There are some statistical anomalies in the Chinese stock market, i.e., positive return skewness, anti-leverage effect (positive returns induce higher volatility than negative returns); and reverse volatility asymmetry (contemporaneous return-volatility correlation is positive). In this paper, we first confirm the existence of these anomalies using daily firm-level stock return data on the raw returns, excess returns and normalized excess returns. We empirically show that the asymmetry response of investors to news is one cause of the statistical anomalies if short sales are constrained. Then in the context of slow adoption of security lending policy, we conduct panel analysis and empirically verify that the lifting of short sale constraints leads to significantly less skewness, less anti-leverage effect and less reverse volatility asymmetry. Positive skewness is a feature of lottery. Investors are encouraged to bet on the upside lottery like potentials in the Chinese markets where the stocks skew more to the upside when short sales are constrained.
{"title":"Positive Skewness, Anti-Leverage, Reverse Volatility Asymmetry, and Short Sale Constraints: Evidence from the Chinese Markets","authors":"Liang Wu, Jingyi Luo, Yingkai Tang, Gregory Bardes","doi":"10.2139/SSRN.2690988","DOIUrl":"https://doi.org/10.2139/SSRN.2690988","url":null,"abstract":"There are some statistical anomalies in the Chinese stock market, i.e., positive return skewness, anti-leverage effect (positive returns induce higher volatility than negative returns); and reverse volatility asymmetry (contemporaneous return-volatility correlation is positive). In this paper, we first confirm the existence of these anomalies using daily firm-level stock return data on the raw returns, excess returns and normalized excess returns. We empirically show that the asymmetry response of investors to news is one cause of the statistical anomalies if short sales are constrained. Then in the context of slow adoption of security lending policy, we conduct panel analysis and empirically verify that the lifting of short sale constraints leads to significantly less skewness, less anti-leverage effect and less reverse volatility asymmetry. Positive skewness is a feature of lottery. Investors are encouraged to bet on the upside lottery like potentials in the Chinese markets where the stocks skew more to the upside when short sales are constrained.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116793651","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2015-09-19DOI: 10.13140/RG.2.1.3318.0642
Valery Vilisov
Here we shall consider a very popular practical applied problem of managing mode switching (in this work we are considering managing billing plans). Out of the two parties (service provider and service consumer), participating in the processes modelled here, we shall consider only a consumer type of a problem. Herein we provide formal characterization of the problem as well as the elements necessary for its solution. We shall consider full predicted costs, originating when switching to a billing plan as a target index. The work contains an example that provides a detailed view of the application technology referring to the suggested problem solution algorithm. Using the example's data we have performed the analysis measuring the problem's sensitivity in relation to the growth of the traffic volume. Herein we provided a polynomial approximation of the target index value depending on the traffic volume.
{"title":"Managing Cellular Billing Plan Switchings","authors":"Valery Vilisov","doi":"10.13140/RG.2.1.3318.0642","DOIUrl":"https://doi.org/10.13140/RG.2.1.3318.0642","url":null,"abstract":"Here we shall consider a very popular practical applied problem of managing mode switching (in this work we are considering managing billing plans). Out of the two parties (service provider and service consumer), participating in the processes modelled here, we shall consider only a consumer type of a problem. Herein we provide formal characterization of the problem as well as the elements necessary for its solution. We shall consider full predicted costs, originating when switching to a billing plan as a target index. The work contains an example that provides a detailed view of the application technology referring to the suggested problem solution algorithm. Using the example's data we have performed the analysis measuring the problem's sensitivity in relation to the growth of the traffic volume. Herein we provided a polynomial approximation of the target index value depending on the traffic volume.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131622563","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2015-01-23DOI: 10.1007/978-3-319-23947-7_11
Leonardo Bargigli, Giovanni di Iasio, L. Infante, F. Lillo, F. Pierobon
{"title":"Interbank Markets and Multiplex Networks: Centrality Measures and Statistical Null Models","authors":"Leonardo Bargigli, Giovanni di Iasio, L. Infante, F. Lillo, F. Pierobon","doi":"10.1007/978-3-319-23947-7_11","DOIUrl":"https://doi.org/10.1007/978-3-319-23947-7_11","url":null,"abstract":"","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123680010","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2015-01-10DOI: 10.9734/BJEMT/2015/14001
Angus O. Unegbu, Augustine Okanlawon
Kurdistan Region is a tourist hub. This research analyzes other Non-Oil Sectors that have huge attractions of Foreign Direct Investments into the Kurdistan Region from 2005 to 2013. Comparative analysis was carried out between Iraq and the Region, and among influential Sectors of the Economy. T-test and ANOVA are statistical tools employed in testing the research hypotheses. The research identify that there exist significant Foreign Direct Investment inflows across the governorates in the region and among influential sectors of the Economy. The research also highlighted areas of high level of investment needs, sectors that have been crowded out and business opportunities in the region that requires huge Foreign Direct Investments. It is recommended that the Regional Kurdistan Government should embark on fiscal Cashless policies in order to stimulate further spill-off effects of attracting enormous Non-Oil Sectors of Foreign Direct Investments into the region.
