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3,800 | Taxation and Valuation | q-fin.GN | The greatest harm from highway robbers lies not in seized wallets but in
inhibited travel. Similarly, incentives for tax-reducing strategies put much
sand in the wheels of the economy. Demands to replace our monumental tax code
with a simple, graceful one that does not distort economic incentives heat up
periodically i... | finance |
3,801 | Fluctuations of company yearly profits versus scaled revenue: Fat tail distribution of Levy type | q-fin.GN | We analyze annual revenues and earnings data for the 500 largest-revenue U.S.
companies during the period 1954-2007. We find that mean year profits are
proportional to mean year revenues, exception made for few anomalous years,
from which we postulate a linear relation between company expected mean profit
and revenue. ... | finance |
3,802 | Steady coexistence of the subjects of the market representing the private and state capital | q-fin.GN | The sustainability conditions for the market participants with a different
ownership model were also determined. It was revealed, that the nonlinear form
of the equations describing the market behavior with the prevailing private
capital, predetermines the development of such a market according to the
subharmonic casca... | finance |
3,803 | Economic law of increase of Kolmogorov complexity. Transition from financial crisis 2008 to the zero-order phase transition (social explosion) | q-fin.GN | In Maslov (2003), a two level model of the occurrence of financial pyramid
(bubbles) has been considered. We also considered the mathematical analogy of
this model to Bose condensation. In the present paper, we explain why Ponzi
schemes and bubbles result in a crisis in real economics. In Maslov (2005), the
law of incr... | finance |
3,804 | Optimal dividend distribution under Markov-regime switching | q-fin.GN | We investigate the problem of optimal dividend distribution for a company in
the presence of regime shifts. We consider a company whose cumulative net
revenues evolve as a Brownian motion with positive drift that is modulated by a
finite state Markov chain, and model the discount rate as a deterministic
function of the... | finance |
3,805 | Mathematical analysis of Soros's theory of reflexivity | q-fin.GN | The mathematical model proposed by George Soros for his theory of reflexivity
is analyzed under the framework of discrete dynamical systems. We show the
importance of the notion of fixed points for explaining the behavior of a
reflexive system governed by its cognitive and manipulative functions. The
interrelationship ... | finance |
3,806 | The Reality Game | q-fin.GN | We introduce an evolutionary game with feedback between perception and
reality, which we call the reality game. It is a game of chance in which the
probabilities for different objective outcomes (e.g., heads or tails in a coin
toss) depend on the amount wagered on those outcomes. By varying the `reality
map', which rel... | finance |
3,807 | A Conceptual Model for Bidirectional Service, Information and Product Quality in an IS Outsourcing Collaboration Environment | q-fin.GN | This paper advances theory on the process of collaboration between entities
and its implications on the quality of services, information, and/or products
(SIPs) that the collaborating entities provide to each other. It investigates
the scenario of outsourced IS projects (such as custom software development)
where the e... | finance |
3,808 | Time and symmetry in models of economic markets | q-fin.GN | These notes discuss several topics in neoclassical economics and
alternatives, with an aim of reviewing fundamental issues in modeling economic
markets. I start with a brief, non-rigorous summary of the basic Arrow-Debreu
model of general equilibrium, as well as its extensions to include time and
contingency. I then ar... | finance |
3,809 | Mapping markets to the statistical mechanics: the derivatives act against the self-regulation of stock market | q-fin.GN | 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. | finance |
3,810 | The Transfer Pricing Problem with Non-Linearities | q-fin.GN | A number of approaches to solving the well-known transfer pricing problem are
known. However, few models satisfactorily resolve the core problem of allowing
both the source and receiving divisions to earn a profit on transfers during a
period in such a way that sub-optimal output levels are avoided. In 1969,
Samuel pro... | finance |
3,811 | Does economics need a scientific revolution? | q-fin.GN | Economics does not need a scientific revolution. Economics needs accurate
