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We extend in a minimal way the stylized model introduced in in "Tipping Points in Macroeconomic Agent Based Models" [JEDC 50, 29-61 (2015)], with the aim of investigating the role and efficacy of monetary policy of a `Central Bank' that sets the interest rate such as to steer the economy towards a prescribed inflation and employment level. Our major finding is that provided its policy is not too aggressive (in a sens…
Agent-based models of markets readily produce emergent instabilities, but telling a genuine collective effect apart from a parameter artefact takes discipline. We apply Bouchaud's phase-diagram method to a continuous-double-auction order-book model. The method is to map the full phase diagram, test its robustness to rule changes, and rule out degenerate and numerical origins before we call any feature a tipping point…
We present ThiopheneIV, a Black-Scholes implied-volatility solver with a monotone core and explicit production guards. The solver starts from the simple Choi-Huh-Su L3 lower-bound seed and applies three Euler-Chebyshev steps on a lower branch and three Halley steps on the remaining upper branch. We prove that, in exact arithmetic, the seed lies below the root and both maps increase monotonically without overshooting.…
Borrowed from non-equilibrium statistical mechanics, the generalized Langevin equation (GLE) is imported as a framework for stochastic volatility to address the structural limitations of fractional Brownian motion (fBm), the standard engine of rough volatility. The fBm forces a single parameter to set two logically independent properties at once: how volatility scales and how it remembers. The GLE separates them usin…
Forecasting accuracy is routinely optimised in financial prediction tasks even though investment and risk-management decisions are executed under transaction costs, market impact, capacity limits, and binding risk constraints. This paper treats forecasting as an econometric input to a constrained decision problem. A predictive distribution induces a decision rule through a utility objective combined with an explicit …
We characterise minimum-distortion wealth taxation under two contrasting normative criteria within a Fokker-Planck framework on log-wealth: the JKO free-energy gap, an information-theoretic measure aligned with the Mirrleesian decision-distortion tradition, and the squared 2-Wasserstein distance from the no-tax distribution at horizon $T$, a transport-geometric measure aligned with the Saez-Zucman distributional-comp…
This paper provides a comprehensive empirical analysis of the economics and dynamics behind arbitrages between centralized and decentralized exchanges (CEX-DEX) on Ethereum. We refine heuristics to identify arbitrage transactions from on-chain data and introduce a robust empirical framework to estimate arbitrage revenue without knowing traders' actual behaviors on CEX. Leveraging an extensive dataset spanning 19 mont…
Efficiently pricing multi-asset options poses a significant challenge in quantitative finance. Fourier methods leverage the regularity properties of the integrand in the Fourier domain to accurately and rapidly value options that typically lack regularity in the physical domain. However, most of the existing Fourier approaches face hurdles in high-dimensional settings due to the tensor product (TP) structure of the c…
In economic analysis, rational decision-makers often take actions to reduce their risk exposure. These actions include purchasing market insurance and implementing prevention measures to modify the shape of the loss distribution. Under the assumption that the insureds' actions are fully observed by the insurer, this paper investigates the interaction between self-protection and insurance demand when insurance premium…
In this paper we show how to implement in a simple way some complex real-life constraints on the portfolio optimization problem, so that it becomes amenable to quantum optimization algorithms. Specifically, first we explain how to obtain the best investment portfolio with a given target risk. This is important in order to produce portfolios with different risk profiles, as typically offered by financial institutions.…
Intra-household inequality continues to remain a neglected corner despite renewed focus on income and wealth inequality. Using the LIS micro data, we present evidence that this neglect is equivalent to ignoring up to a third of total inequality. For a wide range of countries and over four decades, we show that at least 30 per cent of total inequality is attributable to inequality within the household. Using a simple …
Automated market makers (AMMs) are a cornerstone of decentralised finance (DeFi). Constant product markets with concentrated liquidity, such as UniswapV3, are now a well-established design. In these markets, liquidity providers (LPs) face a sequential decision problem: they must decide when to rebalance their positions and which price ranges to allocate capital to as market conditions evolve. We formulate dynamic liq…
Environmental, Social, and Governance (ESG) finance is a cornerstone of modern finance and investment, as it changes the classical return-risk view of investment by incorporating an additional dimension of investment performance: the ESG score of the investment. We define the ESG price process and integrate it into an extension of Bachelier's market model in both discrete and continuous time, enabling option pricing …
Battery Energy Storage Systems (BESS) are a cornerstone of the energy transition, as their ability to shift electricity across time enables both grid stability and the integration of renewable generation. This paper investigates the profitability of different market bidding strategies for BESS in the Central European wholesale power market, focusing on the day-ahead auction and intraday trading at EPEX Spot. We emplo…
The term structure of interest rates (yield curve) is a critical facet of financial analytics, impacting various investment and risk management decisions. It is used by the central bank to conduct and monitor its monetary policy. That instrument reflects the anticipation of inflation and the risk by investors. The rates reported on yield curve are the cornerstone of valuation of all assets. To provide such tool for B…
With the good development in the financial industry, the market starts to catch people's eyes, not only by the diversified investing choices ranging from bonds and stocks to futures and options but also by the general "high-risk, high-reward" mindset prompting people to put money in the financial market. People are interested in reducing risk at a given level of return since there is no way of having both high return…
The Hunt brothers’ 1979–80 silver corner drove prices from single digits toward $50 before exchange rule changes and a margin spiral crushed the trade on Silver Thursday.
The Panic of 1792 was the first US securities-market crash, after a leveraged attempt to corner federal debt, and the first Treasury-led lender-of-last-resort operation under Hamilton.
The Panic of 1907 was a New York trust-company run after a failed copper corner, stopped by a private J.P. Morgan syndicate — the crisis that created the Federal Reserve.
The Hunt brothers’ 1979–80 silver corner drove prices from single digits toward $50 before exchange rule changes and a margin spiral crushed the trade on Silver Thursday.
The Panic of 1792 was the first US securities-market crash, after a leveraged attempt to corner federal debt, and the first Treasury-led lender-of-last-resort operation under Hamilton.
The Panic of 1907 was a New York trust-company run after a failed copper corner, stopped by a private J.P. Morgan syndicate — the crisis that created the Federal Reserve.