Evangelos Melas

The Athens Stock Exchange (ASE) is a dynamic financial market with complex interactions and inherent volatility. Traditional models often fall short in capturing the intricate dependencies and long memory effects observed in real-world financial data. In this study, we explore the application of fractional Brownian motion (fBm) to model stock price dynamics within the ASE, specifically utilizing the Athens General Composite (ATG) index. The ATG is considered a key barometer of the overall health of the Greek stock market. Investors and analysts monitor the index to gauge investor sentiment, economic trends, and potential investment opportunities in Greek companies. We find that the Hurst exponent falls outside the range typically associated with fractal Brownian motion. This, combined with the established non-normality of increments, disfavors both geometric Brownian motion and fractal Brownian motion models for the ATG index.

We use an agent-based model to study firm dynamics, market concentration, capital distribution and the critical role of banking capital in economic markets. Our model incorporates firm profit stochastic fluctuations allowing for firm entries and exits in economic markets. Our results show how shifts in economic parameters influence capital allocation and market concentration. One key result of our study is that under quite general assumptions even when wealth is initially evenly distributed among all participants, as time progresses, a small number of agents accumulate a substantial portion of the total wealth, while a large number of agents have a comparatively small share. This research is a critical tool for policymakers, economists, and researchers, facilitating a deeper comprehension of market structures, wealth distribution, and offering strategic responses to economic system dynamics.

In this article, we explore money distribution in closed economic systems, where the number of economic agents is constant and the total amount of money is conserved. We simulate these systems through graph theory, representing economic agents as vertices connected by edges that signify possible transactions. In our model, these transactions follow a quantum random walk. We apply different attributes of the graph, such as vertex connectivity, vertex degree, and global clustering coefficient, to understand their impact on the Gini coefficient, a measure of wealth inequality.

We consider a data-driven method, which combines Koopman operator theory with Extended Dynamic Mode Decomposition. We apply this method to the hypergeometric equation which is the Fuchsian equation with three regular singular points. The space of solutions at any of its singular points is a two-dimensional linear vector space on the field of reals when the independent variable is restricted to take values in the real axis and the unknown function is restricted to be a real-valued function of a real variable. A basis of the linear vector space of solutions is spanned by the hypergeometric function and its products with appropriate powers of the independent variable or the logarithmic function depending on the roots of the indicial equation of the hypergeometric equation. With our work, we obtain a new representation of the fundamental solutions of the hypergeometric equation and relate them to the spectral analysis of the finite approximation of the Koopman operator associated with the hypergeometric equation. We expect that the usefulness of our results will come more to the fore when we extend our study into the complex domain.