measurements according to high standards of natural sciences and meticulous
work on revealing empirical relationships between measured variables. | finance |
3,812 | The Problem of Modeling of Economic Dynamics | q-fin.GN | The correctness of Harrods model in the differential form is studied. The
inadequacy of exponential growth of economy is shown; an alternative result is
obtained. By example of Phillips model, an approach to correction of
macroeconomic models (in terms of initial prerequisites) is generalized. A
methodology based on ba... | finance |
3,813 | An operatorial approach to stock markets | q-fin.GN | We propose and discuss some toy models of stock markets using the same
operatorial approach adopted in quantum mechanics. Our models are suggested by
the discrete nature of the number of shares and of the cash which are exchanged
in a real market, and by the existence of conserved quantities, like the total
number of s... | finance |
3,814 | What are the limits on Commercial Bank Lending? | q-fin.GN | Analysis of the 2007-8 credit crisis has concentrated on issues of relaxed
lending standards, and the perception of irrational behaviour by speculative
investors in real estate and other assets. Asset backed securities have been
extensively criticised for creating a moral hazard in loan issuance and an
associated incre... | finance |
3,815 | La Loi organique relative aux lois de finances (LOLF) dans les institutions culturelles publiques du spectacle vivant en France | q-fin.GN | In a crisis of public finances, France bases all its hopes on the "evaluation
of performance" to moderate the effects of a complex crisis. Under the banner
of "modernization of the State", a new "financial constitution" called the
Organic Law on finance laws (LOLF) became the main lever of reform of public
management. ... | finance |
3,816 | A Markovian Model Market - Akerlof's Lemmons and the Asymmetry of Information | q-fin.GN | In this work we study an economic agent based model under different
asymmetric information degrees. This model is quite simple and can be treated
analytically since the buyers evaluate the quality of a certain good taking
into account only the quality of the last good purchased plus her perceptive
capacity \beta . As a... | finance |
3,817 | Presentation Du Nouvel Accord De Bale Sur Les Fonds Propres | q-fin.GN | In order to adapt to the liberalization of the financial sphere started in
the Eighties, marked in particular by the end of the framing of credit, the
disappearance of the various forms of protection of the State whose profited
the banks, and the privatization of the near total of the establishments in
Europe, the bank... | finance |
3,818 | A la Recherche des Facteurs Déterminants de l'Intégration Internationale des Marchés Boursiers : une Analyse sur Données de Panel | q-fin.GN | The aim of this paper is to identify the determinants of international stock
markets integration. Intuitively we selected a great number of factors linked
to financial integration. Then, we developed an international asset-pricing
model with time-varying degree of integration. This model is estimated for 30
countries (... | finance |
3,819 | Structural Breaks in the Mexico's Integration into the World Stock Market | q-fin.GN | This article investigates the evolution of the Mexican stock market
integration into the world market. First, we estimate the time-varying Mexican
degree of market integration using an international conditional version of the
CAPM with segmentation effects. Second, we study the structural breaks in this
series. Finally... | finance |
3,820 | A Prediction Market for Toxic Assets Prices | q-fin.GN | We propose the development of a prediction market for forecasting prices for
"toxic assets" to be transferred from Irish banks to the National Asset
Management Agency (NAMA). Such a market allows market participants to assume a
stake in a security whose value is tied to a future event. We propose that
securities are cr... | finance |
3,821 | An example of a stochastic equilibrium with incomplete markets | q-fin.GN | We prove existence and uniqueness of stochastic equilibria in a class of
incomplete continuous-time financial environments where the market participants
are exponential utility maximizers with heterogeneous risk-aversion
coefficients and general Markovian random endowments. The incompleteness
featured in our setting - ... | finance |
3,822 | Improved and Developed Upper Bound of Price of Anarchy in Two Echelon Case | q-fin.GN | Price of anarchy, the performance ratio, which could characterize the loss of
efficiency of the distributed supply chain management compared with the
integrated supply chain management is discussed by utilizing newsvendor problem
