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.
Study improves stock return prediction by switching between economic states, outperforming traditional methods.
Generative Networks outperform traditional methods in PiT ESG generation.
The paper uses machine learning to predict the impact of the Ukraine crisis on financial markets.
Study shows time-varying stock returns across economic states.
Study creates a global living index to assess quality of life.
QLSTM outperforms LSTM in predicting KSE 100 index movements.
The paper predicts financial markets using news text and semantic network analysis.
Paper classifies economic states and optimizes portfolios for stagflationary environments.
Socio-economic inequality is characterized from data using various indices. The Gini () index, giving the overall inequality is the most common one, while the recently introduced Kolkata () index gives a measure of fraction of population who possess top fraction of wealth in the society. Here, we show t…
Google Trends data improves economic forecasts of private consumption.
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…
News sentiment in U.S. economic newspapers has become more persistent over 45 years.
The paper introduces a US crime index to assess financial losses from property and cyber crimes.
Paper extends quantile factor analysis with probabilistic methods for better economic policy and financial condition prediction.
In this paper the correlation between education, research and macroeconomic strength of countries at a global scale is analyzed on the basis of statistical data published by the UNIDO and OECD. It uses sets of composite indicators describing the economical performance and competitiveness as well as those relevant for h…
Socio-economic inequality is measured using various indices. The Gini () index, giving the overall inequality is the most commonly used, while the recently introduced Kolkata () index gives a measure of fraction of population who possess top fraction of wealth in the society. This article reviews the ch…
Bayesian optimization with cost-awareness using Gittins index.
We study association between macroeconomic news and stock market returns using the statistical theory of copulas, and a new comprehensive measure of news based on the indexing of news wires. We find the impact of economic news on equity returns to be nonlinear and asymmetric. In particular, controlling for economic con…
Wavelet analysis reveals financialization effects on oil-food price correlation.
Italy and the Eurozone are heading in the year 2012 into a financial depression of unprecedented magnitude, with a forthcoming multitude of often contradictory public economic and financial stability emergency interventions whose ultimate endogenous and exogenous effects on public and private health spending and on the…
A spring-block chain placed on a running conveyor belt is considered for modeling stylized facts observed in the dynamics of stock indexes. Individual stocks are modeled by the blocks, while the stock-stock correlations are introduced via simple elastic forces acting in the springs. The dragging effect of the moving be…
Model predicts S&P 500 IT sector index prices with high accuracy.
In 2018, at the World Economic Forum in Davos it was presented a new countries' economic performance metric named the Inclusive Development Index (IDI) composed of 12 indicators. The new metric implies that countries might need to realize structural reforms for improving both economic expansion and social inclusion per…
The study examines how global economic policy uncertainty affects crude oil futures volatility.
The study examines tail dependence between global economic uncertainty and BRICS currencies using high-frequency data.
In 1979 following a decade of hyperinflation, Iceland introduced Verðtryggð lán, negatively amortised, index-linked loans whose outstanding principal is increased by the rate of the consumer price inflation index(CPI). The loans were part of a general government policy which used indexation to the CPI to address the ec…
This paper introduces TDA and TSI for better business analytics.
New method quantifies systemic risk of firms in supply networks.
We present a model in which we investigate the structure and evolution of a random network that connects agents capable of exchanging wealth. Economic interactions between neighbors can occur only if the difference between their wealth is less than a threshold value that defines the width of the economic classes. If th…
Highly accurate interval forecasting of a stock price index is fundamental to successfully making a profit when making investment decisions, by providing a range of values rather than a point estimate. In this study, we investigate the possibility of forecasting an interval-valued stock price index series over short an…
Paper introduces a new measure combining entropy and Gini index.
This paper identifies and analyzes biases in risk-adjusted index weighting methods, affecting social welfare and market fairness.
In this paper we state the fundamental principles of the gauge approach to financial economics and demonstrate the ways of its application. In particular, modelling of realistic price processes is considered for an example of S&P500 market index. Derivative pricing and portfolio theory are also briefly discussed.
We study the effect of altruism in two simple asset exchange models: the yard sale model (winner gets a random fraction of the poorer player's wealth) and the theft and fraud model (winner gets a random fraction of the loser's wealth). We also introduce in these models the concept of bargaining efficiency, which makes …
This paper develops a structural credit risk model to characterize the difference between the economic and recorded default times for a firm. Recorded default occurs when default is recorded in the legal system. The economic default time is the last time when the firm is able to pay off its debt prior to the legal defa…
Using a metric related to the returns correlation, a method is proposed to reconstruct an economic space from the market data. A reduced subspace, associated to the systematic structure of the market, is identified and its dimension related to the number of terms in factor models. Example were worked out involving sets…
Most people are risk-averse (risk-seeking) when they expect to gain (lose). Based on a generalization of ``expected utility theory'' which takes this into account, we introduce an automaton mimicking the dynamics of economic operations. Each operator is characterized by a parameter q which gauges people's attitude unde…
In this paper, we investigate the economic mobility in some money transfer models which have been applied into the research on wealth distribution. We demonstrate the mobility by recording the time series of agents' ranks and observing their volatility. We also compare the mobility quantitatively by employing an index,…
Linear stochastic models and discretized kinetic theory are two complementary analytical techniques used for the investigation of complex systems of economic interactions. The former employ Langevin equations, with an emphasis on stock trade; the latter is based on systems of ordinary differential equations and is bett…
In this work, the time chart of Dow Jones Industrial Average (DJIA) index is analyzed and approach of recession time term is predicted, which may be hallmark of a worldwide economic crisis. However, the methods used for the prediction will be disclosed a few years from now. On the other hand, this work will be updated …
Paper proves convergence of Gini index to equilibrium in Wasserstein distance.
The steel industry has great impacts on the economy and the environment of both developed and underdeveloped countries. The importance of this industry and these impacts have led many researchers to investigate the relationship between a country's steel consumption and its economic activity resulting in the so-called i…
Innovation is among the key factors driving a country's economic and social growth. But what are the factors that make a country innovative? How do they differ across different parts of the world and different stages of development? In this work done in collaboration with the World Economic Forum (WEF), we analyze the …
The complex, time-dependent statistical structures observed in the Dow Jones Industrial Average on a typical trading day are modeled with Lorentzian functions. The resonant-like structures are characterized by the values of the basic ratio: the average lifetime of the individual states associated with a given structura…
The Hype Index measures media attention to equities using NLP.
We note a simple mechanism that may at least partially resolve several outstanding economic puzzles, including why the cyclically adjusted price to earnings ratio of the S&P 500 index has been oddly high for the past two decades, why gains to capital have outpaced gains to wages, and the persistence of the equity premi…
We analyze a conservative market model for the competition among economic agents in a close society. A minimum dynamics ensures that the poorest agent has a chance to improve its economic welfare. After a transient, the system self-organizes into a critical state where the wealth distribution have a minimum threshold, …
Study finds multifractal cross-correlations between agricultural markets and external uncertainties.