This paper applies the theory of finite Markov chains to analyse the demographic evolution of Belgian enterprises. While other methodologies concentrate on the entry and exit of firms, the Markov approach also analyses migrations between economic sectors. Besides helping to provide a fuller...

This paper applies the theory of finite Markov chains to analyse the demographic evolution of Belgian enterprises. While other methodologies concentrate on the entry and exit of firms, the Markov approach also analyses migrations between economic sectors. Besides helping to provide a fuller...

We conduct a comparison of the two past decades in terms of US banks' capitalization mobility and persistence, adopting a Markov Chain setup, based on the FDIC discretized version of capital ratio. We document several substantial differences in the anatomy of the two periods. In particular,...

This paper estimates depth of reasoning in an Iterative Best Response model using data from Weber (<CitationRef CitationID="CR20">2003</CitationRef>) ten-period repeated guessing game with no feedback. Different mixture models are estimated and the type (Level-0, Level-1, etc) of each player is determined in every round using the...</citationref>

The kinetic gas theory, like the two-agent money exchange model, recently introduced in the econophysics of wealth distributions, is revisited. The emergence of a Boltzmann–Gibbs-like distribution of money into Pareto's law in the tail of the distribution is examined in terms of a 2×2...

Credit migration is an essential component of credit portfolio modeling. In this paper, we outline a framework for gauging the effects of credit migration on portfolio risk measurements. For a typical loan portfolio, we find credit migration can explain as much as 51% of volatility and 35% of...

We present a mean-field theory for the modified three-state voter model. We obtain analytical results in asymptotic states for a general transition matrix. Numerical simulations can be well described within the proposed formulations. Distributions for both central plateau and boundary layer can...

In this work we construct a mobility index able to grasp the prevailing direction in the evolution of a given set of statistical units. We consider the case of dynamics ruled by a transition matrix, whose states are based on an ordered economic variable (firm size or income, among others) such...

Innovative transition matrix techniques are used to compare extreme credit risk for Australian and US companies both prior to and during the global financial crisis (GFC). Transition matrix methodology is traditionally used to measure Value at Risk (VaR), a measure of risk below a specified...

This paper investigates potential measurement error biases in estimated poverty transition matrices. Transition matrices based on survey expenditure data has been compared to transition matrices based on measurement-error-free simulated expenditure. The simulation model uses estimates that...