in single period which is well-known. In particular, some of remarkable
distributed polici... | finance |
3,823 | A quantum statistical approach to simplified stock markets | q-fin.GN | We use standard perturbation techniques originally formulated in quantum
(statistical) mechanics in the analysis of a toy model of a stock market which
is given in terms of bosonic operators. In particular we discuss the
probability of transition from a given value of the {\em portfolio} of a
certain trader to a differ... | finance |
3,824 | Heterogeneous Beliefs with Partial Observations | q-fin.GN | This paper examines a heterogeneous beliefs model in which there is a process
that is only partially observed by the agents. The economy contains a risky
asset producing dividends continuously in time. The dividends are observed by
the agents. The dividends are assumed to be a known function of some other
unobserved pr... | finance |
3,825 | Heterogeneous Beliefs with Finite-Lived Agents | q-fin.GN | This paper will examine a model with many agents, each of whom has a
different belief about the dynamics of a risky asset. The agents are Bayesian
and so learn about the asset over time. All agents are assumed to have a finite
(but random) lifetime. When an agent dies, he passes his wealth (but not his
knowledge) onto ... | finance |
3,826 | A note on heterogeneous beliefs with CRRA utilities | q-fin.GN | This note will extend the research presented in Brown & Rogers (2009) to the
case of CRRA agents. We consider the model outlined in that paper in which
agents had diverse beliefs about the dividends produced by a risky asset. We
now assume that the agents all have CRRA utility, with some integer coefficient
of relative... | finance |
3,827 | Optimal intervention in the foreign exchange market when interventions affect market dynamics | q-fin.GN | We address the problem of optimal Central Bank intervention in the exchange
rate market when interventions create feedback in the rate dynamics. In
particular, we extend the work done on optimal impulse control by Cadenillas
and Zapatero to incorporate temporary market reactions, of random duration and
level, to Bank i... | finance |
3,828 | Weighted Trade Network in a Model of Preferential Bipartite Transactions | q-fin.GN | Using a model of wealth distribution where traders are characterized by
quenched random saving propensities and trade among themselves by bipartite
transactions, we mimic the enhanced rates of trading of the rich by introducing
the preferential selection rule using a pair of continuously tunable
parameters. The biparti... | finance |
3,829 | Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times | q-fin.GN | We propose two rational expectation models of transient financial bubbles
with heterogeneous arbitrageurs and positive feedbacks leading to
self-reinforcing transient stochastic faster-than-exponential price dynamics.
As a result of the nonlinear feedbacks, the termination of a bubble is found to
be characterized by a ... | finance |
3,830 | Credit derivatives: instruments of hedging and factors of instability. The example of ?Credit Default Swaps? on French reference entities | q-fin.GN | Through a long-period analysis of the inter-temporal relations between the
French markets for credit default swaps (CDS), shares and bonds between 2001
and 2008, this article shows how a financial innovation like CDS could heighten
financial instability. After describing the operating principles of credit
derivatives i... | finance |
3,831 | About Some Applications of Kolmogorov Equations to the Simulation of Financial Institutions Activity | q-fin.GN | The goal of this article is to describe the concepts of system dynamics and
its applications to the simulation modeling of financial institutions daily
activity. The hybrid method of the re-engineering of banking business processes
based upon combination of system dynamics, queuing theory and tools of ordinary
differen... | finance |
3,832 | Modelling and predicting labor force productivity | q-fin.GN | Labor productivity in Turkey, Spain, Belgium, Austria, Switzerland, and New
Zealand has been analyzed and modeled. These counties extend the previously
analyzed set of the US, UK, Japan, France, Italy, and Canada. Modelling is
based on the link between the rate of labor participation and real GDP per
capita. New result... | finance |
3,833 | Inflation and unemployment in Japan: from 1980 to 2050 | q-fin.GN | The evolution of inflation, p(t), and unemployment, UE(t), in Japan has been
modeled. Both variables were represented as linear functions of the change rate
