We demonstrate that achieving sensible convergence of prices to equilibrium is facilitated by market maker risk. \\ We introduce several criteria for price formation rules, and provide an example that satisfies all of them. The risk aversion of the market maker inevitably leads to price...

In this paper we study a generalization of the dynamic Leontief input-output model. We extend the standard dynamic Leontief model with the balance equation of non-renewable resources. Obviously, the non-renewable stocks will decrease, exploiting primary resources. In this study we examine the...

The dynamic properties of macroeconomic models are typically characterised by having a combination of stable and unstable eigenvalues. In a seminal paper, Blanchard and Kahn showed that, for linear models, in order to ensure a unique solution, the number of discontinuous or “jump” variables...

We introduce a class of dynamical systems called Higher Order Cellular Automata (HOCA). These are based on ordinary CA, but have a hierarchical, or multi-level, structure and/or dynamics. We present a detailed formalism for HOCA and illustrate the concepts through four examples. Throughout the...

We recently (Castellacci and Choi, 2013) formulated a theoretical framework for the modeling of financial instability contagion using the theories of dynamical systems. Here, our main goal is to model the Eurozone financial crisis within that framework. The underlying system comprises many...

We study the problem of parameter estimation for stochastic differential equations with small noise and fast oscillating parameters. Depending on how fast the intensity of the noise goes to zero relative to the homogenization parameter, we consider three different regimes. For each regime, we...

This paper presents a European option pricing model by applying the Model-Order-Reduction (MOR) method. A European option pricing theorem based on Black–Scholes' equation is implemented by the Finite-Difference Method (FDM). However, the numerical models generated by the FDM could be...

Modern communication systems are working on industrial, scientific and medical (ISM) radio frequency (RF) bands. Today most research and development activities in industrial companies and universities are concentrated to frequency bands between 1GHz and 24GHz up to 60GHz. For the construction of...

A new method for nonlinear system identification, based on the technique of Interpolated Mapping, is formulated. The input to the procedure is a map, taking initial conditions on a regular grid to their images after a fixed time step. It is assumed that the underlying dynamics evolves in...