arXiv subjects

Thomas Valade

Publications and source records attributed to Thomas Valade.

2 recordsLinked to original sources

arXiv2026

Wealth Inequality and Planetary Boundaries in a Stylized Agent-Based Model

At the intersection of rising wealth inequality and intensifying environmental pressures, we investigate a reverse causal relationship that has received comparatively little attention: wealth inequality may not only be a consequence of environmental crises, but also act as a structural obstacle to the ecological transition itself. We develop a stylized agent-based model in which heterogeneous agents, whose initial wealth follows a Pareto distribution, allocate their income between either a Brown or a Green sector through a utility function. The function is designed to capture the trade-off between short-term returns and exposure to long-term systemic risks. A central ingredient is that wealthier agents perceive themselves as less vulnerable to environmental shocks, thereby reducing the amount of resources available for the transition. We show that, beyond inequality thresholds compatible with those observed in most developed countries, the economy remains locked in a Brown regime, even when a substantial share of agents is sensitive to externalities. We then assess a set of stylized fiscal policies (basic income, carbon taxation, Green incentives, and a combined scheme) and find that their effectiveness depends strongly on the inequality regime and on the regressivity embedded in the fiscal mechanism, revealing multidimensional trade-offs between transition speed, cumulative environmental destruction, growth, and fiscal pressure.

physics.soc-ph↗

arXiv2025

Prediction of linear fractional stable motions using codifference, with application to non-Gaussian rough volatility

The linear fractional stable motion (LFSM) extends the fractional Brownian motion (fBm) by considering $\alpha$-stable increments. We propose a method to forecast future increments of the LFSM from past discrete-time observations, using the conditional expectation when $\alpha>1$ or a semimetric projection otherwise. It relies on the codifference, which describes the serial dependence of the process, instead of the covariance. Indeed, covariance is commonly used for predicting an fBm but it is infinite when $\alpha<2$. Some theoretical properties of the method and of its accuracy are studied and both a simulation study and an application to real volatility data, with a comparison to the fBm and to the heterogeneous auto-regressive model, confirm the relevance of the approach. The LFSM-based method shows a promising performance in the forecast of time series of volatilities, decomposing properly, in the fractal dynamic of rough volatilities, the contribution of the kurtosis of the increments and the contribution of their serial dependence. Moreover, the analysis of hit ratios suggests that, beside independence, persistence, and antipersistence, a fourth regime of serial dependence exists for fractional processes, characterized by a selective memory controlled by a few large increments.

stat.ME↗