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Entropy in the creation of knowledge: a candidate source of endogenous business cycles

Gomes, Orlando - Volkswirtschaftliche Fakultät, … - 2006

returns prevail). In this paper, we introduce a new assumption about the generation of knowledge, which involves entropy, i … explored in scenarios of neoclassical and endogenous growth and it is able to justify endogenous fluctuations. Entropy in the … are observable for different degrees of entropy. Complete a-periodicity (chaos) is also found for particular values of an …

Persistent link: https://www.econbiz.de/10005787052

EXTENDED ENTROPIES AND DISORDER

DAVISON, MATT; SHINER, J. S. - In: Advances in Complex Systems (ACS) 08 (2005) 01, pp. 125-158

Landsberg's notion of disorder, entropy normalized to maximum entropy, was originally proposed for the Shannon … information-theoretic entropy to overcome extensivity-based deficiencies of entropy as a measure of disorder. We generalize …

Persistent link: https://www.econbiz.de/10005050866

Long memory and volatility clustering: Is the empirical evidence consistent across stock markets?

Bentes, Sónia R.; Menezes, Rui; Mendes, Diana A. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 15, pp. 3826-3830

volatility phenomenon is by using measures based on the concept of entropy. In this paper we investigate the long memory and …. Additionally, we compare the results from conditionally heteroscedastic models with those from the entropy measures. In the latter …, we examine Shannon entropy, Renyi entropy and Tsallis entropy. The results corroborate the previous evidence of nonlinear …

Persistent link: https://www.econbiz.de/10011061753

A geometric view of interest rate theory

Björk, Tomas - 2000

The purpose of this essay is to give an overview of some recent workconcerning structural properties of the evolution of the forward rate curve in an arbitrage free bond market. The main problems to be discussed are as follows. 1. When is a given forward rate model consistent with a given family...

Persistent link: https://www.econbiz.de/10010281447

Invariant manifolds for nonsmooth systems with sliding mode

Weiss, D.; Küpper, T.; Hosham, H.A. - In: Mathematics and Computers in Simulation (MATCOM) 110 (2015) C, pp. 15-32

Invariant manifolds play an important role in the study of Dynamical Systems, since they help to reduce the essential dynamics to lower dimensional objects. In that way, a bifurcation analysis can easily be performed. In the classical approach, the reduction to invariant manifolds requires...

Persistent link: https://www.econbiz.de/10011264188

A Geometric Description of a Macroeconomic Model with a Center Manifold

Gomis-Porqueras, Pere; Haro, Àlex - Barcelona Graduate School of Economics (Barcelona GSE) - 2008

This paper presents a unified framework of different algorithms to numerically compute high order expansions of invariant manifolds associated to a steady state of a dynamical system. The framework is inspired in the parameterization method of Cabr, Fontich and de la Llave [7], and the...

Persistent link: https://www.econbiz.de/10010547374

A Geometric View of Interest Rate Theory

Björk, Tomas - Economics Institute for Research (SIR), … - 2000

The purpose of this essay is to give an overview of some recent workconcerning structural properties of the evolution of the forward rate curve in an arbitrage free bond market. The main problems to be discussed are as follows. <p> <p> 1. When is a given forward rate model consistent with a given...</p></p>

Persistent link: https://www.econbiz.de/10005649234

Sharp criterion of global existence for a class of nonlinear Schrödinger equations with critical exponent

Xu, Runzhang; Wang, Xuemei; Niu, Yi; Zhang, Mingyou; … - In: Mathematics and Computers in Simulation (MATCOM) 107 (2015) C, pp. 46-51

This paper discusses the inhomogeneous nonlinear Schrödinger equation with critical exponent. By constructing a variational problem and the so-called invariant manifolds of the evolution flow, we derive a sharp criterion for blowup and global existence of the solutions.

Persistent link: https://www.econbiz.de/10011077433

The presence of an invariant manifold in the dissipative nonlinear four-wave coupling

Coninck, J.C.P.; Lopes, S.R.; Viana, R.L. - In: Physica A: Statistical Mechanics and its Applications 343 (2004) C, pp. 247-262

We examine the existence of an invariant manifold in the phase space structure presented by a dissipative four-wave coupling. We show that, once in such manifold, the system preserves two quantities as time evolves: a quantity related to the energy of the system and another, related to the...

Persistent link: https://www.econbiz.de/10011058307

A PDE based Implementation of the Hull&White Model for Cashflow Derivatives

Meyer, Sascha; Schwarz, Willi - In: Computational Statistics 18 (2003) 3, pp. 417-434

A new implementation for the one-dimensional Hull&White model is developed. It is motivated by a geometrical approach to construct an invariant manifold for the future dynamics of forward zero coupon bond prices under a forward martingale measure. This reduces the option-pricing problem for...

Persistent link: https://www.econbiz.de/10011241289