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On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratan...
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...
Persistent link: https://www.econbiz.de/10011260821
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Agent-based computational economics and African modeling:perspectives and challenges
Nwaobi, Godwin - Volkswirtschaftliche Fakultät, … - 2011
In recent years, the government, of African Countries has assumed major responsibilities for economic reforms and growth. In attempting to describe their economies, economists (policymakers) in many African Countries have applied certain models that are by now widely known: Linear programming...
Persistent link: https://www.econbiz.de/10009644908
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Physics Laws of Social Science
Wayne, James J. - Volkswirtschaftliche Fakultät, … - 2013
Economics, and other fields of social science are often criticized as unscientific for their apparent failures to formulate universal laws governing human societies. Whether economics is truly a science is one of the oldest questions. This paper attempts to create such universal laws, and...
Persistent link: https://www.econbiz.de/10011109601
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Generalized Second Law of Thermodynamics and Its Applications in Social Science
Wayne, James J. - Volkswirtschaftliche Fakultät, … - 2014
The arrow-of-time phenomena are everywhere in the physical world, biological systems, and human society. Despite its great importance in physics, the second law of thermodynamics can only successfully explain small percentages of these arrow-of-time phenomena in the physical world, and generally...
Persistent link: https://www.econbiz.de/10011110385
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Psychohistory Paradox and Introduction to Quantum Social Science
Wayne, James J. - Volkswirtschaftliche Fakultät, … - 2014
Why would social science need the help from quantum mechanics? First, there are many unanswerable questions in social science. Are financial markets predictable? How to predict the financial markets? These important questions are not answerable in the existing framework of finance or economics....
Persistent link: https://www.econbiz.de/10011111388
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The Properties of Market-Based and Survey Forecasts for Different Data Releases
Lanne, Markku - Volkswirtschaftliche Fakultät, … - 2007
derivatives market are incapable of taking the measurement error in the preliminary estimates efficiently into account. This …
Persistent link: https://www.econbiz.de/10005621898
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On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
The central banks introduce and implement the monetary and financial stabilities policies, going from the accurate estimations of national macro-financial indicators such as the Gross Domestic Product (GDP). Analyzing the dependence of the GDP on the time, the central banks accurately estimate...
Persistent link: https://www.econbiz.de/10011258833
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To the problem of evaluation of market risk of global equity index portfolio in global capital markets
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
risk of the global equity index portfolio in the highly volatile global capital markets, the authors focus their attention …) of the diversified global equity index portfolio. In our view, the creation of the complex computer models to accurately … index portfolio is concerned. We analyzed the nature of the current financial and economic crises in the USA, presenting the …
Persistent link: https://www.econbiz.de/10011259800
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Does “Okun’s Law” state a Pi:1 ratio? Toward a harmonic interpretation of why Okun’s Law works
Albers, Scott; Albers, Andrew L. - Volkswirtschaftliche Fakultät, … - 2013
In Albers & Albers (Spring, 2013) we demonstrated that the historic development of U.S. real GNP, 1869-present, may be structured in recurring 14-year periods. A steady-state rate of growth of 3.4969% is thereby calculated, generating an increase in real GNP proportional to the famous “Golden...
Persistent link: https://www.econbiz.de/10011260122
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Economic scenario of United States of America before and after 2012 U.S. Presidential Election
Sinha, Pankaj; Singhal, Anushree; Sondhi, Kriti - Volkswirtschaftliche Fakultät, … - 2012
This paper examines the economic scenario of the United States, before and after the 2012 US Presidential election by analyzing various macroeconomic variables such as GDP, Public Debt, Exchange Rate, Social Benefit Spending, Trade, Budget Deficit/ Surplus, Unemployment Rate, Inflation and...
Persistent link: https://www.econbiz.de/10011260661