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From Finance to Cosmology: The Copula of Large-Scale Structure
cosmology large-scale structure of universe — galaxies clusters
2010/11/2
Any multivariate distribution can be uniquely decomposed into marginal (1-point) distributions,
and a function called the copula, which contains all of the information on correlations between the dis...
The continuous behavior of the numeraire portfolio under small changes in information structure, probabilistic views and investment constraints
continuous behavior numeraire portfolio small changes information structure probabilistic views investment constraints
2010/12/17
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numeraire portfolio de...
Financial Structure, Development of Small and Medium Enterprises, and Income Distribution in the People’s Republic of China
Financial Structure Medium Enterprises Income Distribution
2009/9/1
Since the 1980s, income disparity has increased significantly in the People’s
Republic of China, largely as a result of widening urban–rural income gaps.
The urban–rural inequality stems from the du...
Trade Structure and the Transmission of Economic Distress in the High-Income OECD Countries to Developing Asia
OECD Asia Economic
2009/9/1
This paper examines the structure and direction of developing Asia’s trade
over the past two decades. The impacts of economic slowdown in highincome
Organisation for Economic Co-operation and Develo...
Corporate Management Structure of Large Malaysian Construction Companies
Corporate Management Structure Large Malaysian Construction Companies
2010/10/18
The aim of this study is to explore the parent company of large construction companies
managing their local subsidiaries in Malaysia. The research is based on a set of questionnaire
survey that was ...
Global Financial Structure and Climate Change
global warming area of insurance major financial
2011/4/2
This paper analyzes the medium to long-term implications of global warming for the evolution of global financial structures. Stern (2007) and other related scientific literature reports that greenhous...
Analysis of the Marketing Structure of the Dairy Industry in the Trakya Region and the Determination of Emerging Issues with Multidimensional Scaling
Milk milk processors dairy industry marketing multidimensional scaling
2009/1/13
The purpose of this paper is to examine the marketing structure of milk processors, factors influencing production and problems faced by firms following recent economic conditions in the Trakya region...
Temporal structure and gain/loss asymmetry for real and artificial stock indices
Temporal structure gain/loss asymmetry mutual information
2010/11/1
We demonstrate that the gain/loss asymmetry observed for stock indices vanishes if the temporal dependence structure is destroyed by scrambling the time series. We also show that an artificial index c...
Analysis of a network structure of the foreign currency exchange market
Foreign exchange market Correlation matrix Networks Minimal Spanning Tree
2010/11/1
We analyze structure of the world foreign currency exchange (FX) market viewed as a network of interacting currencies. We analyze daily time series of FX data for a set of 63 currencies, including gol...
On the valuation of compositions in Lévy term structure models
Time-inhomogeneous L´ evy process forward rate model forward price model option on composition Fourier transform
2010/10/29
We derive explicit valuation formulae for an exotic pathdependent interest rate derivative, namely an option on the composition of LIBOR rates. The formulae are based on Fourier transform methods for ...
Hidden Noise Structure and Random Matrix Models of Stock Correlations
Hidden Noise Structure Random Matrix Models Stock Correlations
2010/11/2
We find a novel correlation structure in the residual noise of stock market returns that is remarkably linked to the composition and stability of the top few significant factors driving the returns, a...
Structure and evolution of the foreign exchange networks
Structure evolution foreign exchange networks
2010/10/29
We investigate topology and temporal evolution of the foreign currency exchange market viewed from a weighted network perspective. Based on exchange rates for a set of 46 currencies (including preciou...
Visualizing a large-scale structure of production network by N-body simulation
scale structure N-body simulation
2010/10/29
Our recent study of a nation-wide production network uncovered a community structure,
namely how rms are connected by supplier-customer links into tightly-knit groups with
high density in intra-gro...
Structure and temporal change of the credit network between banks and large firms in Japan
Banking Credit topology Bipartite network Systemic risk
2010/10/29
We present a new approach to understanding credit relationships between commercial banks and quoted firms, and with this approach examine the temporal change in the structure of the Japanese credit ne...
Fractional term structure models: No-arbitrage and consistency
Fractional term structure models No-arbitrage consistency
2010/12/13
In this work we introduce Heath-Jarrow-Morton (HJM) interest rate models driven by fractional Brownian motions. By using support arguments we prove that the resulting model is arbitrage free under pro...