of labor force, dLF/LF. These models provide an accurate description of
disinflation in the 1990s and a deflationary period in the 2000s. In Japan,
there exists a ... | finance |
3,834 | What is Fair Pay for Executives? An Information Theoretic Analysis of Wage Distributions | q-fin.GN | The high pay packages of U.S. CEOs have raised serious concerns about what
would constitute a fair pay. | finance |
3,835 | Regulation Simulation | q-fin.GN | A deterministic trading strategy by a representative investor on a single
market asset, which generates complex and realistic returns with its first four
moments similar to the empirical values of European stock indices, is used to
simulate the effects of financial regulation that either pricks bubbles, props
up crashe... | finance |
3,836 | Arbitrage strategy | q-fin.GN | An arbitrage strategy allows a financial agent to make certain profit out of
nothing, i.e., out of zero initial investment. This has to be disallowed on
economic basis if the market is in equilibrium state, as opportunities for
riskless profit would result in an instantaneous movement of prices of certain
financial ins... | finance |
3,837 | Free Lunch | q-fin.GN | The concept of absence of opportunities for free lunches is one of the
pillars in the economic theory of financial markets. This natural assumption
has proved very fruitful and has lead to great mathematical, as well as
economical, insights in Quantitative Finance. Formulating rigorously the exact
definition of absence... | finance |
3,838 | The Problem of Modeling of Economic Dynamics (new version) | q-fin.GN | The correctness of Harrods model in the differential form is studied. The
inadequacy of exponential growth of economy is shown; an alternative result is
obtained. By example of Phillips model, an approach to correction of
macroeconomic models (in terms of initial prerequisites) is generalized. A
methodology based on ba... | finance |
3,839 | Diversity and Arbitrage in a Regulatory Breakup Model | q-fin.GN | In 1999 Robert Fernholz observed an inconsistency between the normative
assumption of existence of an equivalent martingale measure (EMM) and the
empirical reality of diversity in equity markets. We explore a method of
imposing diversity on market models by a type of antitrust regulation that is
compatible with EMMs. T... | finance |
3,840 | Diagnosis and Prediction of Market Rebounds in Financial Markets | q-fin.GN | We introduce the concept of "negative bubbles" as the mirror image of
standard financial bubbles, in which positive feedback mechanisms may lead to
transient accelerating price falls. To model these negative bubbles, we adapt
the Johansen-Ledoit-Sornette (JLS) model of rational expectation bubbles with a
hazard rate de... | finance |
3,841 | L'effet de levier de trésorerie | q-fin.GN | The effect of leverage on liquidity is a tool for analysing the level of
liquidity for a given production process. It measures the sensitivity of the
level of liquidity that results from changes in the volume of production and
unit operating margin. A commercial activity is liquid at the moment when all
costs are cover... | finance |
3,842 | Quantum Portfolios of Observables and the Risk Neutral Valuation Model | q-fin.GN | Quantum Portfolios of quantum algorithms encoded on qbits have recently been
reported. In this paper a discussion of the continuous variables version of
quantum portfolios is presented. A risk neutral valuation model for options
dependent on the measured values of the observables, analogous to the
traditional Black-Sch... | finance |
3,843 | Fundamental defect of the macroeconomic thinking as one of the main causes of the crisis endured | q-fin.GN | The main points of the first section of the article written by S.I.
Chernyshov, A.V. Voronin and S.A. Razumovsky arXiv:1003.4382), which deals with
the fundamental bases of the macroeconomic theory, have been analyzed. An
incorrectness of the Harrod's model of the economical growth in its generally
accepted interpretat... | finance |
3,844 | A discussion of stock market speculation by Pierre-Joseph Proudhon | q-fin.GN | The object of this contribution is to present the ideas behind the thinking
of the French economist Pierre-Joseph Proudhon (1809-1865) in relation to the
causes and effects of Stock market speculation. It is based upon the works of
this author but particularly on his "Manuel du sp\'eculateur \`a la Bourse"
(Stock Marke... | finance |
3,845 | Stable-1/2 Bridges and Insurance | q-fin.GN | We develop a class of non-life reserving models using a stable-1/2 random
bridge to simulate the accumulation of paid claims, allowing for an essentially
arbitrary choice of a priori distribution for the ultimate loss. Taking an
