Similar Search Results

Visualization of Chaos for Finance Majors

LOS, CORNELIS A. - EconWPA - 2004

windows of stability, e.g., at kappa=3+2sqrt=3.8284. At kappa=4, pure chaos, the process is extremely sensitive to initial …

Persistent link: https://www.econbiz.de/10005077029

Complex dynamics in a Pasinetti-Solow model of growth and distribution

Commendatore, Pasquale - EconWPA - 2005

In this paper, we study some of the properties of a discrete-time version of the two-class model of growth and distribution proposed by Pasinetti (1962) and Samuelson and Modigliani (1966) with a concave production function of the CES type. Two distinct groups of agents, workers and capitalists,...

Persistent link: https://www.econbiz.de/10005125028

Volatility, Heterogeneous Agents and Chaos

Gomes, Orlando - EconWPA - 2004

Agent heterogeneity has been used in recent economic literature to justify nonlinear dynamics for the time paths of …

Persistent link: https://www.econbiz.de/10005125624

Nonlinear and Complex Dynamics in Real Systems

Barnett, William; Serletis, Apostolos; Serletis, Demitre - EconWPA - 2005

This paper was produced for the El-Naschie Symposium on Nonlinear Dynamics in Shanghai in December 2005. In this paper … we provide a review of the literature with respect to fluctuations in real systems and chaos. In doing so, we contrast … the order and organization hypothesis of real systems with nonlinear chaotic dynamics and discuss some techniques used in …

Persistent link: https://www.econbiz.de/10005125638

Movement of equilibrium of Cournot duopoly and the visualization of bifurcations of its adjustment dynamics

Sonis, Michael; Dridi, Chokri - EconWPA - 2004

dynamics of a 2- player Cournot duopoly, proposed by Puu (1997). We establish admissibility conditions on the initial state of … the adjustment dynamics and visualize the dynamics in the space of orbits. …

Persistent link: https://www.econbiz.de/10005135005

Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power

Kocenda, Evzen; Briatka, Lubos - EconWPA - 2004

This paper builds on Kočenda (2001) and extends it in two ways. First, two new intervals of the proximity parameter ε (over which the correlation integral is calculated) are specified. For these ε- ranges new critical values for various lengths of the data sets are introduced and through...

Persistent link: https://www.econbiz.de/10005407903

Long Agricultural Futures Prices: ARCH, Long Memory, or Chaos Processes?

Wei, Anning; Leuthold, Raymond M. - EconWPA - 1998

sugar, possess characteristics consistent with nonlinear dynamics. Three nonlinear models, ARCH, long memory and chaos, are …, the AFIMA model, fails to find long-memory structures in the data, except for sugar. This allows chaos analysis to be …

Persistent link: https://www.econbiz.de/10005413057

Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays

Sansone, Alessandro; Garofalo, Giuseppe - EconWPA - 2005

strategies. We find that the system shows periodic, quasi-periodic and chaotic dynamics as well as synchronization between …

Persistent link: https://www.econbiz.de/10005413058

The Nonlinear Skeletons in the Closet

Barnett, William A.; Jones, Barry E.; Kirova, Milka; … - EconWPA - 2004

Although nonlinearity is the rule in economic theory, nonlinearity tends to make life difficult for econometricians. While there have been many advances in nonlinear econometrics in recent years, some problems produced by nonlinearity remain 'skeletons in the closet' in empirical economic...

Persistent link: https://www.econbiz.de/10005556393

Chaotic expansion of powers and martingale representation (v1.5)

Jamshidian, Farshid - EconWPA - 2005

This paper extends a recent martingale representation result of [N-S] for a Levy process to filtrations generated by a rather large class of semimartingales. As in [N-S], we assume the underlying processes have moments of all orders, but here we allow angle brackets to be stochastic. Following...

Persistent link: https://www.econbiz.de/10005556719