相关论文: A continuum of path-dependent equilibrium solution…

Measures of inflation uncertainty and directional risk derived from higher moments of forecast distributions are contaminated by the first moment, but in distinct ways. Using individual density forecasts from the ECB Survey of Professional…

We present a new, recursive approach to stochastic inflation which is self-consistent and solves multiple problems which plagued a certain number of previous studies, in particular in realistic contexts where the background spacetime is…

Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do…

Depending on the persistence of the underlying Markov chain shock, the standard New Keynesian model predicts starkly different conclusions at the Effective Lower Bound. We clear up this morass by using a truncated Markov chain. We prove…

Quantum effects derived through conformal anomaly lead to an inflationary model that can be either stable or unstable. The unstable version requires a large dimensionless coefficient of about $5\times 10^8$ in front of the $R^2$ term that…

We study the impact of stochastic perturbations to deterministic dynamical systems using the formalism of the Ruelle response theory and explore how stochastic noise can be used to explore the properties of the underlying deterministic…

In many macroeconomic applications, confidence intervals for impulse responses are constructed by estimating VAR models in levels - ignoring cointegration rank uncertainty. We investigate the consequences of ignoring this uncertainty. We…

The most frequently used in physical application diffusive (based on the Fokker-Planck equation) model leans upon the assumption of small jumps of a macroscopic variable for each given realization of the stochastic process. This imposes…

Toward explaining the persistence of biased inferences, we propose a framework to evaluate competing (mis)specifications in strategic settings. Agents with heterogeneous (mis)specifications coexist and draw Bayesian inferences about their…

Complex physical systems are unavoidably subjected to external environments not accounted for in the set of differential equations that models them. The resulting perturbations are standardly represented by noise terms. We derive conditions…

We provide a general probabilistic framework within which we establish scaling limits for a class of continuous-time stochastic volatility models with self-exciting jump dynamics. In the scaling limit, the joint dynamics of asset returns…

A stochastic process, when subject to resetting to its initial condition at a constant rate, generically reaches a non-equilibrium steady state. We study analytically how the steady state is approached in time and find an unusual relaxation…

We review the evidence that the erratic dynamics of markets is to a large extent of endogenous origin, i.e. determined by the trading activity itself and not due to the rational processing of exogenous news. In order to understand why and…

In this paper, it is shown that a simple formulation of Economic Model Predictive Control can be used which possesses two features that are generally viewed as mutually exclusive, namely, a rather short prediction horizon…

We study the conditions under which input-output networks can dynamically attain a competitive equilibrium, where markets clear and profits are zero. We endow a classical firm network model with minimal dynamical rules that reduce…

The paper introduces novel methodologies for the identification of coefficients of switched autoregressive and switched autoregressive exogenous linear models. We consider cases which system's outputs are contaminated by possibly large…

A minimal stochastic dynamical model of the interbank network is introduced, with linear interactions mediated by an integral of recent variations. Defining stress as the variance over the banks' states, the interaction correction to the…

We study an excitable active rotator with slowly adapting nonlinear feedback and noise. Depending on the adaptation and the noise level, this system may display noise-induced spiking, noise-perturbed oscillations, or stochastic busting. We…

In this short paper, we study the simulation of a large system of stochastic processes subject to a common driving noise and fast mean-reverting stochastic volatilities. This model may be used to describe the firm values of a large pool of…

We present a path integral formalism to compute potentials for nonequilibrium steady states, reached by a multiplicative stochastic dynamics. We develop a weak-noise expansion, which allows the explicit evaluation of the potential in…