information-based approach to the reserving problem, we derive the process of
the condition... | finance |
3,846 | GDP Trend Deviations and the Yield Spread: the Case of Five E.U. Countries | q-fin.GN | Several studies have established the predictive power of the yield curve in
terms of real economic activity. In this paper we use data for a variety of
E.U. countries: both EMU (Germany, France, Italy) and non-EMU members (Sweden
and the U.K.). The data used range from 1991:Q1 to 2009:Q1. For each country,
we extract t... | finance |
3,847 | Two-sided estimates for stock price distribution densities in jump-diffusion models | q-fin.GN | We consider uncorrelated Stein-Stein, Heston, and Hull-White models and their
perturbations by compound Poisson processes with jump amplitudes distributed
according to a double exponential law. Similar perturbations of the
Black-Scholes model were studied by S. Kou. For perturbed stochastic volatility
models, we obtain... | finance |
3,848 | Inequality reversal: effects of the savings propensity and correlated returns | q-fin.GN | 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 ... | finance |
3,849 | Business fluctuations in a credit-network economy | q-fin.GN | We model a network economy with three sectors: downstream firms, upstream
firms, and banks. Agents are linked by productive and credit relationships so
that the behavior of one agent influences the behavior of the others through
network connections. Credit interlinkages among agents are a source of
bankruptcy diffusion... | finance |
3,850 | Econophysics: A new discipline | q-fin.GN | This paper debates the contribution of Econophysics to the economic or
financial domains. Since the traditional approach performed by Economics or
Finance has revealed to be insufficient in fully characterizing and explaining
the correspondingly phenomena, we discuss whether Econophysics can provide a
new insight onto ... | finance |
3,851 | Is an historical economic crisis upcoming? | q-fin.GN | In this work, the time chart of Dow Jones Industrial Average (DJIA) index is
analyzed and approach of recession time term is predicted, which may be
hallmark of a worldwide economic crisis. However, the methods used for the
prediction will be disclosed a few years from now. On the other hand, this work
will be updated ... | finance |
3,852 | Incomplete Continuous-time Securities Markets with Stochastic Income Volatility | q-fin.GN | In an incomplete continuous-time securities market with uncertainty generated
by Brownian motions, we derive closed-form solutions for the equilibrium
interest rate and market price of risk processes. The economy has a finite
number of heterogeneous exponential utility investors, who receive partially
unspanned income ... | finance |
3,853 | Fifteen Years of Econophysics Research | q-fin.GN | Econophysics is a new research field, which makes an attempt to bring
economics in the fold of natural sciences or specifically attempts for a
"physics of economics". The term Econophysics was formally born in Kolkata in
1995. The entry on Econophysics in The New Palgrave Dictionary of Economics,
2nd Ed., Vol 2, Macmil... | finance |
3,854 | How to predict and avert economic crisis | q-fin.GN | Our study shows that many firms would accumulate at zero output level
(namely, Bankruptcy status) if a perfectly competitive market reaches full
employment (namely, those people who should obtain employment have obtained
employment). As a result, appearance of economic crisis is determined by two
points; that is, (a). ... | finance |
3,855 | Entering New Markets-a Challenge in Times of Crisis | q-fin.GN | 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... | finance |
3,856 | A note comprising a negative resolution of the Efficient Market Hypothesis | q-fin.GN | This note comprises a negative resolution of the Efficient Market Hypothesis. | finance |
3,857 | Leverage Bubble | q-fin.GN | Leverage is strongly related to liquidity in a market and lack of liquidity
is considered a cause and/or consequence of the recent financial crisis. A
repurchase agreement is a financial instrument where a security is sold
simultaneously with an agreement to buy it back at a later date. Repurchase
agreements (repos) ma... | finance |
3,858 | Inferring Fundamental Value and Crash Nonlinearity from Bubble Calibration | q-fin.GN | Identifying unambiguously the presence of a bubble in an asset price remains
an unsolved problem in standard econometric and financial economic approaches.
A large part of the problem is that the fundamental value of an asset is, in
general, not directly observable and it is poorly constrained to calculate.
