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Market characteristics and chaos dynamics in stock markets: an international comparison
Mattarocci, Gianluca - Volkswirtschaftliche Fakultät, … - 2006
The chaos theory assumes that the returns dynamics are not normally distributed and more complex approaches have to be …
Persistent link: https://www.econbiz.de/10005835468
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Deterministic randomness in a model of finance and growth
Gomes, Orlando - Volkswirtschaftliche Fakultät, … - 2007
Following the literature on growth, cycles and financial development, this paper develops an endogenous growth model where the source of endogenous business cycles relates to the allocation of credit between productive investment and consumption. An important role is given to consumer sentiment,...
Persistent link: https://www.econbiz.de/10005836012
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The Futility of Utility: how market dynamics marginalize Adam Smith
McCauley, Joseph L. - Volkswirtschaftliche Fakultät, … - 1999
General Equilibrium Theory in econometrics is based on the vague notion of utility. Prices, dynamics, and market equilibria are supposed to be derived from utility. Utility is sometimes treated like a potential, other times like a Lagrangian. Illegal assumptions of integrability of actions and...
Persistent link: https://www.econbiz.de/10005837138
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Etude de la dynamique non-linéaire des rentabilités de la bourse de Casablanca
RIANE, Nizare - Volkswirtschaftliche Fakultät, … - 2014
The preponderance of the linear approach in the stock market modeling is the result of the Frisch-Slutsky paradigm which implies that the market can only converge to an equilibrium point or diverge, according to a monotonic or oscillatory trajectory. Moreover, this description of reality is...
Persistent link: https://www.econbiz.de/10011156979
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Nonlinear and Complex Dynamics in Economics
Barnett, William A.; Serletis, Apostolos; Serletis, Demitre - Volkswirtschaftliche Fakultät, … - 2012
dynamical complexity, characterizing chaos and near chaos, as commonly found in the physical sciences. The paper also surveys … complexity, chaos, and other related concepts precise, having in mind their (actual or potential) applications to economically … policy relevancy of chaos. …
Persistent link: https://www.econbiz.de/10011257846
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Does Monetary Policy cause Randomness or Chaos? A Case Study from the European Central Bank
Sanderson, Rohnn - Volkswirtschaftliche Fakultät, … - 2013
Using the HICP (Harmonized Index of Consumer Prices) the author tests the series for the makeup of its dynamic components both before and after the start of stage three of the European Central Bank’s (ECB) monetary policy directive. While it appears ECB is meeting its stated objective, it is...
Persistent link: https://www.econbiz.de/10011257941
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Short-term Dependence in Time Series as an Index of Complexity: Example from the S&P-500 Index
Dominique, C-Rene; Rivera-Solis, Luis Eduardo - Volkswirtschaftliche Fakultät, … - 2012
The capital market is a reflexive dynamical input/output construct whose output (time series) is usually assessed by an index of roughness known as Hurst’s exponent (H). Oddly enough, H has no theoretical foundation, but recently it has been found experimentally to vary from persistence (H ...
Persistent link: https://www.econbiz.de/10011257963
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The dynamics of market share’s growth and competition in quadratic mappings
Dominique, C-Rene; Rivera-Solis, Luis Eduardo - Volkswirtschaftliche Fakultät, … - 2012
This paper shows that the observed output of any market, placed within the confine of a quadratic map, can characterize the state of that market. Such an approach explains the process of market share’s growth and its pitfalls, the consequences of broken symmetry of scaling, as well as the...
Persistent link: https://www.econbiz.de/10011258528
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A Hybrid Approach for Forecasting of Oil Prices Volatility
Komijani, Akbar; Naderi, Esmaeil; Gandali Alikhani, Nadiya - Volkswirtschaftliche Fakultät, … - 2013
‘predictability’ hypothesis was tested using the variance ratio test, BDS test and the chaos analysis. Structural analyses were also …
Persistent link: https://www.econbiz.de/10011258951
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Chaos detection in economics. Metric versus topological tools
Faggini, Marisa - Volkswirtschaftliche Fakultät, … - 2010
for West Germany, Italy, Japan and England. The goal was to check for the presence of deterministic chaos. To ensure that … structure was present in the time series of Japan. Nevertheless the application of metric tools for detecting chaos (correlation … dimension and Lyapunov exponent) didn’t show presence of chaos in any time series. Starting from this conclusion we applied a …
Persistent link: https://www.econbiz.de/10009022004