arXiv · arXiv q-fin · 2017
Financial system being the place of metting capital flows (equality between saving and investment), a volatility of capital flows can destroy the robustness and good working of financial system, it means subvert financial stability. The same a weak financial system, few regulated and bad manage can exacerbate volatility of capital flows and finely undermine financial stability. The present study provides evidence on …
Christian Pinshi
arXiv · arXiv q-fin · 2013
A technique from stochastic portfolio theory [Fernholz, 1998] is applied to analyse equity returns of Small, Mid and Large cap portfolios in an emerging market through periods of growth and regional crises, up to the onset of the global financial crisis. In particular, we factorize portfolios in the South African market in terms of distribution of capital, change of stock ranks in portfolios, and the effect due to di…
Diane Wilcox, Tim Gebbie
arXiv · arXiv q-fin · 2025
This paper analyzes the intersection of presidential authority and cryptocurrency markets during Donald J. Trump's second term (2025-2029). We examine developments from 2024 through October 2025, focusing on how executive influence, family business ventures, and digital assets became intertwined in ways that blurred boundaries between public office and private profit. Using a mixed-methods approach that combines quan…
Habib Badawi
arXiv · arXiv q-fin · 2013
In agreement with the recent research findings in the econophysics, we propose that the nonlinear dynamic chaos can be generated by the turbulent capital flows in both the quantitative easing transmission channels and the transaction networks channels, when there are the laminar turbulent capital flows transitions in the financial system. We demonstrate that the capital flows in both the quantitative easing transmiss…
Dimitri O. Ledenyov, Viktor O. Ledenyov
arXiv · arXiv q-fin · 1999
A model of open economics composed of producers and speculators is investigated by numerical simulations. The capital flows from the environment to the producers and from them to the speculators. The price fluctuations are suppressed by the speculators. When the aggressivity of the speculators grows, there is a transition from the regime with almost sure profit to a very risky regime in which very small fraction of s…
Frantisek Slanina, Yi-Cheng Zhang
arXiv · arXiv q-fin · 2017
International trade fluxes evolve as countries revise their portfolios of trade products towards economic development. Accordingly products' shares in international trade vary with time, reflecting the transfer of capital between distinct industrial sectors. Here we analyze the share of hundreds of product categories in world trade for four decades and find a scaling law obeyed by the annual variation of product shar…
Matthieu Barbier, D. -S. Lee
OpenAlex · National Bureau of Economic Research · 2007 · cites 233
We study the nature of sovereign credit risk using an extensive sample of CDS spreads for 26 developed and emerging-market countries.Sovereign credit spreads are surprisingly highly correlated, with just three principal components accounting for more than 50 percent of their variation.Sovereign credit spreads are generally more related to the U.S. stock and high-yield bond markets, global risk premia, and capital flo…
Francis A. Longstaff, Jun Pan, Lasse Heje Pedersen, Kenneth J. Singleton
arXiv · arXiv q-fin · 2025
Cryptocurrency trading is a challenging task requiring the integration of heterogeneous data from multiple modalities. Traditional deep learning and reinforcement learning approaches typically demand large training datasets and encode diverse inputs into numerical representations, often at the cost of interpretability. Recent progress in large language model (LLM)-based agents has demonstrated the capacity to process…
Siyi Wu, Junqiao Wang, Zhaoyang Guan, Leyi Zhao, Xinyuan Song
arXiv · arXiv q-fin · 2008
We present a new method for articulating scale-dependent topological descriptions of the network structure inherent in many complex systems. The technique is based on "Partition Decoupled Null Models,'' a new class of null models that incorporate the interaction of clustered partitions into a random model and generalize the Gaussian ensemble. As an application we analyze a correlation matrix derived from four years o…
Greg Leibon, Scott D. Pauls, Daniel N. Rockmore, Robert Savell
arXiv · arXiv · 2024
This article examines how emerging economies use countercyclical monetary policies to manage economic crises and fluctuations in dominant currencies, such as the US dollar and the euro. Global economic cycles are marked by phases of expansion and recession, often exacerbated by major financial crises. These crises, such as those of 1997, 2008 and the disruption caused by the COVID-19 pandemic, have a particular impac…
Hugo Spring-Ragain
OpenAlex · The Journal of Finance · 1996 · cites 2072
ABSTRACT This article examines the optimal capital structure of a firm that can choose both the amount and maturity of its debt. Bankruptcy is determined endogenously rather than by the imposition of a positive net worth condition or by a cash flow constraint. The results extend Leland's (1994a) closed‐form results to a much richer class of possible debt structures and permit study of the optimal maturity of debt as …
Hayne E. Leland, Klaus Bjerre Toft
arXiv · arXiv · 2026
We present SAiFE_gym, a Python module that provides a collection of simulation environments for studying trading problems in Constant Product Markets (CPMs) with Concentrated Liquidity (CL). These markets give Liquidity Providers (LPs) granular control over how their capital is allocated and enable them to adjust their range of liquidity provision dynamically based on market conditions, which in turn, dictates how th…
Georgios Chionas, Charalampos Kleitsikas, Stefanos Leonardos, Leandro Sánchez-Betancourt, Carmine Ventre
arXiv · arXiv · 2025
Modern economic systems face unprecedented socioeconomic challenges, making systemic resilience and effective liquidity flow management essential. Traditional models such as CAPM, VaR, and GARCH often fail to reflect real market fluctuations and extreme events. This study develops and validates an innovative mathematical model based on the Navier-Stokes equations, aimed at the quantitative assessment, forecasting, an…
Davit Gondauri
arXiv · arXiv · 2024
The Capital Asset Pricing Model (CAPM) relates a well-diversified stock portfolio to a benchmark portfolio. We insert size effect in the CAPM, capturing the observation that small stocks have higher risk and return than large stocks, on average. Our goal is to make the resulting linear regressions have independent identically distributed Gaussian residuals. In some cases, we find that including the Volatility Index a…
Abraham Atsiwo, Andrey Sarantsev
arXiv · arXiv · 2024
The Proof of Efficient Liquidity (PoEL) protocol, designed for specialised Proof of Stake (PoS) consensus-based blockchains that incorporate intrinsic DeFi applications, aims to support sustainable liquidity bootstrapping and network security. This concept seeks to efficiently utilise budgeted staking rewards to attract and sustain liquidity through a risk-structuring engine and incentive allocation strategy, both of…
Arman Abgaryan, Utkarsh Sharma, Joshua Tobkin
arXiv · arXiv · 2023
This paper presents an empirical analysis of the capital asset pricing model using trading data for the Chinese A-share market from 2000 to 2019. Firstly, the standard CAPM is tested using a Fama-MacBetch regression and although the results successfully test the three core hypotheses, the resulting beta risk does not have a significant impact on returns. Secondly, the Fama-French three-factor model, which uses a comb…
Kai Ren
arXiv · arXiv · 2016
In this work we investigate tick-by-tick data provided by the TRTH database for several stocks on three different exchanges (Paris - Euronext, London and Frankfurt - Deutsche Börse) and on a 5-year span. We use a simple algorithm that helps the synchronization of the trades and quotes data sources, providing enhancements to the basic procedure that, depending on the time period and the exchange, are shown to be signi…
Ioane Muni Toke
arXiv · arXiv · 2013
The principal portfolios of the standard Capital Asset Pricing Model (CAPM) are analyzed and found to have remarkable hedging and leveraging properties. Principal portfolios implement a recasting of any correlated asset set of N risky securities into an equivalent but uncorrelated set when short sales are allowed. While a determination of principal portfolios in general requires a detailed knowledge of the covariance…
M. Hossein Partovi