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.
Minimal model reveals power laws in financial markets.
Paper combines CNN and GBoost for better stock price prediction.
Study minimizes market inefficiency in systemic economies.
The paper proposes a mechanism for business cycles using coupled real economy and stock market dynamics.
Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics offers models of markets as complex systems, that try to comprehend macro-, system-wide states of the economy from the interaction of many agents at micro-level. One of these models is the gas-like mo…
Research predicts money market volume based on capital market and bank rates ratio.
The paper confirms a conjecture about optimal expected utility in markets with insider information.
The paper confirms a conjecture about optimal expected utility in discrete-time markets approaching a continuous-time model.
Study finds stock search trends correlate with developing economies' stock indices.
Saha seeks physics models to manage income inequality.
We prove that in smooth Markovian continuous-time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist.
Develops a three-currency HJM framework for Brazilian credit markets, finding significant credit spread differences between indexed segments.
Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics is offering models of markets as complex systems, such as the gas-like model, able to predict money distributions observed in real economies. However, this model reveals some technical hitches to expl…
Study shows financial value of weak information converges in discrete vs continuous markets.
In this paper we have analyzed scaling properties and cyclical behavior of the three types of stock market indexes (SMI) time series: data belonging to stock markets of developed economies, emerging economies, and of the underdeveloped or transitional economies. We have used two techniques of data analysis to obtain an…
Analyzes how Trump's tweets impact global stock markets.
The importance of the power law has been well realized in econophysics over the last decade. For instance, the distribution of the rate of stock price variation and of personal assets show the power law. While these results reveal the striking scale invariance of financial markets, the behaviour of price in real econom…
Mapping the economy to the some statistical physics models we get strong indications that, in contrary to the pure stock market, the stock market with derivatives could not self-regulate.
In the standard equilibrium and/or arbitrage pricing framework, the value of any asset is uniquely specified from the belief that only the systematic risks need to be remunerated by the market. Here, we show that, even for arbitrary large economies when the distribution of the capitalization of firms is sufficiently he…
Ranking stock indices based on causal influence using directed information graphs.
We study the market selection hypothesis in complete financial markets, populated by heterogeneous agents. We allow for a rich structure of heterogeneity: individuals may differ in their beliefs concerning the economy, information and learning mechanism, risk aversion, impatience and 'catching up with Joneses' preferen…
In this paper we have analyzed scaling properties of time series of stock market indices (SMIs) of developing economies of Western Balkans, and have compared the results we have obtained with the results from more developed economies. We have used three different techniques of data analysis to obtain and verify our fin…
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…
This paper provides an alternative approach to Duffie and Lando [Econometrica 69 (2001) 633-664] for obtaining a reduced form credit risk model from a structural model. Duffie and Lando obtain a reduced form model by constructing an economy where the market sees the manager's information set plus noise. The noise makes…
Agent-based model helps design financial markets.
We analyze the European transition economies and show that time series for most of major indices exhibit (i) power-law correlations in their values, power-law correlations in their magnitudes, and (iii) asymmetric probability distribution. We propose a stochastic model that can generate time series with all the previou…
In the current era of worldwide stock market interdependencies, the global financial village has become increasingly vulnerable to systemic collapse. The recent global financial crisis has highlighted the necessity of understanding and quantifying interdependencies among the world's economies, developing new effective …
Previous analyses of a large ensemble of stock markets have demonstrated that a log-periodic power law (LPPL) behavior of the prices constitutes a qualifying signature of speculative bubbles that often land with a crash. We detect such a LPPL signature in the foreign capital inflow during the bubble on the US markets c…
The green area of economy is the key of healthy living. It is necessary to convene economic and ecologic framework to establish a market attentive to drastic reduction of emissions damaging our climate and landscapes in rural areas, to the protection of biological diversity of the planet, to stop producing nuclear wast…
Study finds internal view preferred over external view in defining startups.
Research examines how foreign direct investment in Vietnam affects stock returns.
Study analyzes crypto asset risk exposures using a divide-and-conquer approach.
The paper calculates the likelihood of a financial market failure involving multiple major banks.
The paper finds that bear markets cause recessions and bull markets cause expansions, with bull markets having a stronger causal effect.
Different approaches to defining dynamic market risk measures are available in the literature. Most are focused or derived from probability theory, economic behavior or dynamic programming. Here, we propose an approach to define and implement dynamic market risk measures based on recursion and state economy representat…
Financial markets can be seen as complex systems in non-equilibrium steady state, one of whose most important properties is the distribution of price fluctuations. Recently, there have been assertions that this distribution is qualitatively different in emerging markets as compared to developed markets. Here we analyse…
In common finance literature, Black-Scholes partial differential equation of option pricing is usually derived with no-arbitrage principle. Considering an asset market, Merton applied the Hamilton-Jacobi-Bellman techniques of his continuous-time consumption-portfolio problem, deriving general equilibrium relationships …
This paper examines allocation mechanisms in markets with transfer costs, showing how these costs affect economic efficiency.
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 . …
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…
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 on financial impacts of zombie outbreak on economy.
A new model explains relative spreads between economies using dynamic Nelson-Siegel and functional regression.
Numerous kinds of uncertainties may affect an economy, e.g. economic, political, and environmental ones. We model the aggregate impact by the uncertainties on an economy and its associated financial market by randomised mixtures of Lévy processes. We assume that market participants observe the randomised mixtures only …
The paper simplifies complex jump-diffusion markets to complete models.
This study analyzes global oil trade networks to assess their efficiency and robustness.
Study examines short-term stress of COVID-19 on major global stock indices.
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…