Further, it... | finance |
3,859 | Comprehending environmental and economic sustainability: Comparative analysis of stability principles in the biosphere and free market economy | q-fin.GN | Using the formalism of Lyapunov potential function it is shown that the
stability principles for biomass in the ecosystem and for employment in
economics are mathematically similar. The ecosystem is found to have a stable
and an unstable stationary state with high (forest) and low (grasslands)
biomass, respectively. In... | finance |
3,860 | Equilibrium notions and framing effects | q-fin.GN | Experimental economics has repeatedly demonstrated that the Nash equilibrium
makes inaccurate predictions for a vast set of games. Instead, several
alternative theoretical concepts predict behavior that is much more in tune
with observed data, with the quantal response equilibrium as the most prominent
example. However... | finance |
3,861 | Preliminaries to an investigation of reduced product set finance | q-fin.GN | Principles of financial product synthesis from a few basic financial products
constitute an interesting research topic inspired by Islamic finance. We make
an effort to answer general questions that should be answered before starting
to investigate the main issues concerning this topic with the formalization of
financi... | finance |
3,862 | An almost linear stochastic map related to the particle system models of social sciences | q-fin.GN | We propose a stochastic map model of economic dynamics. In the last decade,
an array of observations in economics has been investigated in the econophysics
literature, a major example being the universal features of inequality in terms
of income and wealth. Another area of inquiry is the formation of opinion in a
socie... | finance |
3,863 | Leverage efficiency | q-fin.GN | Peters (2011a) defined an optimal leverage which maximizes the time-average
growth rate of an investment held at constant leverage. It was hypothesized
that this optimal leverage is attracted to 1, such that, e.g., leveraging an
investment in the market portfolio cannot yield long-term outperformance. This
places a str... | finance |
3,864 | Dynamics of a Service Economy Driven by Random Transactions | q-fin.GN | Agents buy and sell services. All services are of equal quality. Buyers
choose sellers at random. Monetary and fiscal policies are imposed by a central
bank and a central government. Credit is supplied by a commercial banking
system. Propensities to buy, sell, and lend depend on account balances,
interest rates, tax ra... | finance |
3,865 | Gaussian Noise Effects on the Evolution of Wealth in a Closed System of n-Economies | q-fin.GN | Based on the stochastic model proposed by Patriarca-Kaski-Chakraborti that
describes the exchange of wealth between $n$ economic agents, we analyze the
evolution of the corresponding economies under the assumption of a Gaussian
background, modeling the exchange parameter $\epsilon$. We demonstrate, that
within Gaussian... | finance |
3,866 | The Australian Phillips curve and more | q-fin.GN | A quantitative model is presented linking the rate of inflation and
unemployment to the change in the level of labor force. The link between the
involved variables is a linear one with all coefficients of individual and
generalized models obtained empirically. To achieve the best fit between
measured and predicted time... | finance |
3,867 | Non - Randomness Stock Market Price Model | q-fin.GN | A new model for the stock market price analysis is proposed. It is suggested
to look at price as an everywhere discontinuous function of time of bounded
variation. | finance |
3,868 | Inflation and unemployment in Switzerland: from 1970 to 2050 | q-fin.GN | An empirical model is presented linking inflation and unemployment rate to
the change in the level of labour force in Switzerland. The involved variables
are found to be cointegrated and we estimate lagged linear deterministic
relationships using the method of cumulative curves, a simplified version of
the 1D Boundary ... | finance |
3,869 | Shocks in financial markets, price expectation, and damped harmonic oscillators | q-fin.GN | Using a modified damped harmonic oscillator model equivalent to a model of
market dynamics with price expectations, we analyze the reaction of financial
markets to shocks. In order to do this, we gather data from indices of a
variety of financial markets for the 1987 Black Monday, the Russian crisis of
1998, the crash ... | finance |
3,870 | Noise, risk premium, and bubble | q-fin.GN | The existence of the pricing kernel is shown to imply the existence of an
ambient information process that generates market filtration. This information
process consists of a signal component concerning the value of the random
variable X that can be interpreted as the timing of future cash demand, and an
independent no... | finance |
3,871 | A win-win monetary policy in Canada | q-fin.GN | The Lucas critique has exposed the problem of the trade-off between changes
in monetary policy and structural breaks in economic time series. The search
for and characterisation of such breaks has been a major econometric task ever
since. We have developed an integral technique similar to CUSUM using an
empirical model... | finance |
3,872 | An Application Specific Informal Logic for Interest Prohibition Theory | q-fin.GN | Interest prohibition theory concerns theoretical aspects of interest
prohibition. We attempt to lay down some aspects of interest prohibition theory
wrapped in a larger framework of informal logic. The reason for this is that
interest prohibition theory has to deal with a variety of arguments which is so
wide that a li... | finance |
3,873 | If Entry Strategy and Money go Together, What is the Right Side of the Coin? | q-fin.GN | The goal of this study is to determine which strategic model, either IO or
RBV, allows firms to generate the highest performance on a competitive market.
