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.
AI-driven tax policies improve economic equality and productivity.
General equilibrium equations in economics play the same role with many-body Newtonian equations in physics. Accordingly, each solution of the general equilibrium equations can be regarded as a possible microstate of the economic system. Since Arrow's Impossibility Theorem and Rawls' principle of social fairness will p…
A widely applied diversification paradigm is the naive diversification choice heuristic. It stipulates that an economic agent allocates equal decision weights to given choice alternatives independent of their individual characteristics. This article provides mathematically and economically sound choice theoretic founda…
New framework for interpretable firm characteristics factors.
Based on the assumption that economic complexity is characterised by the interactions of economic agents (who) constantly change their actions and strategies in response to the outcome they mutually create, this paper presents how network models can be used a proxies for the mapping, quantification and analysis of Roma…
The origin of economic crises is a key problem for economics. We present a model of long-run competitive markets to show that the multiplicity of behaviors in an economic system, over a long time scale, emerge as statistical regularities (perfectly competitive markets obey Bose-Einstein statistics and purely monopolist…
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…
The algebra of transactions as fundamental measurements is constructed on the basis of the analysis of their properties and represents an expansion of the Boolean algebra. The notion of the generalized economic measurements of the economic quantity and quality of objects of transactions is introduced. It has been shown…
Tax dynamics affects wealth distribution in a linearly growing socio-economic model.
We map the recently proposed notions of algorithmic fairness to economic models of Equality of opportunity (EOP)---an extensively studied ideal of fairness in political philosophy. We formally show that through our conceptual mapping, many existing definition of algorithmic fairness, such as predictive value parity and…
In statistical physics, the conservation of particle number results in the equalization of the chemical potential throughout a system at equilibrium. In contrast, the homogeneity of utility in socio-economic models is usually thought to rely on the competition between individuals, leading to Nash equilibrium. We show t…
The prominent inequality of wealth and income is a huge concern especially in the United States. The likelihood of diminishing poverty is one valid reason to reduce the world's surging level of economic inequality. The principle of universal moral equality ensures sustainable development and improve the economic stabil…
Labor productivity was studied at the microscopic level in terms of distributions based on individual firm financial data from Japan and the US. A power-law distribution in terms of firms and sector productivity was found in both countries' data. The labor productivities were not equal for nation and sectors, in contra…
This paper introduces a novel framework for designing fair and sustainable unemployment benefits, grounded in cooperative game theory and real-time fiscal policy. The labor market is modeled as a coalitional game, where a random subset of participants is employed, generating stochastic economic output. To ensure fairne…
Model shows significant income inequality emerges from equal opportunities in a simple economy.
The 1/3 Financial Rule helps prevent household bankruptcy through balanced spending, savings, and debt repayment.
PoPCoin aims to create a more equitable cryptocurrency.
Inverse statistics in economics is considered. We argue that the natural candidate for such statistics is the investment horizons distribution. This distribution of waiting times needed to achieve a predefined level of return is obtained from (often detrended) historic asset prices. Such a distribution typically goes t…
We investigate the relation between economic growth and equality in a modified version of the agent-based asset exchange model (AEM). The modified model is a driven system that for a range of parameter space is effectively ergodic in the limit of an infinite system. We find that the belief that "a rising tide lifts all…
The notion that economies should normally be in equilibrium is by now well-established; equally well-established is that economies are almost never precisely in equilibrium. Using a very general formulation, we show that under dynamics that are second-order in time a price system can remain away from equilibrium with p…
Masanao Aoki developed a new methodology for a basic problem of economics: deducing rigorously the macroeconomic dynamics as emerging from the interactions of many individual agents. This includes deduction of the fractal / intermittent fluctuations of macroeconomic quantities from the granularity of the mezo-economic …
Isobenefit Lines can offer a certain range of applicability in Location Theory and Gravitational Models for Urban and Geography Economics, in positional decision processes made by citizens, and, last but not least, in land value and property market theories and analysis. The value of a land, or a property, in a generic…
Several problems arising in Economics and Finance are analyzed using concepts and quantitative methods from Physics. Here is the abridged abstact: Chapter 1: By analogy with energy, the equilibrium probability distribution of money must follow the exponential Boltzmann-Gibbs law characterized by an effective temperatur…
