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.
LLMs can memorize economic data and recall exact values before their training cutoff.
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.
Study uses remotely sensed data to infer economic outcomes in experiments and quasi-experiments.
Current economic theories miss most of economic dynamics.
Study examines how economic policy uncertainty impacts stock markets.
Macroeconomic theories of growth and wealth distribution have an outsized influence on national and international social and economic policies. Yet, due to a relative lack of reliable, system wide data, many such theories remain, at best, unvalidated and, at worst, misleading. In this paper, we introduce a novel econom…
In economic and financial networks, the strength of each node has always an important economic meaning, such as the size of supply and demand, import and export, or financial exposure. Constructing null models of networks matching the observed strengths of all nodes is crucial in order to either detect interesting devi…
We report quantitative relations between corruption level and economic factors, such as country wealth and foreign investment per capita, which are characterized by a power law spanning multiple scales of wealth and investments per capita. These relations hold for diverse countries, and also remain stable over differen…
The American economy can be thought of as a highly connected random network in terms of both its technological and informational connections. The cumulative size of economic recessions, the fall in output from peak to trough, is analysed for the US economy 1900-2002. A least squares fit of an exponential relationship b…
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…
New methods improve Bayesian inference for complex economic models.
How are economic activities linked to geographic locations? To answer this question, we use a data-driven approach that builds on the information about location, ownership and economic activities of the world's 3,000 largest firms and their almost one million subsidiaries. From this information we generate a bipartite …
Understanding cities is central to addressing major global challenges from climate and health to economic resilience. Although increasingly perceived as fundamental socio-economic units, the detailed fabric of urban economic activities is only now accessible to comprehensive analyses with the availability of large data…
Study of a generalized geometric Brownian motion with varying entry and exit rates.
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 …
We investigate the hierarchical structures of countries based on electricity consumption and economic growth by using the real amounts of their consumption over a certain time period. We use of electricity consumption data to detect the topological properties of 60 countries from 1971 to 2008. These countries are divid…
Paper uses non-linear dimension reduction for better economic forecasting.
AI-driven tax policies improve economic equality and productivity.
Econophysics, is based on the premise that some ideas and methods from physics can be applied to economic situations. We intend to show in this paper how a physics concept such as entropy can be applied to an economic problem. In so doing, we demonstrate how information in the form of observable data and moment constra…
Countries tend to diversify their exports by entering products that are related to their current exports. Yet this average behavior is not representative of every diversification path. In this paper, we introduce a method to identify periods when countries enter unrelated products. We analyze the economic diversificati…
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…
Paper identifies unobserved variables from observable data.
These notes discuss several topics in neoclassical economics and alternatives, with an aim of reviewing fundamental issues in modeling economic markets. I start with a brief, non-rigorous summary of the basic Arrow-Debreu model of general equilibrium, as well as its extensions to include time and contingency. I then ar…
In this paper, we study the price responsiveness of electricity consumption from empirical commercial and industrial load data obtained from Texas. Employing a dynamical system perspective, we show that price responsive demand can be modeled as a hybrid of a Hammerstein model with delay following a price surge, and a l…
Lie groups applied to tech progress in economic growth.
Most people are risk-averse (risk-seeking) when they expect to gain (lose). Based on a generalization of ``expected utility theory'' which takes this into account, we introduce an automaton mimicking the dynamics of economic operations. Each operator is characterized by a parameter q which gauges people's attitude unde…
Study analyzes GDP growth of CEE countries using time-varying coefficients.
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 …
New smart contract mechanisms evade traditional AML systems by decoupling transaction roles.
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…
Dynamic model improves static economics by incorporating time effects.
We compare some methods recently used in the literature to detect the existence of a certain degree of common behavior of stock returns belonging to the same economic sector. Specifically, we discuss methods based on random matrix theory and hierarchical clustering techniques. We apply these methods to a portfolio of s…
We propose a stochastic map model of economic dynamics. In the last decade, an array of observations in economics has been investigated in the econophysics literature, a major example being the universal features of inequality in terms of income and wealth. Another area of inquiry is the formation of opinion in a socie…
Tax dynamics affects wealth distribution in a linearly growing socio-economic model.
We have analyzed the Indices of Industrial Production (Seasonal Adjustment Index) for a long period of 240 months (January 1988 to December 2007) to develop a deeper understanding of the economic shocks. The angular frequencies estimated using the Hilbert transformation, are almost identical for the 16 industrial secto…
In this paper, we investigate the economic mobility in some money transfer models which have been applied into the research on wealth distribution. We demonstrate the mobility by recording the time series of agents' ranks and observing their volatility. We also compare the mobility quantitatively by employing an index,…
The relationship between expectation and price is commonly established with two principles: no-arbitrage, which asserts that both maps are positive; and equivalence, which asserts that the maps share the same null events. Constructed from the Arrow-Debreu securities, classical and quantum models of economics are then d…
We examine three methods of constructing correlated Student- random variables. Our motivation arises from simulations that utilise heavy-tailed distributions for the purposes of stress testing and economic capital calculations for financial institutions. We make several observations regarding the suitability of the …
A spring-block chain placed on a running conveyor belt is considered for modeling stylized facts observed in the dynamics of stock indexes. Individual stocks are modeled by the blocks, while the stock-stock correlations are introduced via simple elastic forces acting in the springs. The dragging effect of the moving be…
In this paper we derive the maximum entropy characteristics of a particular rank order distribution, namely the discrete generalized beta distribution, which has recently been observed to be extremely useful in modelling many several rank-size distributions from different context in Arts and Sciences, as a two-paramete…
We study two kinds of economic exchange, additive and multiplicative, in a system of N agents. The work is divided in two parts, in the first one, the agents are free to interact with each other. The system evolves to a Boltzmann-Gibbs distribution with additive exchange and condenses with a multiplicative one. If bank…
A new platform models how narratives influence financial markets.
ECNNs improve stock market predictions by correcting errors from previous steps.
Corporate governance struggles to curb fraud in a globalized economy.
We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic volatility and unknown stock appreciation rate. The volatility parameter is driven by an external economic factor modeled as a diffusion process of Ornstein-Uhlenbeck type with unknown drift. We use the dynami…
Experimental economics has repeatedly demonstrated that the Nash equilibrium makes inaccurate predictions for a vast set of games. Instead, several alternative theoretical concepts predict behavior that is much more in tune with observed data, with the quantal response equilibrium as the most prominent example. However…
In the aftermath of the global financial crisis, much attention has been paid to investigating the appropriateness of the current practice of default risk modeling in banking, finance and insurance industries. A recent empirical study by Guo et al.(2008) shows that the time difference between the economic and recorded …
Study examines how COVID-19 affects bond yields using network filtering methods.