In a recent paper, using data from Forbes Global 2000, we have observed that the upper tail of the firm size distribution (by assets) falls off much faster than a Pareto distribution. The missing mass was suggested as an indicator of the size of the Shadow Banking (SB) sector. This short note...

Investors who optimize their portfolios under any of the coherent risk measures are naturally led to regularized portfolio optimization when they take into account the impact their trades make on the market. We show here that the impact function determines which regularizer is used. We also show...

Correlations and other collective phenomena are considered in a schematic model of pairwise interacting, competing and collaborating agents facing a binary choice and situated at the nodes of the complete graph and a two-dimensional regular lattice, respectively. The agents may be subjected to...