For those concerned with the long-term value of their accounts, it can be a challenge to plan in the present for inflation-adjusted economic growth over coming decades. Here, I argue that there exists an economic constant that carries through time, and that this can help us to anticipate the more distant future: global…
We propose a fast algorithm for computing the economic capital, Value at Risk and Greeks in the Gaussian factor model. The algorithm proposed here is much faster than brute force Monte Carlo simulations or Fourier transform based methods \cite{MD}. While the algorithm of Hull-White \cite{HW} is comparably fast, it assu…
Using the new data from the OECD-WTO world network of economic activities we construct the Google matrix of this directed network and perform its detailed analysis. The network contains 58 countries and 37 activity sectors for years 1995, 2000, 2005, 2008, 2009. The construction of , based on Markov chain transi…
Foreign exchange markets show that currency units (= accounting or nominal price units) are variables. Technical and economic progress evidence that the consumer baskets (= purchasing power units or real price units) are also variables. In contrast, all physical measurement units are constants and either defined in the…
The distribution of firms' growth and firms' sizes is a topic under intense scrutiny. In this paper we show that a thermodynamic model based on the Maximum Entropy Principle, with dynamical prior information, can be constructed that adequately describes the dynamics and distribution of firms' growth. Our theoretical fr…
I propose and briefly define the concept of Urban Isobenefit Lines by using functions as easy as efficient, whose results can offer a rich tool to use into spatial equilibrium analysis involving cities. They are line joining urban points with equal level of positional advantage from city amenities. The results which on…
Using the new data from the OECD-WTO world network of economic activities we construct the Google matrix of this directed network and perform its detailed analysis. The network contains 58 countries and 37 activity sectors for years 1995 and 2008. The construction of , based on Markov chain transitions, treats a…
GPR ensemble method predicts stock returns efficiently.
This Chapter reviews statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as random transfers of money between the agents in payment for goods and services. Starting from the initially equal distrib…
In all empirical-network studies, the observed properties of economic networks are informative only if compared with a well-defined null model that can quantitatively predict the behavior of such properties in constrained graphs. However, predictions of the available null-model methods can be derived analytically only …
Real GDP growth rate in developed countries is found to be a sum of two terms. The first term is the reciprocal value of the duration of the period of mean income growth with work experience, Tcr. The current value of Tcr in the USA is 40 years. The second term is inherently related to population and defined by the rel…
Current economic theories miss most of economic dynamics.
We consider the effects of the 2008 global financial crisis on the global stock market before, during, and after the crisis. We generate complex networks from a cross-correlation matrix such as the threshold network (TN) and the minimal spanning tree (MST). In the threshold network, we assign a threshold value by using…
Study shows GPT's earnings forecasts are human-like but not always accurate.
We develop a novel "decouple-recouple" dynamic predictive strategy and contribute to the literature on forecasting and economic decision making in a data-rich environment. Under this framework, clusters of predictors generate different latent states in the form of predictive densities that are later synthesized within …
This paper derives -- considering a Gaussian setting -- closed form solutions of the statistics that Adrian and Brunnermeier and Acharya et al. have suggested as measures of systemic risk to be attached to individual banks. The statistics equal the product of statistic specific Beta-coefficients with the mean corrected…
Stable cooperation emerges in fluctuating environments.
Modeling business cycles via collective risk fluctuations in economic agents' risk space.
'Ergodicity economics' is criticized as pseudoscience.
This paper presents a simple model to measure the relative economic growth of economic systems. The model considers S-Shaped patterns of economic growth that, represented with a linear model, measure how an economic system grows in comparison with another one. In particular, this model introduces an approach which indi…
Conventional economic analysis of stringent climate change mitigation policy generally concludes various levels of economic slowdown as a result of substantial spending on low carbon technology. Equilibrium economics however could not explain or predict the current economic crisis, which is of financial nature. Meanwhi…
This mathematical essay brings together ideas from Economics, Geobiodynamics and Thermodynamics. Its purpose is to obtain real models of complex evolutionary systems. More specifically, the essay defines Roegenian Economy and links Geobiodynamics and Roegenian Economy. In this context, we discuss the isomorphism betwee…
Proposes a taxonomy for economic policies.
Study examines how taxes affect wealth inequality in economic models.
From positions, attained by modern theoretical physics in understanding of the universe bases, the methodological and philosophical analysis of fundamental physical concepts and their formal and informal connections with the real economic measurings is carried out. Procedures for heterogeneous economic time determinati…