Search Results - subject:"Linear dynamics"

Okada, Daijiro; Tercieux, Olivier - Department of Economics, Rutgers University-New Brunswick - 2008

log-linear dynamics (relative log-linear dynamics) under which local potential maximizer with strictly positive weights is …We show that local potential maximizer (\cite{morris+05}) with constant weights is stochastically stable in the log-linear … dynamics provided that the payoff function or the associated local potential function is supermodular. We illustrate and …

Persistent link: https://www.econbiz.de/10008541005

Modelling non-linear comovements between time series

Kyrtsou, Catherine; Vorlow, Costas - Department of Economics and Finance, Business School - 2008

The main objective of this paper is to employ a new dynamic model that combines the bivariate noisy Mackeyâ€“Glass recently proposed by Kyrtsou and Labys [Kyrtsou, C., Labys, W., 2006. Evi- dence for chaotic dependence between US inflation and commodity prices. Journal of Macroeco- nomics...

Persistent link: https://www.econbiz.de/10009294138

Non-extensive behavior of a stock market index at microscopic time scales

Cortines, A.A.G.; Riera, R. - In: Physica A: Statistical Mechanics and its Applications 377 (2007) 1, pp. 181-192

This paper presents an empirical investigation of the intraday Brazilian stock market price fluctuations, considering q-Gaussian distributions that emerge from a non-extensive statistical mechanics. Our results show that, when price returns are measured over intervals less than one hour, the...

Persistent link: https://www.econbiz.de/10010874898

Recurrence quantification analysis and state space divergence reconstruction for financial time series analysis

Strozzi, Fernanda; Zaldívar, José-Manuel; Zbilut, … - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 487-499

The application of recurrence quantification analysis (RQA) and state space divergence reconstruction for the analysis of financial time series in terms of cross-correlation and forecasting is illustrated using high-frequency time series and random heavy-tailed data sets. The results indicate...

Persistent link: https://www.econbiz.de/10011060277

A theoretical approach to tourism sustainability

Casagrandi, Renato; Rinaldi, Sergio - 1997

In this paper we analyse tourism sustainability from a modelling point of view. The minimal model we propose is composed of three non-linear ordinary differential equations describing the dynamics of tourists, environment and services. Many of the parameters involved are concerned with the...

Persistent link: https://www.econbiz.de/10011608350

Triangle for the entropic index q of non-extensive statistical mechanics observed by Voyager 1 in the distant heliosphere

Burlaga, L.F.; F.-Viñas, A. - In: Physica A: Statistical Mechanics and its Applications 361 (2006) 1, pp. 173-179

Tsallis [Physica A 340 (2004) 1) identified a set of numbers, the “q-triplet” ≡ {qstat, qsen, qrel}, for a system described by non-extensive statistical mechanics. The deviation of the q's from unity is a measure of the departure from thermodynamic equilibrium. We present observations of...

Persistent link: https://www.econbiz.de/10011057648

Non-linear forecasting in high-frequency financial time series

Strozzi, F.; Zaldívar, J.M. - In: Physica A: Statistical Mechanics and its Applications 353 (2005) C, pp. 463-479

A new methodology based on state space reconstruction techniques has been developed for trading in financial markets. The methodology has been tested using 18 high-frequency foreign exchange time series. The results are in apparent contradiction with the efficient market hypothesis which states...

Persistent link: https://www.econbiz.de/10011059385

Discrete Dynamical Systems

Galor, Oded - EconWPA - 2005

This manuscript analyzes the fundamental factors that govern the qualitative behavior of discrete dynamical systems. It introduces methods of analysis for stability analysis of discrete dynamical systems. The analysis focuses initially on the derivation of basic propositions about the factors...

Persistent link: https://www.econbiz.de/10005062750

Using the correlation dimension to detect non-linear dynamics: Evidence from the Athens Stock Exchange

Chappell, David; Panagiotidis, Theodore - EconWPA - 2005

The standardised residuals from GARCH models fitted to three stock indices of the Athens Stock Exchange are examined for evidence of chaotic behaviour. In each case the correlation dimension is calculated for a range of embedding dimensions. The results do not support the hypothesis of chaotic...

Persistent link: https://www.econbiz.de/10005119103

Liouville equation and the q-statistical formalism

Plastino, A.R; Giordano, C; Plastino, A; Casas, M - In: Physica A: Statistical Mechanics and its Applications 336 (2004) 3, pp. 376-390

We revisit some aspects of the foundations of the q-non-extensive thermostatistical formalism, which are particularly relevant to its astronomical applications. We analyse some important features of escort mean values and escort distributions, in connection with the dynamical evolution of...

Persistent link: https://www.econbiz.de/10010874091