We empirically investigate whether the relationship between interest rates and public deficits/debt may be nonlinear for the U.S. Using threshold estimation, we find evidence of level-dependent effects on interest rates, implying a significant effect of projected deficits and debt in the U.S....

Some nonlinear PDEs partial differential equations are exactly solvable. As an example, nonlinear PDEs such as the Soliton equation were shown to be exactly solvable by quantum operator methods. More recently the Boltzmann equation was solved exactly as well. A question is are other equations...

Kernel ridge regression is gaining popularity as a data-rich nonlinear forecasting tool, which is applicable in many different contexts. This paper investigates the influence of the choice of kernel and the setting of tuning parameters on forecast accuracy. We review several popular kernels,...

While there are many evidences of nonlinearity in developed markets, there has not been many works in this direction in Indian financial markets. In this study we wish to bridge this gap by testing for nonlinearity in the Indian stock and commodity market. We consider the index movements in...

We establish novel necessary and sufficient conditions for a particularly tractable concept of monotonic dependence of an exponential conditional probability model on its explanatory variables. We introduce convex programming methods to calibrate such models (which are monotone in conditional...

A new set of methodologies extracts key nonlinearities in the dynamics of financial markets from data that would appear to be completely random with ordinary linear time series methods. The understanding acquired from this analysis forms a basis for modeling conflicting and competing motivations...

We propose a new method for medium-term forecasting using exogenous information. We first show how a shifting-mean autoregressive model can be used to describe characteristic features in inflation series. This implies that we decompose the inflation process into a slowly moving nonstationary...

This paper describes a way to model a seasonally and irregularly peaking price dynamics, as that originated in commodity and energy markets, using a system of coupled nonlinear stochastic differential equations. The specific case of an electric power market is used to show which microeconomic...

This paper introduces a new technical analysis method of stock market. I would like to call is as volume-weighted moving average and use VWMA as the abbreviation.By using VWMA, time-variable and nonlinear phenomenon of stock market can be seen. Comparing with the simple moving average, VWMA can...