相关论文: Complex economics of simple periodic systems

If the probability of default parameters (PDs) fed as input into a credit portfolio model are estimated as through-the-cycle (TTC) PDs stressed market conditions have little impact on the results of the capital calculations conducted with…

We define data-driven macroeconomic regimes by clustering the relative performance in time of indices belonging to different asset classes. We then investigate lead-lag relationships within the regimes identified. Our study unravels market…

This paper studies a continuous-time optimal portfolio selection problem in the complete market for a behavioral investor whose preference is of the prospect type with probability distortion. The investor concerns about the terminal…

We analyze the relative price change of assets starting from basic supply/demand considerations subject to arbitrary motivations. The resulting stochastic differential equation has coefficients that are functions of supply and demand. We…

I demonstrate that with the market return determined by the equilibrium returns of the CAPM, expected returns of an asset are affected by the risks of all assets jointly. Another implication is that the range of feasible market returns will…

Breakability rate of fragile item depends on the accumulated stress of heaped stock level. So breakablility rate can be considered as dependent parameter of stock variable. The unit production cost is a function of production rate and also…

This paper suggests that business cycles may be a manifestation of coupled real economy and stock market dynamics and describes a mechanism that can generate economic fluctuations consistent with observed business cycles. To this end, we…

The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself.…

By studying all the trades and best bids/asks of ultra high frequency snapshots recorded from the order books of a basket of 10 futures assets, we bring qualitative empirical evidence that the impact of a single trade depends on the…

This study presents a unified, distribution-aware, and complexity-informed framework for understanding equity return dynamics in the Indian market, using 34 years (1990 to 2024) of Nifty 50 index data. Addressing a key gap in the…

Background: For complex financial systems, the negative and positive return-volatility correlations, i.e., the so-called leverage and anti-leverage effects, are particularly important for the understanding of the price dynamics. However,…

Although the growth of share-based payments with performance conditions (hereafter, SPPC) is prominent today, the theoretical price of SPPC has not been sufficiently studied. Reflecting such a situation, the current accounting standards for…

Mathematical method based on a direct or indirect analysis of growth rates is described. It is shown how simple assumptions and a relatively easy analysis can be used to describe mathematically complicated trends and to predict growth. Only…

We explore a decomposition in which returns on a large class of portfolios relative to the market depend on a smooth non-negative drift and changes in the asset price distribution. This decomposition is obtained using general continuous…

The principal portfolios of the standard Capital Asset Pricing Model (CAPM) are analyzed and found to have remarkable hedging and leveraging properties. Principal portfolios implement a recasting of any correlated asset set of N risky…

We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from…

We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing…

We explore the nonlinear dynamics of a macroeconomic model with resource constraints. The dynamics is derived from a production function that considers capital and a generalized form of energy as inputs. Energy, the new variable, is…

The long term estimation of the Marxist average rate of profit does not adhere to a theoretically grounded standard regarding which economic activities should or should not be included for such purposes, which is relevant because…

We propose and study a simple model of dynamical redistribution of capital in a diversified portfolio. We consider a hypothetical situation of a portfolio composed of N uncorrelated stocks. Each stock price follows a multiplicative random…