate enforcement mechanism. We discuss different…

This paper derives explicit formulas for both the small and large time limits of the implied volatility in the minimal market model. It is shown that interest rates do impact on the implied volatility in the long run even though they are…

We present a family of models for the term structure of interest rates which describe the interest rate curve as a stochastic process in a Hilbert space. We start by decomposing the deformations of the term structure into the variations of…

The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…

It is becoming more and more clear that complex networks present remarkable large fluctuations. These fluctuations may manifest differently according to the given model. In this paper we re-consider hidden variable models which turn out to…

Business cycles (a periodic change of e.g. GDP over five to ten years) exist, but a proper explanation for it is still lacking. Here we extend the well-known NAIRU (non-accelerating inflation rate of unemployment) model, resulting in a set…

When fitting a particular Economic model on a sample of data, the model may turn out to be heavily misspecified for some observations. This can happen because of unmodelled idiosyncratic events, such as an abrupt but short-lived change in…

Various notions of fluctuations exist depending on the way one chooses to measure them. We discuss two extreme cases (continuous measurement versus long inter-measurement times) and we see their relation with entropy production and with…

In this paper, we create new version of IS-LM model. The original IS-LM model has two main deficiencies: assumptions of constant price level and of strictly exogenous money supply. New IS-LM model eliminates these deficiencies. In the…

The notion that an independent central bank reduces a country's inflation is a controversial hypothesis. To date, it has not been possible to satisfactorily answer this question because the complex macroeconomic structure that gives rise to…

The phenomenology of the forward rate curve (FRC) can be accurately understood by the fluctuations of a stiff elastic string (Le Coz and Bouchaud, 2024). By relating the exogenous shocks driving such fluctuations to the surprises in the…

Recent news cast doubts on London Interbank Offered Rate (LIBOR) integrity. Given its economic importance and the delay with which authorities realize about this situation, we aim to find an objective method in order to detect departures in…

The warm inflation scenario is an alternative mechanism which can explain the isotropic and homogeneous Universe which we are living in. In this work I extend a previously introduced formalism, without the restriction of slow - roll regime.…

In macroeconomics, an emerging discussion of alternative monetary systems addresses the dimensions of systemic risk in advanced financial systems. Monetary regime changes with the aim of achieving a more sustainable financial system have…

Pricing extremely long-dated liabilities market consistently deals with the decline in liquidity of financial instruments on long maturities. The aim is to quantify the uncertainty of rates up to maturities of a century. We assume that the…

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…