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.
Second-order economic theory considers new variables to improve price volatility predictions.
Introduces a new price measure and a second-order economic theory for volatility forecasting.
New concept of attitude towards probability introduced in risk sharing problems.
Dynamic model improves static economics by incorporating time effects.
The notion that economies should normally be in equilibrium is by now well-established; equally well-established is that economies are almost never precisely in equilibrium. Using a very general formulation, we show that under dynamics that are second-order in time a price system can remain away from equilibrium with p…
This work develops a learning theory for inferring interaction kernels in complex agent systems.
This paper presents a geometric-variational approach to continuous and discrete {\it second-order} field theories following the methodology of \cite{MPS}. Staying entirely in the Lagrangian framework and letting denote the configuration fiber bundle, we show that both the multisymplectic structure on as well…
In this paper, we determine a representative agent model based on risk-neutral information. The main idea is that the pricing kernel is transition independent, which is supported by the well-known capital asset pricing theory. Determining the representative agent model is closely related to the eigenpair problem of a s…
Current economic theories miss most of economic dynamics.
Developed a theory of local convexity for second order differential equations on Lie algebroids.
Paper examines risk measure expansions under FGM dependence, improving accuracy at extreme levels.
This paper proposes an alternative to the classical price-adjustment mechanism (called "tâtonnement" after Walras) that is second-order in time. The proposed mechanism, an analogue to the damped harmonic oscillator, provides a dynamic equilibration process that depends only on local information. We show how such a proc…
We study the sensitivity of the expected utility maximization problem in a continuous semi-martingale market with respect to small changes in the market price of risk. Assuming that the preferences of a rational economic agent are modeled with a general utility function, we obtain a second-order expansion of the value …
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount rate and marginal utility of aggregate optimal consumption. For such a long maturity modelization, the possibility of adju…
Historical economic growth in countries of the former USSR is analysed. It is shown that Unified Growth Theory is contradicted by the data, which were used, but not analysed, during the formulation of this theory. Unified Growth Theory does not explain the mechanism of economic growth. It explains the mechanism of Malt…
Historical economic growth in Asia (excluding Japan) is analysed. It is shown that Unified Growth Theory is contradicted by the data, which were used (but not analysed) during the formulation of this theory. Unified Growth Theory does not explain the mechanism of economic growth. It explains the mechanism of Malthusian…
Uniform interpretation of group theory in manifold homeomorphisms.
Historical economic growth in Latin America is analysed using the data of Maddison. Unified Growth Theory is found to be contradicted by these data in the same way as it is contradicted by the economic growth in Africa, Asia, former USSR, Western Europe, Eastern Europe and by the world economic growth. Paradoxically, U…
Improved Local SGD convergence for general convex objectives with bounded second-order heterogeneity.
Mean Field Games applied to finance and economics.
Artificial intelligence has impacted many aspects of human life. This paper studies the impact of artificial intelligence on economic theory. In particular we study the impact of artificial intelligence on the theory of bounded rationality, efficient market hypothesis and prospect theory.
Solves risk minimization problem with SSD constraints.
The seriousness of the current crisis urgently demands new economic thinking that breaks the austerity vs. deficit spending circle in economic policy. The core tenet of the paper is that the most important problems that natural and social science are facing today are inverse problems, and that a new approach that goes …
'Ergodicity economics' is criticized as pseudoscience.
The quantification of diversification benefits due to risk aggregation plays a prominent role in the (regulatory) capital management of large firms within the financial industry. However, the complexity of today's risk landscape makes a quantifiable reduction of risk concentration a challenging task. In the present pap…
A new constructivist approach to modeling in economics and theory of consciousness is proposed. The state of elementary object is defined as a set of its measurable consumer properties. A proprietor's refusal or consent for the offered transaction is considered as a result of elementary economic measurement. Elementary…
We present a general methodology to incorporate fundamental economic factors to our previous theory of herding to describe bubbles and antibubbles. We start from the strong form of Rational Expectation and derive the general method to incorporate factors in addition to the log-periodic power law (LPPL) signature of her…
The new business paradigms originate a strong necessity to re-think the theory of the firm with the aim to get a better understanding on the organizational and functional principles of the firm, operating in the investment economies in the prosperous societies. In this connection, we make the innovative research to adv…
Paper studies second order tail probabilities in risk models.
Dynamic Boltzmann Machine (DyBM) has been shown highly efficient to predict time-series data. Gaussian DyBM is a DyBM that assumes the predicted data is generated by a Gaussian distribution whose first-order moment (mean) dynamically changes over time but its second-order moment (variance) is fixed. However, in many fi…
Muon optimizes training efficiency by improving data retention at large batch sizes.
One of the fundamental postulates of the Unified Growth Theory is the claimed existence of three distinctly different regimes of economic growth governed by three distinctly different mechanisms of growth. However, Galor also proposed that the timing of these regimes is different for developed countries and for less-de…
In this article, we address the question of how non-knowledge about future events that influence economic agents' decisions in choice settings has been formally represented in economic theory up to date. To position our discussion within the ongoing debate on uncertainty, we provide a brief review of historical develop…
New variational model preserves image contrasts and features using Weingarten map minimization.
In economics literature, it is accepted that all people are rational and they try to maximize their utilities as possible as they can. In addition, economic theories are formed with the assumptions not suitable to real life. For instance, indifference curves are drawn with the assumptions that there are two goods, peop…
The main purpose of this article is to introduce a comprehensive, unified theory of the geometry of all connections. We show that one can study a connection via a certain, closely associated second-order differential equation. One of the most important results is our extended Ambrose-Palais-Singer correspondence. We ex…
Paper proposes a framework for token economy simulation and wealth distribution.
From positions, attained by modern theoretical physics in understanding of the universe bases, the methodological and philosophical analysis of fundamental physical concepts and their formal and informal connections with the real economic measurings is carried out. Procedures for heterogeneous economic time determinati…
Price and return predictions are limited by economic complexity, not just volatility.
We show that the De Donder form for second order gravity, defined in terms of Ostrogradski's version of the Legendre transformation applied to all independent variables, is globally defined by its local coordinate descriptions. It is a natural differential operator applied to the diffeomorphism invariant Lagrangian of …
The optimal approach is to theorize after examining data, not before.
Some optimization or equilibrium problems involving somehow the concept of optimal transport are presented in these notes, mainly devoted to applications to economic and game theory settings. A variant model of transport, taking into account traffic congestion effects is the first topic, and it shows various links with…
Using a model for the bundle of semi-holonomic second order frames of a manifold as an extension of the bundle of holonomic second order frames of , we introduce in a principal bundle structure over , the structure group being the add…
Developing an AI economist agent using RAG, knowledge graphs, and LLMs for economic scenario analysis.
Notions of Darwinian selection have been implicit in economic theory for at least sixty years. Richard Nelson and Sidney Winter have argued that while evolutionary thinking was prevalent in prewar economics, the postwar Neoclassical school became almost entirely preoccupied with equilibrium conditions and their mathema…
New theory allows ICA without assuming non-Gaussian sources.
The fundamental purpose of the present research article is to introduce the basic principles of Dimensional Analysis in the context of the neoclassical economic theory, in order to apply such principles to the fundamental relations that underlay most models of economic growth. In particular, basic instruments from Dime…
This paper tackles gauge fixing and regularity for perturbations around spherical backgrounds.