{"title":"Direct Foreign Investment in Kurdistan Region of Middle-East: Non-Oil Sector Analysis","authors":"Angus O. Unegbu, Augustine Okanlawon","doi":"10.9734/BJEMT/2015/14001","DOIUrl":"https://doi.org/10.9734/BJEMT/2015/14001","url":null,"abstract":"Kurdistan Region is a tourist hub. This research analyzes other Non-Oil Sectors that have huge attractions of Foreign Direct Investments into the Kurdistan Region from 2005 to 2013. Comparative analysis was carried out between Iraq and the Region, and among influential Sectors of the Economy. T-test and ANOVA are statistical tools employed in testing the research hypotheses. The research identify that there exist significant Foreign Direct Investment inflows across the governorates in the region and among influential sectors of the Economy. The research also highlighted areas of high level of investment needs, sectors that have been crowded out and business opportunities in the region that requires huge Foreign Direct Investments. It is recommended that the Regional Kurdistan Government should embark on fiscal Cashless policies in order to stimulate further spill-off effects of attracting enormous Non-Oil Sectors of Foreign Direct Investments into the region.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-01-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121902409","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2014-09-01DOI: 10.24425/CEJEME.2014.119241
Sascha Hokamp, G. Seibold
We calculate the dynamics of tax evasion within a multi-agent econophysics model which is adopted from the theory of magnetism and previously has been shown to capture the main characteristics from agent-based based models which build on the standard Allingham and Sandmo approach. In particular, we implement a feedback of public goods provision on the decision-making of selfish agents which aim to pursue their self interest. Our results imply that such a feedback enhances the moral attitude of selfish agents thus reducing the percentage of tax evasion. Two parameters govern the behavior of selfish agents, (i) the rate of adaption to changes in public goods provision and (ii) the threshold of perception of public goods provision. Furtheron we analyze the tax evasion dynamics for different agent co mpositions and under the feedback of public goods provision. We conclude that policymakers may enhance tax compliance behavior via the threshold of perception by means of targeted public relations.
{"title":"Tax Compliance and Public Goods Provision -- An Agent-based Econophysics Approach","authors":"Sascha Hokamp, G. Seibold","doi":"10.24425/CEJEME.2014.119241","DOIUrl":"https://doi.org/10.24425/CEJEME.2014.119241","url":null,"abstract":"We calculate the dynamics of tax evasion within a multi-agent econophysics model which is adopted from the theory of magnetism and previously has been shown to capture the main characteristics from agent-based based models which build on the standard Allingham and Sandmo approach. In particular, we implement a feedback of public goods provision on the decision-making of selfish agents which aim to pursue their self interest. Our results imply that such a feedback enhances the moral attitude of selfish agents thus reducing the percentage of tax evasion. Two parameters govern the behavior of selfish agents, (i) the rate of adaption to changes in public goods provision and (ii) the threshold of perception of public goods provision. Furtheron we analyze the tax evasion dynamics for different agent co mpositions and under the feedback of public goods provision. We conclude that policymakers may enhance tax compliance behavior via the threshold of perception by means of targeted public relations.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121829938","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In the current era of worldwide stock market interdependencies, the global financial village has become increasingly vulnerable to systemic collapse. The recent global financial crisis has highlighted the necessity of understanding and quantifying interdependencies among the world's economies, developing new effective approaches to risk evaluation, and providing mitigating solutions. We present a methodological framework for quantifying interdependencies in the global market and for evaluating risk levels in the world-wide financial network. The resulting information will enable policy and decision makers to better measure, understand, and maintain financial stability. We use the methodology to rank the economic importance of each industry and country according to the global damage that would result from their failure. Our quantitative results shed new light on China's increasing economic dominance over other economies, including that of the USA, to the global economy.
