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 shows credit expansion in mortgage markets influenced U.S. business cycle.
The paper proposes a mechanism for business cycles using coupled real economy and stock market dynamics.
Endogenous business cycles explain higher comovement across countries.
Machine learning predicts US and EuroZone business cycles with high accuracy.
This paper studies business cycle patterns in UK sectoral output. It analyzes the distinction between white noise processes and their non-white noise counterparts in the frequency domain and further examines the associated features and patterns for the process where white noise conditions are violated. The characterist…
The accurate characterization of the business cycles in the nonlinear dynamic financial and economic systems in the time of globalization represents a formidable research problem. The central banks and other financial institutions make their decisions on the minimum capital requirements, countercyclical capital buffer …
Business cycles affect startup valuations, both directly and indirectly.
Credit expansion led to stronger household leverage cycles during the U.S. business cycle.
We propose a dynamical model for business cycle based on an optimal DI model. In the model there exists a conserved quantity, which corresponds to the total energy in a dynamical system. We found that the business cycle with the period 6 or 7 years is nicely reproduced, since the model predicts a periodic motion in the…
The major study by Bordo and Helbing (2003) analyses the business cycle in Western economies 1881-2001. They examine four distinct periods in economic history, and conclude that there is a secular trend towards greater synchronisation for much of the 20th century. Their analysis, in common with the standard economic li…
We explore what causes business cycles by analyzing the Japanese industrial production data. The methods are spectral analysis and factor analysis. Using the random matrix theory, we show that two largest eigenvalues are significant. Taking advantage of the information revealed by disaggregated data, we identify the fi…
Most of the analytical techniques used in the business cycle synchronisation literature rely upon the estimation of an empirical correlation matrix of time series data of macroeconomic aggregates, real GDP usually being the key variable. But the small number of available observations and small number of economies mean …
Proposes EM-C algorithm for solving stochastic control problems.
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…
Modeling business cycles via collective risk fluctuations in economic agents' risk space.
ML models predict stock prices poorly during recessions.
Study shows how business cycle affects dividend payout based on managerial stock incentives.
I sketch a program for a microeconomic theory of the main component of the business cycle as a recurring disequilibrium, driven by incompleteness of the financial market and by information asymmetries between borrowers and lenders. This proposal seeks to incorporate five distinct but connected processes that have been …
The sectoral synchronization observed for the Japanese business cycle in the Indices of Industrial Production data is an example of synchronization. The stability of this synchronization under a shock, e.g., fluctuation of supply or demand, is a matter of interest in physics and economics. We consider an economic syste…
A microscopic approach to macroeconomic features is intended. A model for macroeconomic behavior under heterogeneous spatial economic conditions is reviewed. A birth-death lattice gas model taking into account the influence of an economic environment on the fitness and concentration evolution of economic entities is nu…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes into account (i) the price formation delay between decision and investment by the …
The paper uses filtering techniques to predict rating transitions.
Is the present economic and financial crisis similar to some previous one? It would be so nice to prove that universality laws exist for predicting such rare events under a minimum set of realistic hypotheses. First, I briefly recall whether patterns, like business cycles, are indeed found, and can be modeled within a …
We analyse four consecutive cycles observed in the USA for employment and inflation. They are driven by three oil price shocks and an intended interest rate shock. Non-linear coupling between the rate equations for consumer products as prey and consumers as predators provides the required instability, but its natural d…
New approach uses physics principles to improve business analytics.
Current economic theories miss most of economic dynamics.
Paper uses LSTM to predict inflation, finds it performs well over long periods.
Financial volatility risk and its relation to a business cycle-related intrinsic time is addressed through a multiple round evolutionary quantum game equilibrium leading to turbulence and multifractal signatures in the financial returns and in the risk dynamics. The model is simulated and the results are compared with …
The article proposes a dynamic model for a company's life cycle under competitive influence.
An analytic model is presented that considers the evolution of a market of durable goods. The model suggests that after introduction goods spread always according to a Bass diffusion. However, this phase will be followed by a diffusion process for durable consumer goods governed by a variation-selection-reproduction me…
Study on time-varying APT validity in Japanese stock market.
Modeling GDP growth rates using Lévy flights with confining potential.
We determine the distribution of size and growthrates of German business firms in 1987-1997. We find a log-normal size distribution. The distribution of growth rates has fat tails. It can be fitted to an exponential in a narrow central region and is dominated by finite-sample-size effects far in its wings. We study the…
In this study, the fluctuation-dissipation theory is invoked to shed light on input-output interindustrial relations at a macroscopic level by its application to IIP (indices of industrial production) data for Japan. Statistical noise arising from finiteness of the time series data is carefully removed by making use of…
Dynamic model considers private asset markets' complexities.
This paper uses a path integral approach to model complex economic systems with many agents.
ACI converts call center conversations into actionable data.
This thesis explores algebraic cycles and moduli spaces over real numbers.
Deep learning predicts business process events with high precision.
Characterizes real holomorphic chains on complex manifolds.
These lecture notes provide a self-contained introduction to the mathematical methods required in a Bachelor degree programme in Business, Economics, or Management. In particular, the topics covered comprise real-valued vector and matrix algebra, systems of linear algebraic equations, Leontief's stationary input-output…
Study finds lower bounds on flat cycles in congruence covers of symmetric spaces.
We describe the innovations in finances, introduced over the recent decades, and analyze most of the business and regulatory challenges, faced by the financial industry, because of the present disruptive changes in the global capital markets. We use the integrative thinking approach to formulate the new central bank st…
Neural networks predict US recessions with SHAP method.
Unified metric SCV models subscription business revenue.
The financial crisis offers new business opportunities in heritage management.
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…
We propose a simple quantitative model of Schumpeterian economic dynamics. New goods and services are endogenously produced through combinations of existing goods. As soon as new goods enter the market they may compete against already existing goods, in other words new products can have destructive effects on existing …