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.
Analyzed US firm data 1970-2019, identifying scale effects and distributional forms.
I study the behavior and the performance of the long-term forecasts issued by financial analysts with respect to the Extrapolation Hypothesis. That hypothesis states that investors, extrapolating from the firms' recent performances, are too optimistic about growth and large firms and too pessimistic about value and sma…
We present a simple model of firm rating evolution. We consider two sources of defaults: individual dynamics of economic development and Potts-like interactions between firms. We show that such a defined model leads to phase transition, which results in collective defaults. The existence of the collective phase depends…
Labor productivity was studied at the microscopic level in terms of distributions based on individual firm financial data from Japan and the US. A power-law distribution in terms of firms and sector productivity was found in both countries' data. The labor productivities were not equal for nation and sectors, in contra…
Models of spatial firm competition assume that customers are distributed in space and transportation costs are associated with their purchases of products from a small number of firms that are also placed at definite locations. It has been long known that the competition equilibrium is not guaranteed to exist if the mo…
Revisits granular models explaining firm growth rates and sizes.
The leverage effect weakly impacts return distributions, especially for small firms.
To a large extent, the systemic importance of financial institutions is related to the topology of financial liability networks. In this work we reconstruct and analyze the - to our knowledge - largest financial network that has been studied up to now. This financial liability network consists of 51,980 firms and 796 b…
We study continuous time Bertrand oligopolies in which a small number of firms producing similar goods compete with one another by setting prices. We first analyze a static version of this game in order to better understand the strategies played in the dynamic setting. Within the static game, we characterize the Nash e…
We study a simple, solvable model that allows us to investigate effects of credit contagion on the default probability of individual firms, in both portfolios of firms and on an economy wide scale. While the effect of interactions may be small in typical (most probable) scenarios they are magnified, due to feedback, by…
The new framework for finance is proposed. This framework based on three known approaches in econophysics. Assumptions of the framework are the following: 1. For the majority of situations market follows non-arbitrage condition. 2. For the small number of situations market influenced by the actions of big firms. 3. If …
The paper explains how to predict returns based on firm characteristics.
In this study, we investigate the evolution of Chinese guarantee networks from the angle of sub-patterns. First, we find that the mutual, 2-out-stars and triangle sub-patterns are motifs in 2- and 3-node subgraphs. Considering the heterogeneous financial characteristics of nodes, we find that small firms tend to form a…
In this paper we show how the study of asymmetric R&D alliances, that are those between young and small firms and large and MNEs firms for knowledge exploration and/or exploitation, requires the adoption of a coopetitive framework which consider both collaboration and competition. We draw upon the literature on asymmet…
A bipartite producer-consumer network is constructed to describe the industrial structure. The edges from consumer to producer represent the choices of the consumer for the final products and the degree of producer can represent its market share. So the size distribution of firms can be characterized by producer's degr…
Study on supply chain networks using wire transfers in Brazil.
This study examines the presence of the day-of-the-week effect on daily returns of biotechnology stocks over a 16-year period from January 2002 to December 2015. Using daily returns from the NASDAQ Biotechnology Index (NBI), we find that the stock returns were the lowest on Mondays, and compared to the Mondays the stoc…
Labour productivity distribution (dispersion) is studied both theoretically and empirically. Superstatistics is presented as a natural theoretical framework for productivity. The demand index is proposed within this framework as a new business index. Japanese productivity data covering small-to-medium to large firm…
A new method uses GATs to optimise portfolios of mid-cap firms, outperforming traditional methods.
Changes in the capital structure before and after the global financial crisis for SMEs are studied, emphasizing their financing problems, distinguishing between internal financing and external financing determinants. The empirical research bears upon 158 small and medium-sized firms listed on Shenzhen and Shanghai Stoc…
We study the impact of learning on the optimal policy and the time-to-decision in an infinite-horizon Bayesian sequential decision model with two irreversible alternatives, exit and expansion. In our model, a firm undertakes a small-scale pilot project so as to learn, via Bayesian updating, about the project\textquoter…
Risk hedging can reduce operational costs by adjusting prices and production levels in response to asset price movements.
