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 have studied the statistical mechanics of money circulation in a closed economic system. An explicit statistical formulation of the circulation velocity of money is presented for the first time by introducing the concept of holding time of money. The result indicates that the velocity is governed by behavior pattern…
Model studies money exchange stability in social networks.
The determinants of the velocity of money have been examined based on life-cycle hypothesis. The velocity of money can be expressed by reciprocal of the average value of holding time which is defined as interval between participating exchanges for one unit of money. This expression indicates that the velocity is govern…
Transformer learns representations from time series data for money laundering detection.
Recently, in order to explore the mechanism behind wealth or income distribution, several models have been proposed by applying principles of statistical mechanics. These models share some characteristics, such as consisting of a group of individual agents, a pile of money and a specific trading rule. Whatever the trad…
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…
We present a dynamical many-body theory of money in which the value of money is a time dependent ``strategic variable'' that is chosen by the individual agents. The value of money in equilibrium is not fixed by the equations, and thus represents a continuous symmetry. The dynamics breaks this continuous symmetry by fix…
Money was invented to address the difficulty in the double coincidence of wants between the supply and demand when people exchanged their goods and services. There are two information states in society: one is the initial state that people have goods and services due to division of labor; the other is the final state t…
Investigates the relationship between US money supply and asset indices over 2001-2019.
The time value of money is a critical factor not only in risk analysis, but also in insurance and financial applications. In this paper, we consider a special class of set-valued risk statistics by introducing the time value of money. In fact, the risk statistics established by this method is closer to financial realit…
We introduce preferential behavior into the study on statistical mechanics of money circulation. The computer simulation results show that the preferential behavior can lead to power laws on distributions over both holding time and amount of money held by agents. However, some constraints are needed in generation mecha…
In this article, we consider the small-time asymptotics of options on a \emph{Leveraged Exchange-Traded Fund} (LETF) when the underlying Exchange Traded Fund (ETF) exhibits both local volatility and jumps of either finite or infinite activity. Our main results are closed-form expressions for the leading order terms of …
Research predicts money market volume based on capital market and bank rates ratio.
In a closed economic system, money is conserved. Thus, by analogy with energy, the equilibrium probability distribution of money must follow the exponential Gibbs law characterized by an effective temperature equal to the average amount of money per economic agent. We demonstrate how the Gibbs distribution emerges in c…
A small-time Edgeworth expansion of the density of an asset price is given under a general stochastic volatility model, from which asymptotic expansions of put option prices and at-the-money implied volatilities follow. A limit theorem for at-the-money implied volatility skew and curvature is also given as a corollary.…
In this paper, we reveal the attenuation mechanism of anchor of the commodity money from the perspective of logistics warehousing costs, and propose a novel Decayed Commodity Money (DCM) for the store of value across time and space. Considering the logistics cost of commodity warehousing by the third financial institut…
We present a rigorous study of the short maturity asymptotics for Asian options with continuous-time averaging, under the assumption that the underlying asset follows a local volatility model. The asymptotics for out-of-the-money, in-the-money, and at-the-money cases are derived, considering both fixed strike and float…
PoPCoin aims to create a more equitable cryptocurrency.
We mathematically analyze a simple market model where trading at each point in time involves only two agents with the sum of their money being conserved and with neither parties resulting with negative money after the interaction process. The exchange involves random re-distribution among the two players of a fixed fra…
Framework detects suspicious money laundering flows in large transaction graphs.
Money is a technology for promoting economic prosperity. Over history money has become increasingly abstract, it used to be hardware, gold coins and the like, now it is mostly software, data structures located in banks. Here I propose the logical conclusion of the abstraction of money: to use as money the most general …
The paper characterizes probability and entropy of exponentially growing sample spaces.
This research introduces a control system for managing DeFi money supply.
Bank deposits are analyzed as having dual characteristics, akin to quantum physics.
