ترغب بنشر مسار تعليمي؟ اضغط هنا

Government intervention modeling in microeconomic company market evolution

81   0   0.0 ( 0 )
 نشر من قبل Micha{\\l} Chorowski BSc
 تاريخ النشر 2020
  مجال البحث مالية فيزياء
والبحث باللغة English




اسأل ChatGPT حول البحث

Modern technology and innovations are becoming more crucial than ever for the survival of companies in the market. Therefore, it is significant both from theoretical and practical points of view to understand how governments can influence technology growth and innovation diffusion (TGID) processes. We propose a simple but essential extension of Ausloos-Clippe-Pc{e}kalski and related Cichy numerical models of the TGID in the market. Both models are inspired by the nonlinear non-equilibrium statistical physics. Our extension involves a parameter describing the probability of government intervention in the TGID process in the company market. We show, using Monte Carlo simulations, the effects interventionism can have on the companies market, depending on the segment of firms that are supported. The high intervention probability can result, paradoxically, in the destabilization of the market development. It lowers the markets technology level in the long-time limit compared to markets with a lower intervention parameter. We found that the intervention in the technologically weak and strong segments of the company market does not substantially influence the market dynamics, compared to the intervention helping the middle-level companies. However, this is still a simple model which can be extended further and made more realistic by including other factors. Namely, the cost and risk of innovation or limited government resources and capabilities to support companies.



قيم البحث

اقرأ أيضاً

We address the problem of optimal Central Bank intervention in the exchange rate market when interventions create feedback in the rate dynamics. In particular, we extend the work done on optimal impulse control by Cadenillas and Zapatero to incorpora te temporary market reactions, of random duration and level, to Bank interventions, and to establish results for more general rate processes. We obtain new explicit optimal impulse control strategies that account for these market reactions, and show that they cannot be obtained simply by adjusting the intervention cost in a model without market reactions.
202 - Sorin Solomon , Natasa Golo 2014
Masanao Aoki developed a new methodology for a basic problem of economics: deducing rigorously the macroeconomic dynamics as emerging from the interactions of many individual agents. This includes deduction of the fractal / intermittent fluctuations of macroeconomic quantities from the granularity of the mezo-economic collective objects (large individual wealth, highly productive geographical locations, emergent technologies, emergent economic sectors) in which the micro-economic agents self-organize. In particular, we present some theoretical predictions, which also met extensive validation from empirical data in a wide range of systems: - The fractal Levy exponent of the stock market index fluctuations equals the Pareto exponent of the investors wealth distribution. The origin of the macroeconomic dynamics is therefore found in the granularity induced by the wealth / capital of the wealthiest investors. - Economic cycles consist of a Schumpeter creative destruction pattern whereby the maxima are cusp-shaped while the minima are smooth. In between the cusps, the cycle consists of the sum of 2 crossing exponentials: one decaying and the other increasing. This unification within the same theoretical framework of short term market fluctuations and long term economic cycles offers the perspective of a genuine conceptual synthesis between micro- and macroeconomics. Joining another giant of contemporary science - Phil Anderson - Aoki emphasized the role of rare, large fluctuations in the emergence of macroeconomic phenomena out of microscopic interactions and in particular their non self-averaging, in the language of statistical physics. In this light, we present a simple stochastic multi-sector growth model.
The aim of this study is to investigate quantitatively whether share prices deviated from company fundamentals in the stock market crash of 2008. For this purpose, we use a large database containing the balance sheets and share prices of 7,796 worldw ide companies for the period 2004 through 2013. We develop a panel regression model using three financial indicators--dividends per share, cash flow per share, and book value per share--as explanatory variables for share price. We then estimate individual company fundamentals for each year by removing the time fixed effects from the two-way fixed effects model, which we identified as the best of the panel regression models. One merit of our model is that we are able to extract unobservable factors of company fundamentals by using the individual fixed effects. Based on these results, we analyze the market anomaly quantitatively using the divergence rate--the rate of the deviation of share price from a companys fundamentals. We find that share prices on average were overvalued in the period from 2005 to 2007, and were undervalued significantly in 2008, when the global financial crisis occurred. Share prices were equivalent to the fundamentals on average in the subsequent period. Our empirical results clearly demonstrate that the worldwide stock market fluctuated excessively in the time period before and just after the global financial crisis of 2008.
We detect the backbone of the weighted bipartite network of the Japanese credit market relationships. The backbone is detected by adapting a general method used in the investigation of weighted networks. With this approach we detect a backbone that i s statistically validated against a null hypothesis of uniform diversification of loans for banks and firms. Our investigation is done year by year and it covers more than thirty years during the period from 1980 to 2011. We relate some of our findings with economic events that have characterized the Japanese credit market during the last years. The study of the time evolution of the backbone allows us to detect changes occurred in network size, fraction of credit explained, and attributes characterizing the banks and the firms present in the backbone.
72 - Bin Li 2015
We introduce an agent-based model, in which agents set their prices to maximize profit. At steady state the market self-organizes into three groups: excess producers, consumers and balanced agents, with prices determined by their own resource level a nd a couple of macroscopic parameters that emerge naturally from the analysis, akin to mean-field parameters in statistical mechanics. When resources are scarce prices rise sharply below a turning point that marks the disappearance of excess producers. To compare the model with real empirical data, we study the relations between commodity prices and stock-to-use ratios of a range of commodities such as agricultural products and metals. By introducing an elasticity parameter to mitigate noise and long-term changes in commodities data, we confirm the trend of rising prices, provide evidence for turning points, and indicate yield points for less essential commodities.
التعليقات
جاري جلب التعليقات جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
mircosoft-partner

هل ترغب بارسال اشعارات عن اخر التحديثات في شمرا-اكاديميا