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.
We analyze three sets of income data: the US Panel Study of Income Dynamics PSID), the British Household Panel Survey (BHPS), and the German Socio-Economic Panel (GSOEP). It is shown that the empirical income distribution is consistent with a two-parameter lognormal function for the low-middle income group (97%-99% of …
Study evaluates how much knowledge LLMs have by comparing their prediction accuracy to flexible models.
We propose a new approach for constructing synthetic pseudo-panel data from cross-sectional data. The pseudo panel and the preferences it intends to describe is constructed at the individual level and is not affected by aggregation bias across cohorts. This is accomplished by creating a high-dimensional probabilistic m…
New complete panel dataset for LMICs helps analyze innovation and development.
Paper develops robust methods for panel data with latent groups, improving inference under group separation violations.
FOCUS method forecasts counterfactuals in panel data with time series dynamics.
Improved forecasting of investment dynamics across heterogeneous panels using a two-stage model.
We analyze the income distribution of employees for 9 consecutive years (2001-2009) using a complete social security database for an economically important district of Romania. The database contains detailed information on more than half million taxpayers, including their monthly salaries from all employers where they …
Pareto's law states that the distribution of personal income obeys a power-law in the high-income range, and has been supported by international observations. Researchers have proposed models over a century since its discovery. However, the dynamical nature of personal income has been little studied hitherto, mostly du…
Dynamic treatment effects estimated over time using covariate balancing.
Herein, we applied statistical physics to study incomes of three (low-, medium- and high-income) society classes instead of the two (low- and medium-income)classes studied so far. In the frame of the threshold nonlinear Langevin dynamics and its threshold Fokker-Planck counterpart, we derived a unified formula for desc…
This work presents an empirical study of the evolution of the personal income distribution in Brazil. Yearly samples available from 1978 to 2005 were studied and evidence was found that the complementary cumulative distribution of personal income for 99% of the economically less favorable population is well represented…
Study of volume dynamics at market spread in Bitcoin/USD.
The aim of this work is to establish the personal income distribution from the elementary constituents of a free market; products of a representative good and agents forming the economic network. The economy is treated as a self-organized system. Based on the idea that the dynamics of an economy is governed by slow mod…
The paper tackles temporal coverage bias in financial panel data, proposing a structuring framework to correct for incomplete histories.
Study maps interdependence of SDGs, finds complex, dynamic linkages.
Black women and white men have the highest income disparity in the U.S.
Study shows income inequality increases with city size, affecting only the wealthiest deciles.
Micro-panel data are collected and analysed in many research and industry areas. Cluster analysis of micro-panel data is an unsupervised learning exploratory method identifying subgroup clusters in a data set which include homogeneous objects in terms of the development dynamics of monitored variables. The supply of cl…
This paper explores several types of income which have not been explored so far by authors who tackled income and wealth distribution using Statistical Physics. The main types of income we plan to analyze are income before redistribution (or gross income), income of retired people (or pensions), and income of active pe…
This paper presents a model of the dynamics of the wage income distribution.
Study examines cryptocurrency volatility factors using high-frequency data.
Study finds no significant short-term impact on liquidity supply after protocol fees were reduced.
LHIEM model predicts health, income, and employment over years.
In the present paper, we identify several distributions from Physics and study their applicability to phenomena such as distribution of income, wealth, and expenditure. Firstly, we apply logistic distribution to these data and we find that it fits very well the annual data for the entire income interval including for u…
The results of R^2 dynamical random surface model (2-dimensional quantum gravity with a term) are applied to explain the personal income distribution. A scale invariance exists if there is not the term in the action. The R^2 term provides a typical scale and breaks the scale invariance explicitly in the low…
New method for estimating heterogeneous treatment effects in panel data.
QRAFTI uses multi-agent framework to improve equity factor research.
Optimal income crossover found using particle swarm optimization.
A new model decomposes equity returns and volatilities into memory components.
We analyze and develop a quantitative model describing the evolution of personal income distribution, PID, for males and females in the U.S. between 1930 and 2014. The overall microeconomic model, which we introduced ten years ago, accurately predicts the change in mean income as a function of age as well as the depend…
Optimal annuitization strategy depends on age, labor income, and mortality risk.
Proposes CoDEAL for estimating heterogeneous treatment effects in panel data models.
Dynamic rule-based investment strategies outperform static ones in pension schemes.
We analyze income tax evasion dynamics in a standard model of statistical mechanics, the Ising model of ferromagnetism. However, in contrast to previous research, we use an inhomogeneous multi-dimensional Ising model where the local degrees of freedom (agents) are subject to a specific social temperature and coupled to…
Paper develops a new estimator for panel data with endogenous treatments, improving causal inference.
We extend the exploration regarding dynamical approach of macroeconomic variables by tackling systematically expenditure using Statistical Physics models (for the first time to the best of our knowledge). Also, using polynomial distribution which characterizes the behavior of dynamical systems in certain situations, we…
Panel count data describes aggregated counts of recurrent events observed at discrete time points. To understand dynamics of health behaviors, the field of quantitative behavioral research has evolved to increasingly rely upon panel count data collected via multiple self reports, for example, about frequencies of smoki…
The electronic calendar is a valuable resource nowadays for managing our daily life appointments or schedules, also known as events, ranging from professional to highly personal. Researchers have studied various types of calendar events to predict smartphone user behavior for incoming mobile communications. However, th…
We provide an analytically treatable model that describes in a unified manner income distribution for all income categories. The approach is based on a master equation with growth and reset terms. The model assumptions on the growth and reset rates are tested on an exhaustive database with incomes on individual level s…
We address the issue of the distribution of firm size. To this end we propose a model of firms in a closed, conserved economy populated with zero-intelligence agents who continuously move from one firm to another. We then analyze the size distribution and related statistics obtained from the model. Our ultimate goal is…
The study analyzes ETFs' portfolio optimization and tail-risk management.
Causalfe estimates treatment effects in panel data with fixed effects.
We analyze linear factor models for asset pricing panels.
Polynomial distribution can be applied to dynamical systems in certain situations. Macroeconomic systems characterized by economic variables such as income and wealth can be modelled similarly using polynomials. We extend our previous work to data regarding income from a more diversified pool of countries, which contai…
The paper improves machine learning for heavy-tailed panel data.
This paper presents a dynamic model to study the impact on the economic outcomes in different societies during the Malthusian Era of individualism (time spent working alone) and collectivism (complementary time spent working with others). The model is driven by opposing forces: a greater degree of collectivism provides…
A new model explains relative spreads between economies using dynamic Nelson-Siegel and functional regression.