Model assesses how supply chain disruptions affect financial stability.
Customer momentum is a positive relationship between a firm's returns and past returns of its customers.
Digital transformation boosts corporate financial asset allocation, especially short-term.
The study finds that firm membership in flagship indices and TCFD endorsement are strong predictors of a wider Disclosure-Performance Gap.
Inter-firm organizations, which play a driving role in the economy of a country, can be represented in the form of a customer-supplier network. Such a network exhibits a heavy-tailed degree distribution, disassortative mixing and a prominent community structure. We analyze a large-scale data set of customer-supplier re…
We develop a model for contagion in reinsurance networks by which primary insurers' losses are spread through the network. Our model handles general reinsurance contracts, such as typical excess of loss contracts. We show that simpler models existing in the literature--namely proportional reinsurance--greatly underesti…
Study reveals supply chain correlations in firm growth rates.
Study quantifies financial contagion risks in supply chains.
We develop a probabilistic consumer choice framework based on information asymmetry between consumers and firms. This framework makes it possible to study market competition of several firms by both quality and price of their products. We find Nash market equilibria and other optimal strategies in various situations ra…
Study examines financial structure's impact on non-financial firms' growth in Kenya.
The understanding of complex social or economic systems is an important scientific challenge. Here we present a comprehensive study of the Spanish Stock Exchange showing that most financial firms trading in that market are characterized by a resulting strategy and can be classified in groups of firms with different spe…
An agent-based model for firms' dynamics is developed. The model consists of firm agents with identical characteristic parameters and a bank agent. Dynamics of those agents is described by their balance sheets. Each firm tries to maximize its expected profit with possible risks in market. Infinite growth of a firm dire…
This study assesses how share capital affects financial growth of non-financial firms listed at NSE.
The distribution of firms' growth and firms' sizes is a topic under intense scrutiny. In this paper we show that a thermodynamic model based on the Maximum Entropy Principle, with dynamical prior information, can be constructed that adequately describes the dynamics and distribution of firms' growth. Our theoretical fr…
We analyze the size dependence and temporal stability of firm bankruptcy risk in the US economy by applying Zipf scaling techniques. We focus on a single risk factor-the debt-to-asset ratio R-in order to study the stability of the Zipf distribution of R over time. We find that the Zipf exponent increases during market …
Study shows long-term debt impacts financial growth of non-financial firms listed at Nairobi Securities Exchange.
Study assesses short-term debt's impact on non-financial firms' financial growth.
Study finds financial constraints explain zero-leverage firms.
The study finds variations in ownership structure and efficiency across sectors in Malaysia.
We consider the scaling behaviors for fluctuations of the number of Korean firms bankrupted in the period from August 1 2002 to October 28 2003. We observe a power law for the distribution of the number of the bankrupted firms. The Pareto exponent is close to unity. We also consider the daily increments of the number o…
Both theoretical and applied economics have a great deal to say about many aspects of the firm, but the literature on the extinctions, or demises, of firms is very sparse. We use a publicly available data base covering some 6 million firms in the US and show that the underlying statistical distribution which characteri…
Study optimal incentives for cleaner energy production.
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…
We analyze a database comprising quarterly sales of 55624 pharmaceutical products commercialized by 3939 pharmaceutical firms in the period 1992--2001. We study the probability density function (PDF) of growth in firms and product sales and find that the width of the PDF of growth decays with the sales as a power law w…
We investigate the structure of global inter-firm linkages using a dataset that contains information on business partners for about 400,000 firms worldwide, including all the firms listed on the major stock exchanges. Among the firms, we examine three networks, which are based on customer-supplier, licensee-licensor, a…
New method for estimating firm linkages using CVLs and QCML.