Contrasting with classical studies that mobilize analyses as VARCOMP, we deploy
a multi-agent system simulating the behavior of firms adopting RBV or IO
strategic mod... | finance |
3,874 | Non - Randomness Stock Market Price Model (Amended) | q-fin.GN | A new model for the stock market price analysis is proposed. It is suggested
to look at price as an everywhere discontinuous function of time of bounded
variation. | finance |
3,875 | Interest Rates and Inflation | q-fin.GN | A relation between interest rates and inflation is presented using a two
component economic model and a simple general principle. Preliminary results
indicate a remarkable similarity to classical economic theories, in particular
that of Wicksell. | finance |
3,876 | Interest prohibition and financial product innovation | q-fin.GN | We give a rough sketch of the Judaic, Greek, Islamic and Christian positions
in the matter of interest prohibition during the last few millennia and discuss
the way in which interest prohibition is dealt with in Islamic finance, the
problems with authority-based arguments for interest prohibition, and the
prospects of ... | finance |
3,877 | Why Money Trickles Up - Wealth & Income Distributions | q-fin.GN | This paper combines ideas from classical economics and modern finance with
the general Lotka-Volterra models of Levy & Solomon to provide straightforward
explanations of wealth and income distributions. Using a simple and realistic
economic formulation, the distributions of both wealth and income are fully
explained. B... | finance |
3,878 | The Bowley Ratio | q-fin.GN | The paper gives a simple algebraic description, and background justification,
for the Bowley Ratio, the relative returns to labour and capital, in a simple
economy. | finance |
3,879 | Dialectical Roots for Interest Prohibition Theory | q-fin.GN | It is argued that arguments for strict prohibition of interests must be based
on the use of arguments from authority. This is carried out by first making a
survey of so-called dialectical roots for interest prohibition and then
demonstrating that for at least one important positive interest bearing
financial product, t... | finance |
3,880 | Pricing, liquidity and the control of dynamic systems in finance and economics | q-fin.GN | The paper discusses various practical consequences of treating economics and
finance as an inherently dynamic and chaotic system. On the theoretical side
this looks at the general applicability of the market-making pricing approach
to economics in general. The paper also discuses the consequences of the
endogenous crea... | finance |
3,881 | Chaos structures. Multicurrency adviser on the basis of NSW model and social-financial nets | q-fin.GN | Algorithm of multicurrency trading at the market of Forex is realized on the
basis of nonlinear stochastic wavelets. The distinctive feature of the
algorithm is the possibility of weakly- and strongly connected horizontal
self-assemblies, as well as use of nested structures. On-line trading with
eight currency couples ... | finance |
3,882 | Revenue diversification in emerging market banks: implications for financial performance | q-fin.GN | Shaped by structural forces of change, banking in emerging markets has
recently experienced a decline in its traditional activities, leading banks to
diversify into new business strategies. This paper examines whether the
observed shift into non-interest based activities improves financial
performance. Using a sample o... | finance |
3,883 | Role of Diversification Risk in Financial Bubbles | q-fin.GN | We present an extension of the Johansen-Ledoit-Sornette (JLS) model to
include an additional pricing factor called the "Zipf factor", which describes
the diversification risk of the stock market portfolio. Keeping all the
dynamical characteristics of a bubble described in the JLS model, the new model
provides additiona... | finance |
3,884 | Finance Without Probabilistic Prior Assumptions | q-fin.GN | We develop the fundamental theorem of asset pricing in a probability-free
infinite-dimensional setup. We replace the usual assumption of a prior
probability by a certain continuity property in the state variable.
