相关论文: Asset Pricing and Earnings Fluctuations in a Dynam…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
Throughout history, many countries have repeatedly experienced large swings in asset prices, which are usually accompanied by large fluctuations in macroeconomic activity. One of the characteristics of the period before major economic…
As a typical representation of complex networks studied relatively thoroughly, financial market presents some special details, such as its nonconservation and opinions spreading. In this model, agents congregate to form some clusters, which…
This paper presents hydrodynamic-like model of business cycles aggregate fluctuations of economic and financial variables. We model macroeconomics as ensemble of economic agents on economic space and agent's risk ratings play role of their…
The transient fluctuation of the prosperity of firms in a network economy is investigated with an abstract stochastic model. The model describes the profit which firms make when they sell materials to a firm which produces a product and the…
We propose a mathematical model of momentum risk-taking, which is essentially real-time risk management focused on short-term volatility of stock markets. Its implementation, our fully automated momentum equity trading system presented…
This work introduces a new framework for modeling financial markets through an interpretable probabilistic state machine. By clustering historical returns based on momentum and risk features across multiple time horizons, we identify…
We present a macroeconomic agent-based model that combines several mechanisms operating at the same timescale, while remaining mathematically tractable. It comprises enterprises and workers who compete in a job market and a commodity goods…
Economic assessment in environmental science concerns the measurement or valuation of environmental impacts, adaptation, and vulnerability. Integrated assessment modeling is a unifying framework of environmental economics, which attempts to…
We study models of regulatory breakup, in the spirit of Strong and Fouque [Ann. Finance 7 (2011) 349-374] but with a fluctuating number of companies. An important class of market models is based on systems of competing Brownian particles:…
We describe a new model to simulate the dynamic interactions between market price and the decisions of two different kind of traders. They possess spatial mobility allowing to group together to form coalitions. Each coalition follows a…
Many studies assume stock prices follow a random process known as geometric Brownian motion. Although approximately correct, this model fails to explain the frequent occurrence of extreme price movements, such as stock market crashes. Using…
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…
This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values and volumes during the averaging interval {\Delta} results in…
We follow up on the study of correlations between GDP's of rich countries. We analyze web-downloaded data on GDP that we use as individual wealth signatures of the country economical state. We calculate the yearly fluctuations of the GDP.…
We present a set of models of the main stylized facts of market price fluctuations. These models comprise dynamical evolution with threshold dynamics and Langevin price equation with multiplicative noise, percolation models to describe the…
There are many benefits and costs that come from people and firms clustering together in space. Agglomeration economies, in particular, are the manifestation of centripetal forces that make larger cities disproportionately more wealthy than…
A statistical generalization is made of microeconomics in the spirit of going from classical to statistical mechanics. The price and quantity of every commodity1 traded in the market, at each instant of time, is considered to be an…
Modeling the behavior of stock price data has always been one of the challengeous applications of Artificial Intelligence (AI) and Machine Learning (ML) due to its high complexity and dependence on various conditions. Recent studies show…
In this letter we present a stochastic dynamic model which can explain economic cycles. We show that the macroscopic description yields a complex dynamical landscape consisting of multiple stable fixed points, each corresponding to a split…