Listar por autoría "d8f4a86c-8fa7-4913-9d6f-285670a93358"
Mostrando ítems 1-20 de 40
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A Cross-Sectional Analysis of Growth and Profit Rate Distribution: The Spanish Case
Vidal-Tomás, David; Ruiz-Buforn, Alba; Blanco Arroyo, Omar; Alfarano, Simone MDPI (2022-03-14)We analyse the time evolution of the empirical cross-sectional distribution of firms’ profit and growth rates. In particular, we analyse the conditional properties of the empirical distributions depending on the size of ... -
A Nonparametric approach to the noise density in stochastic volatility models
Alfarano, Simone; Wagner, Friedrich; Milakovic, Mishael Taylor & Francis (2008-09)We propose a nonparametric method to determine the functional form of the noise density in discrete-time stochastic volatility models of financial returns. Our approach suggests that the assumption of Gaussian noise is ... -
A note on institutional hierarchy and volatility in financial markets
Alfarano, Simone; Raddant, Matthias; Milakovic, Mishael Taylor & Francis (2012)From a statistical point of view, the prevalence of non-Gaussian distributions in financial returns and their volatilities shows that the Central Limit Theorem (CLT) often does not apply in financial markets. In this ... -
A note on institutional hierarchy and volatility in financial markets
Alfarano, Simone; Milakovic, Mishael; Raddant, Matthias Taylor & Francis (2011-01)From a statistical point of view, the prevalence of non-Gaussian distributions in financial returns and their volatilities shows that the Central Limit Theorem (CLT) often does not apply in financial markets. In this ... -
A spectral perspective on excess volatility
Livan, Giacomo; Alfarano, Simone; Milakovic, Mishael; Scalas, Enrico Taylor & Francis (2015)We perform a rather careful spectral analysis of the correlation structures observed in real and financial returns for a large pool of long-lived US corporations, and find that financial returns are characterized by strong ... -
A statistical equilibrium model of competitive firms
Alfarano, Simone; Milakovic, Mishael; Irle, Albrecht; Kauschke, Jonas Elsevier (2012-01)We find that the empirical density of firm profit rates, measured as returns on assets, is markedly non-Gaussian and reasonably well described by an exponential power (or Subbotin) distribution. We start from a statistical ... -
Advances in the agent-based modeling of economic and social behavior
Steinbacher, Mitja; Raddant, Matthias; Karimi, Fariba; Camacho Cuena, Eva; Alfarano, Simone; Iori, Giulia; Lux, Thomas Springer (2021)In this review we discuss advances in the agent-based modeling of economic and social systems. We show the state of the art of the heuristic design of agents and how behavioral economics and laboratory experiments have ... -
Alternative approaches for the reformulation of economics
Alfarano, Simone; Camacho Cuena, Eva; Tedeschi, Gabriele Springer (2019-01)In the last decades most of advanced and developing economies have undertaken adeep structural transformation. This profound structural change, caused by the tran-sition from a manufacturing economy to a service-based one, ... -
An agent-based early warning indicator for financial market instability
Vidal-Tomás, David; Alfarano, Simone Springer (2019-11-21)Inspired by the Bank of America Merrill Lynch global breath rule, we propose an investor sentiment index based on the collective movement of stock prices in a given market. We show that the time evolution of the sentiment ... -
Banking sector concentration, credit shocks and aggregate fluctuations
Alfarano, Simone; Blanco Arroyo, Omar Elsevier (2022-07-14)This paper studies whether the raise in concentration experienced by the Spanish banking sector has lead to the increase of bank-specific credit shocks contribution to aggregate credit. We decompose aggregate credit ... -
Base analítica y guía de utilización de los programas de ordenador «basicis-lm» e «islm-oada»
Albert Ortiz, José Miguel; Alfarano, Simone; Teglio, Andrea Universitat Jaume I (2012) -
Credit allocation and the financial crisis: evidence from Spanish companies
Petrovic, Marko; Teglio, Andrea; Alfarano, Simone Springer (2022-08-18)The worldwide financial crisis of 2007–2008 raised serious concerns about the soundness of banks’ activities and about the extent to which banking regulation should supervise banks’ investment decisions. We contribute to ... -
Dataset: Overweighting of public information in financial markets: A lesson from the lab
Ruiz-Buforn, Alba; Camacho Cuena, Eva; MORONE, ANDREA; Alfarano, Simone (2021-08-18) -
Der dichte Kern des Netzwerks deutscher Aufsichtsräte und Unternehmensvorstände
Milakovic, Mishael; Alfarano, Simone; Lux, Thomas Springer-Verlag (2012-11)In a previous study the authors have identified a small core of directors who are both highly central to the entire network of German corporate boards as well as closely connected among themselves. In this note the authors ... -
Does classical competition explain the statistical features of firm growth?
Alfarano, Simone; Milakovic, Mishael Elsevier (2008)We propose a statistical equilibrium model where the tendency for competition to equalize profit rates results in an exponential power (or Subbotin) distribution. The model supports and extends recent evidence on the Laplace ... -
Empresas granulares y desagregación regional: un análisis del caso español
Blanco Arroyo, Omar; Ruiz-Buforn, Alba; Vidal-Tomás, David; Alfarano, Simone Universidad de Almería (2019)Following the approach proposed by Gabaix (2011), this paper aims to assess the existence of granularity in the business cycle fluctuations of the following Spanish regions: the Community of Madrid, Catalonia, the Basque ... -
Exploiting ergodicity in forecasts of corporate profitability
Mundt, Philipp; Alfarano, Simone; Milakovic, Mishael Elsevier (2019-12-13)Theory suggests that competition tends to equalize profit rates through the process of capital reallocation, and numerous studies have confirmed that profit rates are indeed persistent and mean-reverting. Recent empirical ... -
Extreme value theory as a theoretical background for power law behavior
Alfarano, Simone; Lux, Thomas Kiel Institute for the World Economy (2010)Power law behavior has been recognized to be a pervasive feature of many phenomena in natural and social sciences. While immense research efforts have been devoted to the analysis of behavioral mechanisms responsible for ... -
Financial power laws: Empirical evidence, models, and mechanisms
Lux, Thomas; Alfarano, Simone Elsevier (2016-07)Financial markets (share markets, foreign exchange markets and others) are all characterized by a number of universal power laws. The most prominent example is the ubiquitous finding of a robust, approximately cubic power ... -
Firm profitability and the network of organizational capabilities
Wagner, Friedrich; Milakovic, Mishael; Alfarano, Simone Elsevier (2010)A Laplace distribution for firm profit rates (or returns on assets) can be obtained through the sum of many independent shocks if the number of shocks is Poisson distributed. Interpreting this as a linear chain of events, ...