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 how economic policy uncertainty impacts stock markets.
The thermodynamics of markets is analyzed, revealing parallels with thermodynamic laws.
The dynamic network of relationships among corporations underlies cascading economic failures including the current economic crisis, and can be inferred from correlations in market value fluctuations. We analyze the time dependence of the network of correlations to reveal the changing relationships among the financial,…
Current economic theories miss most of economic dynamics.
Study evaluates cryptocurrency markets, focusing on Bitcoin.
The stock market has been known to form homogeneous stock groups with a higher correlation among different stocks according to common economic factors that influence individual stocks. We investigate the role of common economic factors in the market in the formation of stock networks, using the arbitrage pricing model …
Study shows economic policy uncertainty increases stock market crash risk during pandemic.
This work explains crises in markets without external news using bounded rational agents.
Study improves stock return prediction by switching between economic states, outperforming traditional methods.
By analyzing a large data set of daily returns with data clustering technique, we identify economic sectors as clusters of assets with a similar economic dynamics. The sector size distribution follows Zipf's law. Secondly, we find that patterns of daily market-wide economic activity cluster into classes that can be ide…
Investor expectations shifted pessimistically during the 2020 stock market crash and recovery.
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…
The paper finds that bear markets cause recessions and bull markets cause expansions, with bull markets having a stronger causal effect.
We study association between macroeconomic news and stock market returns using the statistical theory of copulas, and a new comprehensive measure of news based on the indexing of news wires. We find the impact of economic news on equity returns to be nonlinear and asymmetric. In particular, controlling for economic con…
Economic factors significantly influence stock returns, as shown by attribution analysis.
The paper discusses various practical consequences of treating economics and finance as an inherently dynamic and chaotic system. On the theoretical side this looks at the general applicability of the market-making pricing approach to economics in general. The paper also discuses the consequences of the endogenous crea…
Our study shows that many firms would accumulate at zero output level (namely, Bankruptcy status) if a perfectly competitive market reaches full employment (namely, those people who should obtain employment have obtained employment). As a result, appearance of economic crisis is determined by two points; that is, (a). …
The present paper analyses the formal parallelism existing between the laws of thermodynamics and some economic principles. Based on previous works, we shall show how the existence in Economics of principles analogous to those in thermodynamics involves the occurrence of economic events that remind of well-known phenom…
The paper uses machine learning to predict the impact of the Ukraine crisis on financial markets.
The paper predicts financial markets using news text and semantic network analysis.
A new platform models how narratives influence financial markets.
Solves ambiguity in incomplete markets by minimizing price measure entropy.
Paper uses bipartite graph to forecast cross-market returns, revealing asymmetry.
New framework detects time-varying economic persistence.
We study the qualitative and quantitative appearance of stylized facts in several agent-based computational economic market (ABCEM) models. We perform our simulations with the SABCEMM (Simulator for Agent-Based Computational Economic Market Models) tool recently introduced by the authors (Trimborn et al. 2019). Further…
In this paper, we briefly discuss a mathematical concept that can be used in economics.
Mean Field Games applied to finance and economics.
The paper addresses how to complete incomplete risk markets by iteratively enhancing welfare.
Improves stock market predictions on Election Day.
This is a short commentary piece that discusses how the methods used in the natural sciences can apply to economics in general and financial markets specifically.
Price and return predictions are limited by economic complexity, not just volatility.
Second-order economic theory considers new variables to improve price volatility predictions.
Open AI models affect bond yields differently than closed ones.
Study shows how China's stock market reflects economic demand changes during COVID-19.
How do we assign value to economic transactions? To answer this question, we must consider whether the value of objects is inherent, is a product of social interaction, or involves other mechanisms. Economic theory predicts that there is an optimal price for any market transaction, and can be observed during auctions o…
Economies are complex man-made systems where organisms and markets interact according to motivations and principles not entirely understood yet. The increasing dissatisfaction with the postulates of traditional economics i.e. perfectly rational agents, interacting through efficient markets in the search of equilibrium,…
This paper evaluates forecast quality in electricity markets beyond traditional accuracy measures.
Paper classifies economic states and optimizes portfolios for stagflationary environments.
Market equilibrium price proven in a large-agent model.
In this paper, simple mathematical models from Control Theory are applied to three very important economic paradigms, namely (a) minimum wages in self-regulating markets, (b) market-versus-true values and currency rates, and (c) government spending and taxation levels. Analytical solutions are provided in all three par…
Graph neural networks detect collusion patterns across markets.
A dangerously brief history of the developments of the main ideas in economics, as observed by a physicist, is given. This was published in 'Econophysics of Stock and Other Markets', Eds. A. Chatterjee, B. K. Chakrabarti, New Economic Windows Series, Springer, Milan, 2006, pp~219-224.
In a stock market, the price fluctuations are interactive, that is, one listed company can influence others. In this paper, we seek to study the influence relationships among listed companies by constructing a directed network on the basis of Chinese stock market. This influence network shows distinct topological prope…
We test a historical price time series in a financial market (the NASDAQ 100 index) for a statistical property known as detailed balance. The presence of detailed balance would imply that the market can be modeled by a stochastic process based on a Markov chain, thus leading to equilibrium. In economic terms, a positiv…
Review of financial dependencies using econophysics and financial economics.
This paper explores data science applications in economics using a taxonomy of models and hybrid models showing higher accuracy.
Using a metric related to the returns correlation, a method is proposed to reconstruct an economic space from the market data. A reduced subspace, associated to the systematic structure of the market, is identified and its dimension related to the number of terms in factor models. Example were worked out involving sets…
Generative neural networks improve insurance market risk modeling.