arXiv research

KLD token adjusts supply based on macroeconomic debt index, creating deflationary effect.

I sketch a program for a microeconomic theory of the main component of the business cycle as a recurring disequilibrium, driven by incompleteness of the financial market and by information asymmetries between borrowers and lenders. This proposal seeks to incorporate five distinct but connected processes that have been …

Model explains stock price bubbles through debt crises and financial crashes.

Aave community attack led to irretrievable debt and questioned decentralization in DeFi lending.

Paper investigates existence of deflators in financial markets.

In this paper, we implement a stochastic deflator with five economic and financial risk factors: interest rates, market price of risk, stock prices, default intensities, and convenience yields. We examine the deflator with different financial assets, such as stocks, zero-coupon bonds, vanilla options, and corporate cou…

We solve optimal consumption in a market with bounded risk.

The paper analyzes deflation for estimating a low-rank spike in large tensors with noise.

We analyse the structure of local martingale deflators projected on smaller filtrations. In a general continuous-path setting, we show that the local martingale part in the multiplicative Doob-Meyer decomposition of projected local martingale deflators are themselves local martingale deflators in the smaller informatio…

Study resolves duality gap in optimal consumption with random income termination.

Paper optimizes tensor deflation for non-orthogonal signals.

This paper analyzes how errors accumulate in PCA's deflation method.

Let $\mathbb{F}\subset \mathbb{G}$ be two filtrations and $S$ be a $\mathbb{F}$ semimartingale possessing a $\mathbb{F}$ local martingale deflator. Consider $τ$ a $\mathbb{G}$ stopping time. We study the problem whether $S^{τ-}$ or $S^τ$ can have $\mathbb{G}$ local martingale deflators. A suitable theoretical framework…

The paper shows how gradient flow on over-parametrized tensor decomposition behaves like deflation.

dalex simplifies model exploration and fairness for Python developers.

We consider the problem of estimating multiple principal components using the recently-proposed Sparse and Functional Principal Components Analysis (SFPCA) estimator. We first propose an extension of SFPCA which estimates several principal components simultaneously using manifold optimization techniques to enforce orth…

Study analyzes Hotelling-type tensor deflation for spiked tensors, providing insights into signal and noise.

The paper studies optimal maps between hyperbolic surfaces, focusing on their rigidity and obstructions.

DFSOS improves sparse discriminant analysis for high-dimensional data.

We present an elementary analysis of the dynamical aspects of the GDP / government surplus multiplier with relevance to the assessment of a country's debt repayment policy. We show the (at first) counter intuitive result that in order to reduce the Debt/GDP ratio, countries with high Debt to GDP should go into further …

Study analyzes accuracy of tensor deflation in noisy conditions.

Compound interest as well as inflation grows exponentially with time, whereas other means to repay debt grow polynomially. For this and other, mostly political, reasons, debt without inflation is unsustainable. We suggest a discontinuous way to eliminate debt by nullifying it. This scenario is preferable to current cen…

New analysis improves black-box $k$-PCA algorithms, reducing parameter loss.

We undertake a study of markets from the perspective of a financial agent with limited access to information. The set of wealth processes available to the agent is structured with reasonable economic properties, instead of the usual practice of taking it to consist of stochastic integrals against a semimartingale integ…

Public debt is one of the important economic variables that quantitatively describes a nation's economy. Because bankruptcy is a risk faced even by institutions as large as governments (e.g. Iceland), national debt should be strictly controlled with respect to national wealth. Also, the problem of eliminating extreme p…

Consider the problem of a government that wants to reduce the debt-to-GDP (gross domestic product) ratio of a country. The government aims at choosing a debt reduction policy which minimises the total expected cost of having debt, plus the total expected cost of interventions on the debt ratio. We model this problem as…

This research improves debt collection strategies using advanced machine learning.

Paper proposes a new deflation varimax method for vintage factor analysis.

The aim of the present article is to treat the Greek public debt issue strictly as a curve fitting problem. Thus, based on Eurostat data and using the Mathematica technical computing software, an exponential function that best fits the data is determined modelling how the Greek public debt expands with time. Exploring …

No arbitrage in financial markets with special semimartingales.

We propose a unified structural credit risk model incorporating both insolvency and illiquidity risks, in order to investigate how a firm's default probability depends on the liquidity risk associated with its financing structure. We assume the firm finances its risky assets by mainly issuing short- and long-term debt.…

Parastatistic distribution of a total debt owed to a large number of creditors considered in relation to the duration of these debts. The process of debt calculation depends on the fractal dimension of economic system in which this process takes place. Two actual variants of these dimensions are investigated. Critical …

The major perspective of this paper is to provide more evidence into the empirical determinants of capital structure adjustment in different macroeconomics states by focusing and discussing the relative importance of firm-specific and macroeconomic characteristics from an alternative scope in U.S. This study extends th…

The paper examines how CoCo bonds can enhance financial stability in interconnected banking systems.

The seniority of debt, which determines the order in which a bankrupt institution repays its debts, is an important and sometimes contentious feature of financial crises, yet its impact on system-wide stability is not well understood. We capture seniority of debt in a multiplex network, a graph of nodes connected by mu…

In this paper we present formulas for the valuation of debt and equity of firms in a financial network under comonotonic endowments. We demonstrate that the comonotonic setting provides a lower bound and Jensen's inequality provides an upper bound to the price of debt under Eisenberg-Noe financial networks with bankrup…

In this letter, I consider the issue of pricing risky debt by following Merton's approach. I generalize Merton's results to the case where the interest rate is modeled by the CIR term structure. Exact closed forms are provided for the risky debt's price.

Debt-financed collateral in DeFi increases stability risks.

JFR-rg model explains Japan's stable debt despite high interest rates and low growth.

Article offers models for choosing sale-leaseback vs debt.

The paper addresses dynamic capital structure models with defaultable debt, proving existence and uniqueness.

Debt swaps improve financial networks by optimizing clearing payments and stability.

The study examines how climate risk influences sovereign debt default decisions.

In this paper we study arbitrage theory of financial markets in the absence of a numéraire both in discrete and continuous time. In our main results, we provide a generalization of the classical equivalence between no unbounded profits with bounded risk (NUPBR) and the existence of a supermartingale deflator. To obtain…

We consider here a Fokker--Planck equation with variable coefficient of diffusion which appears in the modeling of the wealth distribution in a multi-agent society. At difference with previous studies, to describe a society in which agents can have debts, we allow the wealth variable to be negative. It is shown that, e…

The paper analyzes bank decisions in a three-step model, focusing on equity and debt raising.

New method deflates manifolds to visualize high-dimensional data.

We deal with the problem of outsourcing the debt for a big investment, according two situations: either the firm outsources both the investment (and the associated debt) and the exploitation to a private consortium, or the firm supports the debt and the investment but outsources the exploitation. We prove the existence…