Quantitative Finance

Online activity of the Internet users has been repeatedly shown to provide a rich information set for various research fields. We focus on the job-related searches on Google and their possible usefulness in the region of the Visegrad Group -- the Czech Republic, Hungary, Poland and Slovakia. Even for rather small economies, the online searches of their inhabitants can be successfully utilized for macroeconomic predictions. Specifically, we study the unemployment rates and their interconnection to the job-related searches. We show that the Google searches strongly enhance both nowcasting and forecasting models of the unemployment rates.

We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We construct a model where banks are allowed to use both the interbank and the securities markets to manage their liquidity demand and supply as driven by prudential requirements in a volatile environment. The network of interbank loans is dynamic and simulated every day. We show how only the intrasystem cash fluctuations, without any external shocks, may lead to systemic defaults, what may be a symptom of the self-organized criticality of the system. We also analyze the impact of different prudential regulations and market conditions on the interbank market resilience. We confirm that central bank's asset purchase programs, limiting the declines in government bond prices, can successfully stabilize bank's liquidity demand. The model can be used to analyze the interbank market impact of macroprudential tools.

The major perspective of this paper is to provide more evidence into the empirical determinants of capital structure adjustment in different macroeconomics states by focusing and discussing the relative importance of firm-specific and macroeconomic characteristics from an alternative scope in U.S. This study extends the empirical research on the topic of capital structure by focusing on a quantile regression method to investigate the behavior of firm-specific characteristics and macroeconomic variables across all quantiles of distribution of leverage (total debt, long-terms debt and short-terms debt). Thus, based on a partial adjustment model, we find that long-term and short-term debt ratios varying regarding their partial adjustment speeds; the short-term debt raises up while the long-term debt ratio slows down for same periods.

There is an increasing awareness of the significance of Chinese building energy consumption(BEC). However, something worth discussing is that estimate the building energy consumption adopting the definition of life cycle or operation. In the existing studies with various evaluation methods, the issue about the amount of energy consumed by China buildings has not been understood. In order to settle the disputes over the calculation of BEC, this paper establish an appropriate accounting method of building energy to present BEC situation in China and lay the foundation for building energy efficiency. Adopting the conception of building operational energy consumption, we find that the energy consumption of buildings just accounts for 15% - 16% of the final total energy consumption in China; by contrast, the previous calculations usually have double accounting through top-down approach if central heat-supply of buildings was given into additional consideration.

China has attracted increasing amounts of foreign investment since it opened its doors to the world and whilst many analysts have focused on foreign investment in popular areas, little has been written about medical device investment. The purpose of this article is to analyze the status of the Chinese medical device market from the perspective of the healthcare industry and its important market drivers; the study reveals that the medical device market has significant growth potential. This article aims to identify and assess the profitable sectors of medical device technologies as a guide for international companies and investors.

The main purpose of this research is to analyze the effects of macroeconomic shocks on unemployment fluctuations in the Democratic Republic of Congo (DRC). Using the SVECM model on DRC data for the period 1960 to 2014, the conclusion is that the high and persistent level of unemployment is mainly explained permanently by technological and price shocks.

The Choquet integral is a powerful aggregation operator which lists many well-known models as its special cases. We look at these special cases and provide their axiomatic analysis. In cases where an axiomatization has been previously given in the literature, we connect the existing results with the framework that we have developed. Next we turn to the question of learning, which is especially important for the practical applications of the model. So far, learning of the Choquet integral has been mostly confined to the learning of the capacity. Such an approach requires making a powerful assumption that all dimensions (e.g. criteria) are evaluated on the same scale, which is rarely justified in practice. Too often categorical data is given arbitrary numerical labels (e.g. AHP), and numerical data is considered cardinally and ordinally commensurate, sometimes after a simple normalization. Such approaches clearly lack scientific rigour, and yet they are commonly seen in all kinds of applications. We discuss the pros and cons of making such an assumption and look at the consequences which axiomatization uniqueness results have for the learning problems. Finally, we review some of the applications of the Choquet integral in decision analysis. Apart from MCDA, which is the main area of interest for our results, we also discuss how the model can be interpreted in the social choice context. We look in detail at the state-dependent utility, and show how comonotonicity, central to the previous axiomatizations, actually implies state-independency in the Choquet integral model. We also discuss the conditions required to have a meaningful state-dependent utility representation and show the novelty of our results compared to the previous methods of building state-dependent models.

The purpose of this paper is to focus on similarity and/or heterogeneity of taxonomies of innovation present in the economic fields to show as the economic literature uses different names to indicate the same type of technical change and innovation, and the same name for different types of innovation. This ambiguity of classification makes it impossible to compare the various studies; moreover the numerous typologies existing in the economics of innovation, technometrics, economics of technical change, management of technology, etc., have hindered the development of knowledge in these fields. The research presents also new directions on the classification of innovation that try to overcome these problems.

Naz and Chaudhry [3] established multiple closed-form solutions for the basic Lucas-Uzawa model. According to Boucekkine and Ruiz-Tamarit [1] and Chilarescu [2] unique closed-form solutions exist for the basic Lucas-Uzawa model. We equate expressions for variables h(t) and u(t). We provide here condition for the unique closed-form solution and proposed an open question for evaluation of integral in closed-form. A similar analysis is carried out for the Lucas-Uzawa model with logarithmic utility preferences.

We study the relationship between firms' performance and their technological portfolios using tools borrowed from the complexity science. In particular, we ask whether the accumulation of knowledge and capabilities related to a coherent set of technologies leads firms to experience advantages in terms of productive efficiency. To this end, we analyzed both the balance sheets and the patenting activity of about 70 thousand firms that have filed at least one patent over the period 2004-2013. From this database it is possible to define a measure of the firms' coherent diversification, based on the network of technological fields, and relate it to the firms' perfomance in terms of labor productivity. Such a measure favors companies with a diversification structure comprising blocks of closely related fields over firms with the same breadth of scope, but a more scattered diversification structure. We find that the coherent diversification of firms is quantitatively related to their economic performance and captures relevant information about their productive structure. In particular, we prove on a statistical basis that a naive definition of technological diversification can explain labor productivity only as a proxy of size and coherent diversification. This approach can be used to investigate possible synergies within firms and to recommend viable partners for merging and acquisitions.