Probabilities enter then endogenously as full support martingale measures
(instead of equivalent martingale... | finance |
3,885 | Keynesian Economics After All | q-fin.GN | It is demonstrated that the US economy has on the long-term in reality been
governed by the Keynesian approach to economics independent of the current
official economical policy. This is done by calculating the two-point
correlation function between the fluctuations of the DJIA and the US public
debt. We find that the ... | finance |
3,886 | Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model | q-fin.GN | The Johansen-Ledoit-Sornette (JLS) model of rational expectation bubbles with
finite-time singular crash hazard rates has been developed to describe the
dynamics of financial bubbles and crashes. It has been applied successfully to
a large variety of financial bubbles in many different markets. Having been
developed fo... | finance |
3,887 | Detection of Crashes and Rebounds in Major Equity Markets | q-fin.GN | Financial markets are well known for their dramatic dynamics and consequences
that affect much of the world's population. Consequently, much research has
aimed at understanding, identifying and forecasting crashes and rebounds in
financial markets. The Johansen-Ledoit-Sornette (JLS) model provides an
operational framew... | finance |
3,888 | A Stable and Robust Calibration Scheme of the Log-Periodic Power Law Model | q-fin.GN | We present a simple transformation of the formulation of the log-periodic
power law formula of the Johansen-Ledoit-Sornette model of financial bubbles
that reduces it to a function of only three nonlinear parameters. The
transformation significantly decreases the complexity of the fitting procedure
and improves its sta... | finance |
3,889 | Heterogeneity, correlations and financial contagion | q-fin.GN | We consider a model of contagion in financial networks recently introduced in
the literature, and we characterize the effect of a few features empirically
observed in real networks on the stability of the system. Notably, we consider
the effect of heterogeneous degree distributions, heterogeneous balance sheet
size and... | finance |
3,890 | The efficient index hypothesis and its implications in the BSM model | q-fin.GN | This note studies the behavior of an index I_t which is assumed to be a
tradable security, to satisfy the BSM model dI_t/I_t = \mu dt + \sigma dW_t,
and to be efficient in the following sense: we do not expect a prespecified
trading strategy whose value is almost surely always nonnegative to outperform
the index greatl... | finance |
3,891 | Okun's law revisited. Is there structural unemployment in developed countries? | q-fin.GN | Okun's law for the biggest developed countries is re-estimated using the most
recent data on real GDP per capita and the rate of unemployment. Our results
show that the change in unemployment rate can be predicted with a high
accuracy. The link needs the introduction of a structural break which might be
caused by the c... | finance |
3,892 | Employment, unemployment and real economic growth | q-fin.GN | We have modeled the employment/population ratio in the largest developed
countries. Our results show that the evolution of the employment rate since
1970 can be predicted with a high accuracy by a linear dependence on the
logarithm of real GDP per capita. All empirical relationships estimated in this
study need a struc... | finance |
3,893 | Quis pendit ipsa pretia: facebook valuation and diagnostic of a bubble based on nonlinear demographic dynamics | q-fin.GN | We present a novel methodology to determine the fundamental value of firms in
the social-networking sector based on two ingredients: (i) revenues and profits
are inherently linked to its user basis through a direct channel that has no
equivalent in other sectors; (ii) the growth of the number of users can be
calibrated... | finance |
3,894 | A Modified GHG Intensity Indicator: Toward a Sustainable Global Economy based on a Carbon Border Tax and Emissions Trading | q-fin.GN | It will be difficult to gain the agreement of all the actors on any proposal
for climate change management, if universality and fairness are not considered.
In this work, a universal measure of emissions to be applied at the
international level is proposed, based on a modification of the Greenhouse Gas
Intensity (GHG-I... | finance |
3,895 | Conservative self-organized extremal model for wealth distribution | q-fin.GN | We present a detailed numerical analysis of the modified version of a
conservative self-organized extremal model introduced by Pianegonda et. al. for
the distribution of wealth of the people in a society. Here the trading process
has been modified by the stochastic bipartite trading rule. More specifically
in a trade o... | finance |
3,896 | Integration and Contagion in US Housing Markets | q-fin.GN | This paper explores integration and contagion among US metropolitan housing
markets. The analysis applies Federal Housing Finance Agency (FHFA) house price
repeat sales indexes from 384 metropolitan areas to estimate a multi-factor
model of U.S. housing market integration. It then identifies statistical jumps
in metrop... | finance |
3,897 | Entrepreneurship: what's happening? | q-fin.GN | Much has been said lately about entrepreneurship, so it seems important to
leave here some personal analysis on this topic. The issues outlined here
result from a work in about a year in which because a personal and professional
obligations it was doing some research on these issues. This is an interesting
topic that h... | finance |
3,898 | Entrepreneurship: some considerations | q-fin.GN | In this work it is presented some considerations about entrepreneurship. Most
of these questions are linked with Portuguese context. Portugal has some
particularities, namely because the asymmetries between the littoral and the
interior. This situation carried out some problems that complicate and prevent
the appearanc... | finance |
3,899 | Agglomeration and Interregional Mobility of Labor in Portugal | q-fin.GN | The aim of this paper is to analyze the relationship between inter-industry,
intra-industry and inter-regional clustering and demand for labor by companies
in Portugal. Is expected at the outset that there is more demand for work where
the agglomeration is greater. It should be noted, as a summary conclusion, the
resul... | finance |
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