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.
Defines crisis transitions in pure exchange economies rigorously.
Study finds relevance of exchange and inflation rates to economic factors.
The study explains economic recession through equilibrium models.
Neural ARFIMA model improves exchange rate forecasting for BRIC economies.
Emerging economies use countercyclical policies to manage crises and dominant currencies.
In the last decade, a large body of literature has been developed to explain the universal features of inequality in terms of income and wealth. By now, it is established that the distributions of income and wealth in various economies show a number of statistical regularities. There are several models to explain such …
Paper analyzes virtual economies, reducing volatility and inflation.
We develop a formalism to study linearized perturbations around the equilibria of a pure exchange economy. With the use of mean field theory techniques, we derive equations for the flow of products in an economy driven by heterogeneous preferences and probabilistic interaction between agents. We are able to show that i…
Study dynamic Pareto-optimal allocations in multi-period economies with time-consistent risk measures.
Study finds stock search trends correlate with developing economies' stock indices.
In this paper the possibility of computing equilibrium in pure exchange and production economies by a homotopy method is investigated. The performance of the algorithm is tested on examples with known equilibria taken from the literature on general equilibrium models and numerical results are presented. In computing eq…
Based on the stochastic model proposed by Patriarca-Kaski-Chakraborti that describes the exchange of wealth between economic agents, we analyze the evolution of the corresponding economies under the assumption of a Gaussian background, modeling the exchange parameter . We demonstrate, that within Gaussian noise,…
This paper examines allocation mechanisms in markets with transfer costs, showing how these costs affect economic efficiency.
Study reveals complex, multi-scale relationships between NYSE and BSE indexes.
Study examines impact of oil and gold prices on Tehran Stock Exchange.
Study examines how BRICS nations' economies respond to COVID-19.
Classic studies of the probability density of price fluctuations for stocks and foreign exchanges of several highly developed economies have been interpreted using a {\it power-law} probability density function with exponent values , which are outside the Lévy-stable regime . …
This paper presents a novel study on gas-like models for economic systems. The interacting agents and the amount of exchanged money at each trade are selected with different levels of randomness, from a purely random way to a more chaotic one. Depending on the interaction rules, these statistical models can present dif…
The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the bounds predicted from random matrices constructed using mutually uncorrelated t…
Deviation from universal exponents in currency markets reveals economic properties.
Kinetic exchange models have been successful in explaining the shape of the income/wealth distribution in the economies. However, such models usually make some ad-hoc assumptions when it comes to determining the savings factor. Here, we examine a few models in and out of the domain of standard neo-classical economics t…
Study on asset price dynamics in OLG economies with and without a bubbly asset.
In this paper, we consider a simple kinetic model of economy involving both exchanges between agents and speculative trading. We show that the kinetic model admits non trivial quasi-stationary states with power law tails of Pareto type. In order to do this we consider a suitable asymptotic limit of the model yielding a…
Study on efficiency in economies with risk-averse agents, finding Pareto optima.
The key characteristic of a true free market economy is that exchanges are entirely voluntary. When there is a monopoly in the creation of currency as we have in today's markets, you no longer have a true free market. Features of the current economic system such as central banking and taxation would be nonexistent in a…
We review some statistical many-agent models of economic and social systems inspired by microscopic molecular models and discuss their stochastic interpretation. We apply these models to wealth exchange in economics and study how the relaxation process depends on the parameters of the system, in particular on the savin…
Hydrodynamic model explains trade between two countries.
In this work, we consider the optimal portfolio selection problem under hard constraints on trading volume amounts when the dynamics of the risky asset returns are governed by a discrete-time approximation of the Markov-modulated geometric Brownian motion. The states of Markov chain are interpreted as the states of an …
Study examines USD exchange rate dynamics using Kramers-Moyal expansion.
Firm growth process in the developing economies is known to produce divergence in their growth path giving rise to bimodality in the size distribution. Similar bimodality has been observed in wealth distribution as well. Here, we introduce a modified kinetic exchange model which can reproduce such features. In particul…
REGOMAX analyzes EU economies' sensitivity to petroleum and gas trade from major exporters.
Using the analogy with inelastic granular gasses we introduce a model for wealth exchange in society. The dynamics is governed by a kinetic equation, which allows for self-similar solutions. The scaling function has a power-law tail, the exponent being given by a transcendental equation. In the limit of continuous trad…
This paper considers the ideal gas-like model of trading markets, where each individual is identified as a gas molecule that interacts with others trading in elastic or money-conservative collisions. Traditionally this model introduces different rules of random selection and exchange between pair agents. Real economic …
Study confirms financial bubbles' common patterns in isolated markets.
The paper analyzes trade dynamics among G7 countries, revealing unequal exchange and degenerate equilibrium states.
Centralized exchanges influence staking behavior and decentralization in Proof of Stake blockchain ecosystems.
The analysis of markets with indivisible goods and fixed exogenous prices has played an important role in economic models, especially in relation to wage rigidity and unemployment. This research report provides a mathematical and computational details associated to the mathematical programming based approaches proposed…
We propose a novel kinetic exchange model differing from previous ones in two main aspects. First, the basic dynamics is modified in order to represent economies where immediate wealth exchanges are carried out, instead of reshufflings or uni-directional movements of wealth. Such dynamics produces wealth distributions …
New model explains CDS price discrepancies in foreign and domestic economies.
We focus on the problem of how wealth is distributed among the units of a networked economic system. We first review the empirical results documenting that in many economies the wealth distribution is described by a combination of log--normal and power--law behaviours. We then focus on the Bouchaud--Mézard model of wea…
Study of oil price, stock index, and exchange rate co-movements in Mexico.
This paper compares traditional econometric and contemporary machine/deep learning techniques for forecasting foreign exchange rates.
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…
Develops a three-currency HJM framework for Brazilian credit markets, finding significant credit spread differences between indexed segments.
This study considers the multivariate segmentation procedure under the assumption of the multivariate Gaussian mixture. Jensen-Shannon divergence between two multivariate Gaussian distributions is employed as a discriminator and a recursive segmentation procedure is proposed. The daily log-return time series for 30 cur…
The paper models currency substitution and money demand in CEE countries, finding interest rate spreads influence money demand.
New proof shows local wealth condensation in economic models with biases.
After September 2008, the advanced economies severe decline caused demand for emerging economies' exports to drop and the crisis became truly global, much deeper and broader than expected. In these times of global depression, most countries and companies are affected, some more than others. The financial crisis has tur…