The authors investigate the relationship between market transition and work hours in urban China. Regression analysis of data from the 2006 Chinese General Social Survey reveals a negative relationship between economic marketization, measured at the province level, and the likelihood that an...

We study the range accrual swap in the quantum finance formulation of the Libor Market Model (LMM). It is shown that the formulation can exactly price the path dependent instrument. An approximate price is obtained as an expansion in the volatility of Libor. The Monte Carlo simulation method is...

This paper develops a model to describe the unequal time correlation between rate of returns of different stocks. A non-trivial fourth order derivative Lagrangian is defined to provide an unequal time propagator, which can be fitted to the market data. A calibration algorithm is designed to find...

This paper examines how the rise of a market economy in urban China redefines the rules governing economic activities and affects on earnings inequality. We identify three causal mechanisms linked to institutional change that are transforming the firm's employment practices: the higher marginal...

This paper provides a critique of alternative organizational structures in the hedge fund industry. Our critique is facilitated by several stylized models describing alternative industry structures. The models include: (1) An insideonly hedge fund model; (2) A straddling hedge fund model; (3) A...

The balance between the supply and demand of some kind of resource is critical for the functionality and security of many complex networks. Local contingencies that break this balance can cause a global collapse. These contingencies are usually dealt with by spare capacity, which is costly...

This paper provides a critique of alternative organizational structures in the hedge fund industry. Our critique is facilitated by several stylized models describing alternative industry structures. The models include: (1) An inside-only hedge fund model; (2) A straddling hedge fund model; (3) A...

The recent emergence of GPGPU programming has resulted in a number of very efficient, but ultimately ad-hoc implementations of GPU accelerated simulations of complex systems. Because developing applications for the GPU is still a difficult and time consuming task, efficient GPU parallelizations...

It is usually difficult to reverse engineer a simple rule that exhibits some desirable and interesting behavior. We approach this problem by searching for dimer automaton rules exhibiting a broadly defined behavior, self-organization. We expected the simple and asynchronous nature of dimer...

This paper develops a volatility formula for option on an asset from an acceleration Lagrangian model and the formula is calibrated with market data. The Black–Scholes model is a simpler case that has a velocity dependent Lagrangian.