英文标题：
《Econophysics of Business Cycles: Aggregate Economic Fluctuations, Mean
  Risks and Mean Square Risks》
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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 presents hydrodynamic-like model of business cycles aggregate fluctuations of economic and financial variables. We model macroeconomics as ensemble of economic agents on economic space and agent\'s risk ratings play role of their coordinates. Sum of economic variables of agents with coordinate x define macroeconomic variables as functions of time and coordinates x. We describe evolution and interactions between macro variables on economic space by hydrodynamic-like equations. Integral of macro variables over economic space defines aggregate economic or financial variables as functions of time t only. Hydrodynamic-like equations define fluctuations of aggregate variables. Motion of agents from low risk to high risk area and back define the origin for repeated fluctuations of aggregate variables. Economic or financial variables on economic space may define statistical moments like mean risk, mean square risk and higher. Fluctuations of statistical moments describe phases of financial and economic cycles. As example we present a simple model relations between Assets and Revenue-on-Assets and derive hydrodynamic-like equations that describe evolution and interaction between these variables. Hydrodynamic-like equations permit derive systems of ordinary differential equations that describe fluctuations of aggregate Assets, Assets mean risks and Assets mean square risks. Our approach allows describe business cycle aggregate fluctuations induced by interactions between any number of economic or financial variables.
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中文摘要：
本文提出了经济和金融变量的商业周期总波动的类流体动力学模型。我们将宏观经济学建模为经济空间上经济主体的集合，主体的风险评级发挥其坐标的作用。坐标为x的主体的经济变量之和将宏观经济变量定义为时间和坐标x的函数。我们用类流体动力学方程描述宏观变量在经济空间上的演化和相互作用。宏观变量在经济空间上的积分将总体经济或金融变量定义为时间t的函数。类流体动力学方程定义了聚合变量的波动。代理从低风险区域到高风险区域的移动和反向定义了聚合变量重复波动的起源。经济空间上的经济或金融变量可以定义统计矩，如平均风险、均方风险和更高风险。统计矩的波动描述了金融和经济周期的各个阶段。作为示例，我们给出了资产和资产收益之间的简单模型关系，并导出了描述这些变量之间的演化和相互作用的类流体动力学方程。类流体动力学方程允许导出描述总资产、资产平均风险和资产均方风险波动的常微分方程系统。我们的方法允许描述由任何数量的经济或金融变量之间的相互作用引起的商业周期总波动。
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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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