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 examines remittances in Nepal, linking external demand and domestic monetary conditions.
This paper connects monetary and star-shaped risk measures by showing their equivalence under certain conditions.
Analyzes securitization impacts on monetary and fiscal policies.
We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of monetary risk measures time-consistent if it assigns to a process of financial values …
Tabular Q-learning outperforms advanced RL methods in monetary policy.
Simple conditions for comonotonic additive risk measures from acceptance sets.
News on inflation and monetary policy impacts US household inflation expectations.
Study finds monetary policy uncertainty negatively impacts Bitcoin returns.
We analyze a monetary system of random money transfer on the basis of double entry bookkeeping. Without boundary conditions, we do not reach a price equilibrium and violate text-book formulas of economists quantity theory (MV=PQ). To match the resulting quantity of money with the model assumption of a constant price, w…
This study shows how monetary uncertainty affects stock market reactions to macroeconomic news.
Algorithmic stablecoins optimize monetary policy to balance price stability.
Improved options pricing for two assets using fractional calculus.
Regardless of the gold-standard being considered as outdated, it provides valuable signs concerning the development of novel monetary standards, better adjusted to the current macroeconomic environment. By using a point of view of classical physics, the intent of this work is doing a review of the concept of monetary s…
The paper uses LSM to solve complex monetary utility functions.
Theory integrates loss aversion into expected utility for monetary returns.
In this paper the dependence of wealth distribution and the velocity of money on the required reserve ratio is examined based on a random transfer model of money and computer simulations. A fractional reserve banking system is introduced to the model where money creation can be achieved by bank loans and the monetary a…
Research shows SBP's tone impacts stock market returns positively or negatively.
Growth of monetary assets and debts is commonly described by the formula of compound interest which for the case of continuous compounding is the exponential growth law. Its differential form is dc/dt = i c where dc/dt describes the rate of monetary growth, i the compounded interest rate and c the actual principal. Exp…
Study shows monetary policy impacts digital assets like BTC and ETH.
The paper models US inflation and hyperinflation using monetary and GDP data.
We generalize the notion of monetary value measures developed with category theory in [Adachi, 2014] by extending their base category from the category \c{hi} to the category of probability spaces Prob introduced in [Adachi and Ryu, 2016].
This paper studies the dynamics of Brazilian interest rates for short-term maturities. The paper employs developed techniques in the econophysics literature and tests for long-range dependence in the term structure of these interest rates for the last decade. Empirical results suggest that the degree of long-range depe…
The paper explores non-convex risk measures and their characterizations.
Stablecoins are reshaping global monetary systems, offering hybrid structures with public and private monies.
Large financial dataset tracks FOMC communications and their impact.
Study on efficiency in economies with risk-averse agents, finding Pareto optima.
Study shows how macroprudential policies affect credit growth in Israel, especially in housing and business sectors.
This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation results as well as several examples are discussed. Principal ways to construct risk measures are given and extensions to more general situations…
This is an invited article for the Discussion and Debate special issue of The European Physical Journal Special Topics on the subject "Can Economics Be a Physical Science?" The first part of the paper traces the personal path of the author from theoretical physics to economics. It briefly summarizes applications of sta…
Examines how central bank policies affect stock markets and asset prices.
Our study proposes a new currency system to protect wealth from over-issued fiat and stablecoins.
Bitcoin's monetary velocity is constrained by network friction, leading to significant utility contraction during shocks.
The paper discusses the role of monetary policy when potential output depends on the inflation rate. If the intention of the central bank is to maximize actual output growth, then it has to be credibly committed to a strict inflation targeting rule, and to take the MOGIR (the Maximizing Output Growth Inflation Rate) as…
Study improves U.S. monetary policy forecasting by integrating text and data.
This study analyzes public debts and deficits between European countries. The statistical evidence here seems in general to reveal that sovereign debts and government deficits of countries within European Monetary Unification-in average- are getting worse than countries outside European Monetary Unification, in particu…
Venice used 'helicopter money' to subsidize during famine and plague, but it caused instability.
Skewness dispersion predicts future stock market returns, especially in months with monetary policy announcements.
The paper studies dynamic star-shaped risk measures and their representation.
We build a statistical ensemble representation of two economic models describing respectively, in simplified terms, a payment system and a credit market. To this purpose we adopt the Boltzmann-Gibbs distribution where the role of the Hamiltonian is taken by the total money supply (i.e. including money created from debt…
There is by now a large consensus in modern monetary policy. This consensus has been built upon a dynamic general equilibrium model of optimal monetary policy as developed by, e.g., Goodfriend and King (1997), Clarida et al. (1999), Svensson (1999) and Woodford (2003). In this paper we extend the standard optimal monet…
Interbank lending and borrowing occur when financial institutions seek to settle and refinance their mutual positions over time and circumstances. This interactive process involves money creation at the aggregate level. Coordination mismatch on interbank credit may trigger systemic crises. This happened when, since sum…
With negative growth in real production in many countries and debt levels which become an increasing burden on developed societies, the calls for a change in economic policy and even the monetary system become louder and increasingly impatient. We research the consequences of a system of credit and debt, that still all…
This paper presents empirical evidence using recently developed techniques in econophysics suggesting that the degree of long-range dependence in interest rates depends on the conduct of monetary policy. We study the term structure of interest rates for the US and find evidence that global Hurst exponents change dramat…
Study assesses impact of CBDC on financial stability in dual-currency economy.
This study aims to identify the leading of inflation indicators of monetary policy in DRC. The results reveal that the most relevant inflation indicators usually come from the monetary origin than the real sector. Variance decomposition analyzes place in the foreground the rate of exchange, the money supply and the pub…
We consider the relationship between economic activity and intervention, including monetary and fiscal policy, using a universal dynamic framework. Central bank policies are designed for growth without excess inflation. However, unemployment, investment, consumption, and inflation are interlinked. Understanding dynamic…
Geometrically convex return risk measures on AM-algebras
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…