{"title":"Ranking the Economic Importance of Countries and Industries","authors":"Wei Li, D. Kenett, K. Yamasaki, Eugene Stanley","doi":"10.21314/JNTF.2017.031","DOIUrl":"https://doi.org/10.21314/JNTF.2017.031","url":null,"abstract":"In the current era of worldwide stock market interdependencies, the global financial village has become increasingly vulnerable to systemic collapse. The recent global financial crisis has highlighted the necessity of understanding and quantifying interdependencies among the world's economies, developing new effective approaches to risk evaluation, and providing mitigating solutions. We present a methodological framework for quantifying interdependencies in the global market and for evaluating risk levels in the world-wide financial network. The resulting information will enable policy and decision makers to better measure, understand, and maintain financial stability. We use the methodology to rank the economic importance of each industry and country according to the global damage that would result from their failure. Our quantitative results shed new light on China's increasing economic dominance over other economies, including that of the USA, to the global economy.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"334 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-08-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123315091","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2014-07-25DOI: 10.1142/S0129183114410083
B. Boghosian
The so-called "Yard-Sale Model" of wealth distribution posits that wealth is transferred between economic agents as a result of transactions whose size is proportional to the wealth of the less wealthy agent. In recent work [B.M. Boghosian, "Kinetics of Wealth and the Pareto Law," {it Phys. Rev. E} {bf 89} (2014) 042804], it was shown that this results in a Fokker-Planck equation governing the distribution of wealth. With the addition of a mechanism for wealth redistribution, it was further shown that this model results in stationary wealth distributions that are very similar in form to Pareto's well known law. In this paper, a much simpler derivation of that Fokker-Planck equation is presented.
{"title":"Fokker-Planck Description of Wealth Dynamics and the Origin of Pareto's Law","authors":"B. Boghosian","doi":"10.1142/S0129183114410083","DOIUrl":"https://doi.org/10.1142/S0129183114410083","url":null,"abstract":"The so-called \"Yard-Sale Model\" of wealth distribution posits that wealth is transferred between economic agents as a result of transactions whose size is proportional to the wealth of the less wealthy agent. In recent work [B.M. Boghosian, \"Kinetics of Wealth and the Pareto Law,\" {it Phys. Rev. E} {bf 89} (2014) 042804], it was shown that this results in a Fokker-Planck equation governing the distribution of wealth. With the addition of a mechanism for wealth redistribution, it was further shown that this model results in stationary wealth distributions that are very similar in form to Pareto's well known law. In this paper, a much simpler derivation of that Fokker-Planck equation is presented.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126012749","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2014-05-14DOI: 10.11648/J.AJMP.20140303.13
E. Oltean, F. Kusmartsev
Most papers which explored so far macroeconomic variables took into account income and wealth. Equally important as the previous macroeconomic variables is the expenditure or consumption, which shows the amount of goods and services that a person or a household purchased. Using statistical distributions from Physics, such as Fermi-Dirac and polynomial distributions, we try to fit the data regarding the expenditure distribution divided in deciles of population according to their income (gross and disposable expenditure are taken into account). Using coefficient of determination as theoretical tool in order to assess the degree of success for these distributions, we find that both distributions are really robust in describing the expenditure distribution, regardless the data set or the methodology used to calculate the expenditure values for the deciles of income. This is the first paper to our knowledge which tackles expenditure, especially using a method to describe expenditure such as lower limit on expenditure. This is also relevant since it allows the approach of macroeconomic systems using more variables characterizing their activity, can help in the investigation of living standards and inequality, and points to more theoretical explorations which can be very useful for the Economics and business practice.
