We develop a formalism to study linearized perturbations around the equilibria of a pure exchange economy. With the use of mean field theory techniques, we derive equations for the flow of products in an economy driven by heterogeneous preferences and probabilistic interaction between agents. We...

We normalize the combinatorial Laplacian of a graph by the degree sum, look at its eigenvalues as a probability distribution and then study its Shannon entropy. Equivalently, we represent a graph with a quantum mechanical state and study its von Neumann entropy. At the graph-theoretic level,...

We study a class of heterogeneous agent-based models which are based on a basic set of principles, and the most fundamental operations of an economic system: trade and product transformations. A basic guiding principle is scale invariance, which means that the dynamics of the economy should not...

In this work, we identify the most general measure of arbitrage for any market model governed by It\^o processes. We show that our arbitrage measure is invariant under changes of num\'{e}raire and equivalent probability. Moreover, such measure has a geometrical interpretation as a gauge...

We revisit the problem of pricing options with historical volatility estimators. We do this in the context of a generalized GARCH model with multiple time scales and asymmetry. It is argued that the reason for the observed volatility risk premium is tail risk aversion. We parametrize such risk...

We study the problem of optimal trading using general alpha predictors with linear costs and temporary impact. We do this within the framework of stochastic optimization with finite horizon using both limit and market orders. Consistently with other studies, we find that the presence of linear...

This work discusses the conflict between two of the main objectives of the EU Water Framework Directive: cost recovery and economic efficiency in the use of irrigation water. In the Mediterranean region, this conflict is commonly embedded in a state of under-utilization of irrigation networks...

In this paper the level of taxation of Italian farm households is studied by analyzing the data of agricultural households in the Italian EU-SILC database. The proposed approach allows to use the EU- SILC database to fill missing information on FADN database through a methodology of statistical...

This paper investigates the contribution of different off-farm income sources and Common Agricultural Policy direct payments on income inequality among farm households. The analysis uses the Gini coefficient concept and its decomposition on the whole sample of Farm Accountancy Data Network...

Farm direct payments (DPs) have been the main instrument of the Common Agricultural Policy (CAP) to support farm income in the EU. After the decoupling of DPs from production levels, the distributional objectives are among the major justifications of DPs. This paper addresses their role in the...