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Found 5 papers, 1 papers with code
MicroVelocity: rethinking the Velocity of Money for digital currencies
We propose a novel framework to analyse the velocity of money in terms of the contribution (MicroVelocity) of each individual agent, and to uncover the distributional determinants of aggregate velocity.
On the equivalence between the Kinetic Ising Model and discrete autoregressive processes
Binary random variables are the building blocks used to describe a large variety of systems, from magnetic spins to financial time series and neuron activity.
Statistical Mechanics Econometrics Data Analysis, Statistics and Probability
Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model
A common issue when analyzing real-world complex systems is that the interactions between the elements often change over time: this makes it difficult to find optimal models that describe this evolution and that can be estimated from data, particularly when the driving mechanisms are not known.
Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages
Identifying risk spillovers in financial markets is of great importance for assessing systemic risk and portfolio management.
Unveiling the relation between herding and liquidity with trader lead-lag networks
We propose a method to infer lead-lag networks of traders from the observation of their trade record as well as to reconstruct their state of supply and demand when they do not trade.
