2017/05/17 by Victor Olkhov, Olkhov, Victor
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Economic theories and models #FOS: Economics and business #Financial Markets and Investment Strategies #General Economics (econ.GN)
paper · pdf · doi:10.48550/arxiv.1706.01748
openalex publication_date 2017/05/17 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper models macro financial variables alike to financial fluids with\nlocal interactions and describes surface-like waves of Investment and Profits.\nWe regard macro-finance as ensemble of economic agents and use their risk\nratings as coordinates on economic space. Aggregations of agent's financial\nvariables with risk coordinates x on economic space define macro financial\nvariables as function of x. We describe evolution and interactions between\nmacro financial variables alike to financial fluids by hydrodynamic-like\nequations. Minimum and maximum risk grades define most secure and most risky\nagents respectively. That determines borders of macro-finance domain that is\nfilled by economic agents. Perturbations of agent's risk coordinates near risk\nborders of macro domain cause disturbances of macro financial variables like\nInvestment and Profits. Such disturbances can generate waves that propagate\nalong risk borders. These waves may exponentially amplify perturbations inside\nof macro domain and impact financial sustainability. We study simple model\nInvestment and Profits and describe linear approximation of steady state\ndistributions of Investment and Profits on macro-finance domain that fulfill\ndreams of Investors: "more risks-more Profits". We describe Investment and\nProfits waves on risk border of economic space alike to surface waves in\nfluids. We present simple examples that specify waves as possible origin of\ntime fluctuations of macro financial variables. Description of possible steady\nstate distributions of macro financial variables and financial risk waves on\neconomic space could help for better policy-making and managing sustainable\nmacro-finance.\n