英文标题：
《Econophysics of Macro-Finance: Local Multi-fluid Models and Surface-like
  Waves of Financial Variables》
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作者：
Victor Olkhov
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最新提交年份：
2017
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英文摘要：
  This paper models macro financial variables alike to financial fluids with local interactions and describes surface-like waves of Investment and Profits. We regard macro-finance as ensemble of economic agents and use their risk ratings as coordinates on economic space. Aggregations of agent\'s financial variables with risk coordinates x on economic space define macro financial variables as function of x. We describe evolution and interactions between macro financial variables alike to financial fluids by hydrodynamic-like equations. Minimum and maximum risk grades define most secure and most risky agents respectively. That determines borders of macro-finance domain that is filled by economic agents. Perturbations of agent\'s risk coordinates near risk borders of macro domain cause disturbances of macro financial variables like Investment and Profits. Such disturbances can generate waves that propagate along risk borders. These waves may exponentially amplify perturbations inside of macro domain and impact financial sustainability. We study simple model Investment and Profits and describe linear approximation of steady state distributions of Investment and Profits on macro-finance domain that fulfill dreams of Investors: \"more risks-more Profits\". We describe Investment and Profits waves on risk border of economic space alike to surface waves in fluids. We present simple examples that specify waves as possible origin of time fluctuations of macro financial variables. Description of possible steady state distributions of macro financial variables and financial risk waves on economic space could help for better policy-making and managing sustainable macro-finance.
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中文摘要：
本文将宏观金融变量建模为具有局部相互作用的金融流体，并描述投资和利润的表面波。我们将宏观金融视为经济主体的集合，并将其风险评级作为经济空间的坐标。经济空间上具有风险坐标x的代理金融变量的集合将宏观金融变量定义为x的函数。我们通过类流体动力学方程描述类似于金融流体的宏观金融变量之间的演化和相互作用。最小和最大风险等级分别定义了最安全和风险最大的代理。这决定了宏观金融领域的边界，而宏观金融领域由经济主体填补。代理人风险坐标在宏观域风险边界附近的扰动会导致投资和利润等宏观金融变量的扰动。此类扰动可产生沿风险边界传播的波。这些波动可能会成倍放大宏观领域内的扰动，并影响金融可持续性。我们研究了简单模型投资和利润，描述了宏观金融领域投资和利润稳态分布的线性近似，实现了投资者的梦想：“风险越大，利润越高”。我们描述了经济空间风险边界上的投资和利润波动，类似于流体中的表面波。我们给出了一些简单的例子，说明波动是宏观金融变量时间波动的可能来源。描述宏观金融变量和金融风险波在经济空间的可能稳态分布，有助于更好地制定政策和管理可持续的宏观金融。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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