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.
Unified Growth Theory contradicted by African economic data.
The Unified Growth Theory is a puzzling collection of myths based on illusions created by hyperbolic distributions. Some of these myths are discussed. The examination of data shows that the three stages of growth (Malthusian Regime, Post-Malthusian Regime and Modern Growth Regime) did not exist and that Industrial Revo…
Volatility forecasting and return prediction in high-frequency Chinese equity markets.
Model shows cities can grow superexponentially but also stabilize due to economic factors.
Bayesian MS-VAR process improves option pricing models.
Study improves stock return prediction by switching between economic states, outperforming traditional methods.
Optimizes consumption under regime-switching economic states with risk-sensitive preferences.
We consider a portfolio optimization problem in a defaultable market with finitely-many economical regimes, where the investor can dynamically allocate her wealth among a defaultable bond, a stock, and a money market account. The market coefficients are assumed to depend on the market regime in place, which is modeled …
This paper resolves the test for Markov regime switching models' regime number.
Validates economic scenarios using statistical tests on stochastic processes.
Pricing and hedging rainbow options using Bayesian MS-VAR process.
In the late 90's, after severe financial and economic crisis, accompanied by inflation and exchange rate instability, Eastern Europe emerged into two groups of countries with radically contrasting monetary regimes (Currency Boards and Inflation targeting). The task of our study is to compare econometrically the perform…
Study finds Value Granger-causes Size during crisis regimes but not during normal times.
In this paper, we consider a discrete time economy where we assume that the short term interest rate follows a quadratic term structure of a regime switching asset process. The possible non-linear structure and the fact that the interest rate can have different economic or financial trends justify the interest of Regim…
A hybrid approach detects financial market regime switches using PCA and k-means.
A model of open economics composed of producers and speculators is investigated by numerical simulations. The capital flows from the environment to the producers and from them to the speculators. The price fluctuations are suppressed by the speculators. When the aggressivity of the speculators grows, there is a transit…
New model identifies regimes in non-stationary data.
Housing markets play a crucial role in economies and the collapse of a real-estate bubble usually destabilizes the financial system and causes economic recessions. We investigate the systemic risk and spatiotemporal dynamics of the US housing market (1975-2011) at the state level based on the Random Matrix Theory (RMT)…
Globalization processes interweave economic structures at a worldwide scale, trade playing a central role as one of the elemental channels of interaction among countries. Despite the significance of such phenomena, measuring economic globalization still remains an open problem. More quantitative treatments could improv…
Study shows time-varying stock returns across economic states.
New risk measures incorporate economic states to assess crude oil derivatives.
Unified Growth Theory contradicted by Latin American economic data.
In simulations of some economic gas-like models, the asymptotic regime shows an exponential wealth distribution, independently of the initial wealth distribution given to the system. The appearance of this statistical equilibrium for this type of gas-like models is explained in a rigorous analytical way.
RL-CVaR model improves insurance reserving under economic stress.
Sandpile Economics explains how economies can be prone to large crises from small shocks.
We consider an investor who wants to select her/his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial marke but also the insurable loss to depend on the regime of the economy. The objective of the investor is to maximize her/his expected total d…
The new business paradigms originate a strong necessity to re-think the theory of the firm with the aim to get a better understanding on the organizational and functional principles of the firm, operating in the investment economies in the prosperous societies. In this connection, we make the innovative research to adv…
Enhances portfolio construction with tailored regime forecasts for individual assets.
Develops a new model to better predict corporate bond yields.
We present and analyze a model for the evolution of the wealth distribution within a heterogeneous economic environment. The model considers a system of rational agents interacting in a game theoretical framework, through fairly general assumptions on the cost function. This evolution drives the dynamic of the agents i…
Mathematical properties of the historical GDP/cap distributions are discussed and explained. These distributions are frequently incorrectly interpreted and the Unified Growth Theory is an outstanding example of such common misconceptions. It is shown here that the fundamental postulates of this theory are contradicted …
Bayesian MS-VAR model for pricing equity-linked life insurance products.
We have recently introduced the ``thermal optimal path'' (TOP) method to investigate the real-time lead-lag structure between two time series. The TOP method consists in searching for a robust noise-averaged optimal path of the distance matrix along which the two time series have the greatest similarity. Here, we gener…
Proposes a new framework for investing that adapts to market regimes.
Study optimizes natural gas power plant valuation using Levy copulas and regime-switching models.
We investigate unification of two systems of identical elements having different dimensions which may be of interest for both physics and economics. Characteristic parameters as well as explicit formulae for the temperature (in economics - capital turnover) and dimension of the united system are obtained as functions o…
Unified Growth Theory debunked: economic growth is insecure and unsustainable.
Derives relationship between interest rates and inflation in a two-component system.
At what level should government or companies support research? This complex multi-faceted question encompasses such qualitative bonus as satisfying natural human curiosity, the quest for knowledge and the impact on education and culture, but one of its most scrutinized component reduces to the assessment of economic pe…
Study indifference pricing for insurance policies in a regime-switching market model.
Alpha-R1 uses LLMs to reason about economic factors and news for better alpha screening.
ARTEMIS combines deep learning and symbolic reasoning for financial predictions.
Develops a method to estimate personalized treatment regimes from summary statistics.
We find the wealth distribution for an economic agent in the financial market, in analogy with standard derivation of generaliz Boltzman (Tsallis) factor in statistical mechanics. In this respect, Tsallis entropic index separates two different regimes, the large and small size market. The Pareto like wealth distributio…
We study consumption behaviour in systems with heterogeneous interacting agents. Two different models are introduced, respectively with long and short range interactions among agents. At any time step an agent decides whether or not to consume a good, doing so if this provides positive utility. Utility is affected by i…
Financial networks are dynamic. To assess their systemic importance to the world-wide economic network and avert losses we need models that take the time variations of the links and nodes into account. Using the methodology of classical mechanics and Laplacian determinism we develop a model that can predict the respons…
Study finds fundamental analysis useful for predicting stock prices in China's transitional economy.
Framework quantifies financial NLP robustness under regime shifts.