相关论文: Transfer Potentials shape and equilibrate Monetary…

We propose a novel kinetic exchange model differing from previous ones in two main aspects. First, the basic dynamics is modified in order to represent economies where immediate wealth exchanges are carried out, instead of reshufflings or…

We consider the matching with contracts framework of Hatfield and Milgrom when one side (a firm or hospital) can make monetary transfers (offer wages) to the other (a worker or doctor). In a standard model, monetary transfers are not…

This paper examines how shocks to currency volatilities predict exchange rates. Using option-implied volatilities, we construct a dynamic, directed network of volatility connections. Currencies that transmit more volatility shocks, which…

We introduce and study the permanence properties of the class of linear transfers between probability measures. This class contains all cost minimizing mass transports, but also martingale mass transports, the Schrodinger bridge associated…

We analyze waiting times for price changes in a foreign currency exchange rate. Recent empirical studies of high frequency financial data support that trades in financial markets do not follow a Poisson process and the waiting times between…

It is well known that Random Serial Dictatorship is strategy-proof and leads to a Pareto-Efficient outcome. We show that this result breaks down when individuals are allowed to make transfers, and adapt Random Serial Dictatorship to…

Quantum theory is used to model secondary financial markets. Contrary to stochastic descriptions, the formalism emphasizes the importance of trading in determining the value of a security. All possible realizations of investors holding…

A class of conserved models of wealth distributions are studied where wealth (or money) is assumed to be exchanged between a pair of agents in a population like the elastically colliding molecules of a gas exchanging energy. All sorts of…

In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Bayesian non-linear time series framework, our modeling…

Conventional models of matching markets assume that monetary transfers can clear markets by compensating for utility differentials. However, empirical patterns show that such transfers often fail to close structural preference gaps. This…

We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…

We develop a theory of securities price formation and dynamics based on quantum approach and without presuming any similarities with quantum mechanics. Disorder introduced by trading environment leads to probability distribution of returns…

Diffusion and first passage in the presence of stochastic resetting and potential bias have been of recent interest. We study a few models, systematically progressing in their complexity, to understand the usefulness of resetting. In the…

Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads…

How do individuals accumulate wealth as they interact economically? We outline the consequences of a simple microscopic model in which repeated pairwise exchanges of assets between individuals build the wealth distribution of a population.…

Aiming to describe the wealth distribution evolution, several models consider an ensemble of interacting economic agents that exchange wealth in binary fashion. Intriguingly, models that consider an unbiased market, that gives to each agent…

Transfer learning has emerged as a highly sought-after and actively pursued research area within the statistical community. The core concept of transfer learning involves leveraging insights and information from auxiliary datasets to…

Valuation and parity formulas for both European-style and American-style exchange options are presented in a general financial model allowing for jumps, possibility of default and "bubbles" in asset prices. The formulas are given via…

Stablecoins promise par convertibility, yet issuers must balance immediate liquidity against yield on reserves to keep the peg credible. We study this treasury problem as a continuous-time control task with two instruments: reallocating…

We investigate the uniform reshuffling model for money exchanges: two agents picked uniformly at random redistribute their dollars between them. This stochastic dynamics is of mean-field type and eventually leads to a exponential…