{"title":"A statistical physics analysis of expenditure in the UK","authors":"E. Oltean, F. Kusmartsev","doi":"10.11648/J.AJMP.20140303.13","DOIUrl":"https://doi.org/10.11648/J.AJMP.20140303.13","url":null,"abstract":"Most papers which explored so far macroeconomic variables took into account income and wealth. Equally important as the previous macroeconomic variables is the expenditure or consumption, which shows the amount of goods and services that a person or a household purchased. Using statistical distributions from Physics, such as Fermi-Dirac and polynomial distributions, we try to fit the data regarding the expenditure distribution divided in deciles of population according to their income (gross and disposable expenditure are taken into account). Using coefficient of determination as theoretical tool in order to assess the degree of success for these distributions, we find that both distributions are really robust in describing the expenditure distribution, regardless the data set or the methodology used to calculate the expenditure values for the deciles of income. This is the first paper to our knowledge which tackles expenditure, especially using a method to describe expenditure such as lower limit on expenditure. This is also relevant since it allows the approach of macroeconomic systems using more variables characterizing their activity, can help in the investigation of living standards and inequality, and points to more theoretical explorations which can be very useful for the Economics and business practice.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125979701","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2014-05-13DOI: 10.11648/J.AJPA.20140203.11
E. Oltean, F. Kusmartsev
We extend the exploration regarding dynamical approach of macroeconomic variables by tackling systematically expenditure using Statistical Physics models (for the first time to the best of our knowledge). Also, using polynomial distribution which characterizes the behavior of dynamical systems in certain situations, we extend also our analysis to mean income data from the UK that span for a time interval of 35 years. We find that most of the values for coefficient of determination obtained from fitting the data from consecutive years analysis to be above 80%. We used for our analysis first degree polynomial, but higher degree polynomials and longer time intervals between the years considered can dramatically increase goodness of the fit. As this methodology was applied successfully to income and wealth, we can conclude that macroeconomic systems can be treated similarly to dynamic systems from Physics. Subsequently, the analysis could be extended to other macroeconomic indicators.
{"title":"An Econophysical dynamical approach of expenditure and income distribution in the UK","authors":"E. Oltean, F. Kusmartsev","doi":"10.11648/J.AJPA.20140203.11","DOIUrl":"https://doi.org/10.11648/J.AJPA.20140203.11","url":null,"abstract":"We extend the exploration regarding dynamical approach of macroeconomic variables by tackling systematically expenditure using Statistical Physics models (for the first time to the best of our knowledge). Also, using polynomial distribution which characterizes the behavior of dynamical systems in certain situations, we extend also our analysis to mean income data from the UK that span for a time interval of 35 years. We find that most of the values for coefficient of determination obtained from fitting the data from consecutive years analysis to be above 80%. We used for our analysis first degree polynomial, but higher degree polynomials and longer time intervals between the years considered can dramatically increase goodness of the fit. As this methodology was applied successfully to income and wealth, we can conclude that macroeconomic systems can be treated similarly to dynamic systems from Physics. Subsequently, the analysis could be extended to other macroeconomic indicators.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126570196","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2014-04-08DOI: 10.11648/J.AJMP.20140302.18
E. Oltean
Polynomial distribution can be applied to dynamical systems in certain situations. Macroeconomic systems characterized by economic variables such as income and wealth can be modelled similarly using polynomials. We extend our previous work to data regarding income from a more diversified pool of countries, which contains developed countries with high income, developed countries with middle income, developing and underdeveloped countries. Also, for the first time we look at the applicability of polynomial distribution to expenditure (consumption). Using cumulative distribution function, we found that polynomials are applicable with a high degree of success to the distribution of income to all countries considered without significant differences. Moreover, expenditure data can be fitted very well by this polynomial distribution. We considered a distribution to be robust if the values for coefficient of determination are higher than 90%. Using this criterion, we decided the degree for the polynomials used in our analysis by trying to minimize the number of coefficients, respectively first or second degree. Lastly, we look at possible correlation between the values from coefficient of determination and Gini coefficient for disposable income.
{"title":"An econophysical approach of polynomial distribution applied to income and expenditure","authors":"E. Oltean","doi":"10.11648/J.AJMP.20140302.18","DOIUrl":"https://doi.org/10.11648/J.AJMP.20140302.18","url":null,"abstract":"Polynomial distribution can be applied to dynamical systems in certain situations. Macroeconomic systems characterized by economic variables such as income and wealth can be modelled similarly using polynomials. We extend our previous work to data regarding income from a more diversified pool of countries, which contains developed countries with high income, developed countries with middle income, developing and underdeveloped countries. Also, for the first time we look at the applicability of polynomial distribution to expenditure (consumption). Using cumulative distribution function, we found that polynomials are applicable with a high degree of success to the distribution of income to all countries considered without significant differences. Moreover, expenditure data can be fitted very well by this polynomial distribution. We considered a distribution to be robust if the values for coefficient of determination are higher than 90%. Using this criterion, we decided the degree for the polynomials used in our analysis by trying to minimize the number of coefficients, respectively first or second degree. Lastly, we look at possible correlation between the values from coefficient of determination and Gini coefficient for disposable income.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"226 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123260384","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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