A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Current economic theories miss most of economic dynamics.
Modeling business cycles via collective risk fluctuations in economic agents' risk space.
Second-order economic theory considers new variables to improve price volatility predictions.
The paper proposes a new model for predicting and analyzing economic variables.
We formulate thermodynamics of economic systems in terms of an arbitrary probability distribution for a conserved economic quantity. As in statistical physics, thermodynamic macroeconomic variables emerge as the mean value of microeconomic variables and their determination is reduced to the computation of the partition…
Study uses remotely sensed data to infer economic outcomes in experiments and quasi-experiments.
Economics does not need a scientific revolution. Economics needs accurate measurements according to high standards of natural sciences and meticulous work on revealing empirical relationships between measured variables.
Bayesian MS-VAR process improves option pricing models.
Bayesian MS-VAR model for pricing equity-linked life insurance products.
Paper introduces a new method for calibrating ESGs to both historical and forward-looking data.
Paper proposes a new MAR model for global economic forecasting.
The paper uses deep neural networks to estimate economic models without separability restrictions.
Contrary to conventional economic growth theory, which reduces a country's output to one aggregate variable (GDP), product diversity is central to economic development, as recent 'economic complexity' research suggests. A country's product diversity reflects its diversity of knowhow or 'capabilities'. Researchers propo…
In this note, we would like to find the laws of electrodynamics in simple economic systems. In this direction, we identify the chief economic variables and parameters, scalar and vector, which are amenable to be put directly into the crouch of the laws of electrodynamics, namely Maxwell's equations. Moreover, we obtain…
The study examines how market trade randomness influences price and return volatility.
AI uses language models to find instrumental variables quickly.
Price and return predictions are limited by economic complexity, not just volatility.
Examines financial risks' impact on EU-15 economic growth.
Study finds economic data may not be as sparse as previously thought.
Chaos and nonlinear economic dynamics are addressed for a quantum coupled map lattice model of an artificial economy, with quantized supply and demand equilibrium conditions. The measure theoretic properties and the patterns that emerge in both the economic business volume dynamics' diagrams as well as in the quantum m…
The paper discusses various practical consequences of treating economics and finance as an inherently dynamic and chaotic system. On the theoretical side this looks at the general applicability of the market-making pricing approach to economics in general. The paper also discuses the consequences of the endogenous crea…
This study analyzes factors affecting China's stock market volatility.
Paper analyzes coexisting hidden and self-excited attractors in an economic system.
A new constructivist approach to modeling in economics and theory of consciousness is proposed. The state of elementary object is defined as a set of its measurable consumer properties. A proprietor's refusal or consent for the offered transaction is considered as a result of elementary economic measurement. Elementary…
A new method for variable importance measures without impossible data.
In this paper, simple mathematical models from Control Theory are applied to three very important economic paradigms, namely (a) minimum wages in self-regulating markets, (b) market-versus-true values and currency rates, and (c) government spending and taxation levels. Analytical solutions are provided in all three par…
DIV estimates entire interventional distribution using generative modeling.
Productions functions map the inputs of a firm or a productive system onto its outputs. This article expounds generalizations of the production function that include state variables, organizational structures and increasing returns to scale. These extensions are needed in order to explain the regularities of the empiri…
Study finds nighttime lights correlate with Indian GDP growth.
ECNNs improve stock market predictions by correcting errors from previous steps.
Model predicts operational risk using HMMs with economic covariates.
Although classical economic theory is based on the concept of stable equilibrium, real economic systems appear to be always out of equilibrium. Indeed, they share many of the dynamical features of other complex systems, e.g., ecological food-webs. We focus on the relation between increasing complexity of the economic n…
Google Trends data improves economic forecasts of private consumption.
Generative Networks outperform traditional methods in PiT ESG generation.
Sparse oblique decision tree improves security rules for renewable power systems.
These lecture notes provide a self-contained introduction to the mathematical methods required in a Bachelor degree programme in Business, Economics, or Management. In particular, the topics covered comprise real-valued vector and matrix algebra, systems of linear algebraic equations, Leontief's stationary input-output…
One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor models. A challenging issue is to determine which variables and (their)…
Estimating the capabilities, or inputs of production, that drive and constrain the economic development of urban areas has remained a challenging goal. We posit that capabilities are instantiated in the complexity and sophistication of urban activities, the knowhow of individual workers, and the city-wide collective kn…
Although not a formal pricing consideration, gap risk or hedging errors are the norm of derivatives businesses. Starting with the gap risk during a margin period of risk of a repurchase agreement (repo), this article extends the Black-Scholes-Merton option pricing framework by introducing a reserve capital approach to …
Quasi-equilibrium models for aggregate variables are widely-used throughout finance and economics. The validity of such models depends crucially upon assuming that the systems' participants behave both independently and in a Markovian fashion. We present a simplified market model to demonstrate that herding effects bet…
A macroeconomic model based on the economic variables (i) assets, (ii) leverage (defined as debt over asset) and (iii) trust (defined as the maximum sustainable leverage) is proposed to investigate the role of credit in the dynamics of economic growth, and how credit may be associated with both economic performance and…
In this paper we give definitions of matrix rates of return which do not depend on the choice of basis describing baskets. We give their economic interpretation. The matrix rate of return describes baskets of arbitrary type and extends portfolio analysis to the complex variable domain. This allows us for simultaneous a…
Machine learning models predict US economic recessions using Treasury term spreads.
Several studies have established the predictive power of the yield curve in terms of real economic activity. In this paper we use data for a variety of E.U. countries: both EMU (Germany, France, Italy) and non-EMU members (Sweden and the U.K.). The data used range from 1991:Q1 to 2009:Q1. For each country, we extract t…
A production function is a mathematical formalization in economics which denotes the relations between the output generated by a firm, an industry or an economy and the inputs that have been used in obtaining it. In this paper, we study the product production functions of 2 variables in terms of the geometry of their a…
We develop a novel "decouple-recouple" dynamic predictive strategy and contribute to the literature on forecasting and economic decision making in a data-rich environment. Under this framework, clusters of predictors generate different latent states in the form of predictive densities that are later synthesized within …
Deep RL solves complex economic models with heterogeneous agents.
Foreign exchange markets show that currency units (= accounting or nominal price units) are variables. Technical and economic progress evidence that the consumer baskets (= purchasing power units or real price units) are also variables. In contrast, all physical measurement units are constants and either defined in the…