Showing 1 - 6 of 6
We investigate for evidence of complex-deterministic dynamics in financial returns time series. By combining the Surrogate Data Analysis inferential framework with the MG-GARCH (Kyrtsou and Terraza, 2003) modelling approach, we examine whether the sequences are characterized by aperiodic and...
Persistent link: https://www.econbiz.de/10005345276
complexity and properties of the underlying structures, as the existence of large grids, non-regularities and inhomogeneous … parametric complexity theory and analyse its impact in financial risk management. It is shown that selected real-world problems … reasons for the proved complexity. We show how selected risk management methods fit into the picture of our complexity …
Persistent link: https://www.econbiz.de/10005345743
(Kolmogorov) complexity systems, leading to emergent collective effects. In this contribution, we demonstrate how complex …, which serve as the fundamental low-complexity mechanisms in a biophysical cochlea model. This analysis requires that … adequate notions of complexity for acoustical signals and for the involved processing mechanisms are developed. …
Persistent link: https://www.econbiz.de/10005706836
The present paper discusses implications for Agent-based Computational Economics (ACE) of a formal definition of emergence introduced by Dessalles, Phan in part I of this work. This exemplification is based on an extension of the model of emergence of classes by Axtell et al. The present paper...
Persistent link: https://www.econbiz.de/10005132615
decrease in relative algorithmic complexity. The relative algorithmic complexity of a system measures the complexity of the …
Persistent link: https://www.econbiz.de/10005132683
This paper reports on the use of multi-agent games to model financial markets. Our research employs multi-agent games to address three questions which are of great practical importance in quantitative finance: how profit opportunities may be identified, large price movements predicted, and...
Persistent link: https://www.econbiz.de/10005537754