Generally accepted depreciation methods do not compute the intrinsic value of an asset, as they do not factor for the Time Value of Money, a key principle within financial theory. This is disadvantageous, as knowing the intrinsic value of an asset can assist with making effective purchase and sale decisions. By applyin…
We consider call option prices in diffusion models close to expiry, in an asymptotic regime ("moderately out of the money") that interpolates between the well-studied cases of at-the-money options and out-of-the-money fixed-strike options. First and higher order small-time moderate deviation estimates of call prices an…
This review is about the convenience, the benefits, as well as the destructive capacities of money. It deals with various aspects of money creation, with its value, and its appropriation. All sorts of money tend to get corrupted by eventually creating too much of them. In the long run, this renders money worthless and …
We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a "risk-free" asset, and the second axiom determines the intertemporal pricing rel…
We study the short-time asymptotics of conditional expectations of smooth and non-smooth functions of a (discontinuous) Ito semimartingale; we compute the leading term in the asymptotics in terms of the local characteristics of the semimartingale. We derive in particular the asymptotic behavior of call options with sho…
Model calculates optimal trading time for derivatives orders.
We study here numerically the behavior of an ideal gas like model of markets having only one non-consumable commodity. We investigate the behavior of the steady-state distributions of money, commodity and total wealth, as the dynamics of trading or exchange of money and commodity proceeds, with local (in time) fluctuat…
We have studied numerically the statistical mechanics of the dynamic phenomena, including money circulation and economic mobility, in some transfer models. The models on which our investigations were performed are the basic model proposed by A. Dragulescu and V. Yakovenko [1], the model with uniform saving rate develop…
We analyze an ideal gas like models of a trading market. We propose a new fit for the money distribution in the fixed or uniform saving market. For the marketwith quenched random saving factors for its agents we show that the steady state income () distribution in the model has a power law tail with Pareto in…
A simple example shows that losing all money is compatible with a very high Sharpe ratio (as computed after losing all money). However, the only way that the Sharpe ratio can be high while losing money is that there is a period in which all or almost all money is lost. This note explores the best achievable Sharpe and …
The effects of saving and spending patterns on holding time distribution of money are investigated based on the ideal gas-like models. We show the steady-state distribution obeys an exponential law when the saving factor is set uniformly, and a power law when the saving factor is set diversely. The power distribution c…
Refundable income annuities offer a money-back guarantee, now the majority of sales.
In Figueroa-López et al. (2013), a second order approximation for at-the-money (ATM) option prices is derived for a large class of exponential Lévy models, with or without a Brownian component. The purpose of this article is twofold. First, we relax the regularity conditions imposed in Figueroa-López et al. (2013) on t…
This paper uses deep learning to detect money laundering in cross-border transactions.
We consider a simple model of a closed economic system where the total money is conserved and the number of economic agents is fixed. In analogy to statistical systems in equilibrium, money and the average money per economic agent are equivalent to energy and temperature, respectively. We investigate the effect of the …
Gross Domestic Product(GDP) is a widely used measurement of economic growth representing the market value of all final goods and services produced by a country within a given time. In this paper we question the assumption that GDP measures production, and suggest that in reality it merely captures changes in the rate o…
Asymptotic expansions for call prices and implied volatilities in exponential Lévy models.
The distribution of money is analysed in connection with the Boltzmann distribution of energy in the degenerate states of molecules. Plots of the population density of income distribution for various countries are well reproduced by a Gamma function, confirming the validity of the statistical distribution at equilibriu…
This Colloquium reviews statistical models for money, wealth, and income distributions developed in the econophysics literature since the late 1990s. By analogy with the Boltzmann-Gibbs distribution of energy in physics, it is shown that the probability distribution of money is exponential for certain classes of models…
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…
In this model study of the commodity market, we present some evidence of competition of commodities for the status of money in the regime of parameters, where emergence of money is possible. The competition reveals itself as a rivalry of a few (typically two) dominant commodities, which take the status of money in turn…
This paper investigates and compares currency substitution between the currencies of Central and Eastern European (CEE) countries and the euro. In addition, we develop a model with microeconomic foundations, which identifies difference between currency substitution and money demand sensitivity to exchange rate variatio…
The paper reveals the hidden costs of digitizing commodity money and proposes a new stable-coin system.
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…