The continuous behavior of the numeraire portfolio under small changes in information structure, probabilistic views and investment constraints

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 depends on market characteristics, which include: (a) the information flow available to acting agents, given by a filtration; (b) the statistical evolution of the asset prices and, more generally, the states of nature, given by a probability measure; and (c) possible restrictions that acting agents might be facing on available investment strategies, modeled by a constraints set. In a financial market with continuous-path asset prices, we establish the stable behavior of the numeraire portfolio when each of the aforementioned market parameters is changed in an infinitesimal way.Comment: 16 pages; revised versio

Social economy companies in the times of crises: Entrepreneurship and survival

Purpose: The work presented in this article is a study of the strategies carried out by social economy companies in times of crisis. This article analyses the financial characteristics of the cooperative companies created in Barcelona during the crisis period 2008-2013. This study aims to compare the financial characteristics of the cooperative companies analysed with the measures carried out to maintain their profitability in times of crisis. Design/methodology: Statistical-descriptive analysis of the means and variations of the main financial indicators that are related to the measures taken by the companies of Social Economy in times of crisis. The data used have been provided by the Generalitat de Catalunya - Departament d'Empresa i Ocupació Direcció General d'Economia Social i Cooperativa i Treball Autònom for the reference period 2008-2013. Findings: The cooperative companies created in Barcelona in the period of crisis 2008-2013 have the following features: their debt remains stable with a significant improvement in quality, and they display increases in long-term debt relative to short-term debt. Regarding collection and payment periods, there is an upward trend, but a reduction is confirmed in the last year of the sample. In that year, 2013, there is a trend change in the evolution of most of the analysed economic indicators. This change coincides with improvement in the conjuncture of the capital market and the economic environment in general. Originality/value: To determine the economic and financial characteristics of the cooperative companies created in the period of crisis 2008-2013 with the aim of guiding the social entrepreneurs of the future.Peer Reviewe

The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows

In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules. Agents are assumed to have three components to the expectation of future asset returns, namely-fundamentalist, chartist and noise trader. Furthermore agents differ in the characteristics describing these components, such as time horizon, risk aversion and the weights given to the various components. The model developed here extends a great deal of earlier literature in that the order submissions of agents are determined by utility maximisation, rather than the mechanical unit order size that is commonly assumed. In this way the order flow is better related to the ongoing evolution of the market. For the given market structure we analyze the impact of the three components of the trading strategies on the statistical properties of prices and order flows and observe that it is the chartist strategy that is mainly responsible of the fat tails and clustering in the artificial price data generated by the model. The paper provides further evidence that large price changes are likely to be generated by the presence of large gaps in the book

Sociophysics Analysis of Multi-Group Conflicts

© 2020 by the authors. We present our research on the application of statistical physics techniques to multi-group social conflicts. We identify real conflict situations of which the characteristics correspond to the model. We offer realistic assumptions about conflict behaviors that get factored into model-generated scenarios. The scenarios can inform conflict research and strategies for conflict management. We discuss model applications to two-and three-group conflicts. We identify chaotic time evolution of mean attitudes and the occurrence of strange attractors. We examine the role that the range of interactions plays with respect to the occurrence of chaotic behavior

A Bayesian approach to the modelling of alpha Cen A

Determining the physical characteristics of a star is an inverse problem consisting in estimating the parameters of models for the stellar structure and evolution, knowing certain observable quantities. We use a Bayesian approach to solve this problem for alpha Cen A, which allows us to incorporate prior information on the parameters to be estimated, in order to better constrain the problem. Our strategy is based on the use of a Markov Chain Monte Carlo (MCMC) algorithm to estimate the posterior probability densities of the stellar parameters: mass, age, initial chemical composition,... We use the stellar evolutionary code ASTEC to model the star. To constrain this model both seismic and non-seismic observations were considered. Several different strategies were tested to fit these values, either using two or five free parameters in ASTEC. We are thus able to show evidence that MCMC methods become efficient with respect to more classical grid-based strategies when the number of parameters increases. The results of our MCMC algorithm allow us to derive estimates for the stellar parameters and robust uncertainties thanks to the statistical analysis of the posterior probability densities. We are also able to compute odds for the presence of a convective core in alpha Cen A. When using core-sensitive seismic observational constraints, these can raise above ~40%. The comparison of results to previous studies also indicates that these seismic constraints are of critical importance for our knowledge of the structure of this star.Comment: 21 pages, 6 figures, to be published in MNRA

Strategies used as spectroscopy of financial markets reveal new stylized facts

We propose a new set of stylized facts quantifying the structure of financial markets. The key idea is to study the combined structure of both investment strategies and prices in order to open a qualitatively new level of understanding of financial and economic markets. We study the detailed order flow on the Shenzhen Stock Exchange of China for the whole year of 2003. This enormous dataset allows us to compare (i) a closed national market (A-shares) with an international market (B-shares), (ii) individuals and institutions and (iii) real investors to random strategies with respect to timing that share otherwise all other characteristics. We find that more trading results in smaller net return due to trading frictions. We unveiled quantitative power laws with non-trivial exponents, that quantify the deterioration of performance with frequency and with holding period of the strategies used by investors. Random strategies are found to perform much better than real ones, both for winners and losers. Surprising large arbitrage opportunities exist, especially when using zero-intelligence strategies. This is a diagnostic of possible inefficiencies of these financial markets.Comment: 13 pages including 5 figures and 1 tabl

Multiple Signaling Functions Of Song In A Polymorphic Species With Alternative Reproductive Strategies

Vocal traits can be sexually selected to reflect male quality, but may also evolve to serve additional signaling functions. We used a long-term dataset to examine the signaling potential of song in dimorphic white-throated sparrows (Zonotrichia albicollis). We investigated whether song conveys multifaceted information about the vocalizing individual, including fitness, species identity, individual identity, and morph. We also evaluated whether song traits correlate differently with fitness in the two morphs, as the more promiscuous strategy of white, relative to tan, morph males might impose stronger sexual selection. Males with high song rates achieved higher lifetime reproductive success, and this pattern was driven by white morph males. In addition, males that sang songs with many notes survived longer, but this pattern was less robust. Thus, song traits reflect differences in fitness and may more strongly affect fitness in the white morph. Song frequency was unrelated to fitness, body size, or morph, but was individual specific and could signal individual identity. Songs of the two morphs displayed similar frequency ratios and bandwidths. However, tan morph males sang songs with longer first notes, fewer notes, and higher variability. Thus, song could be used in morph discrimination. Variation in frequency ratios between notes was low and could function in conspecific recognition, but pitch change dynamics did differ between four different song types observed. Our results support a multiple messages model for white-throated sparrow song, in which different song traits communicate discrete information about the vocalizing individual