Search Results - subject:"Scale invariance"

How fast does the clock of finance run? A time-definition enforcing stationarity and quantifying overnight duration

Caraglio, Michele; Baldovin, Fulvio; Stella, Attilio L. - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-15

A definition of time based on the assumption of scale invariance may enhance and simplify the analysis of historical …

Persistent link: https://www.econbiz.de/10013201068

How fast does the clock of finance run? : a time-definition enforcing stationarity and quantifying overnight duration

Caraglio, Michele; Baldovin, Fulvio; Stella, Attilio L. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-15

A definition of time based on the assumption of scale invariance may enhance and simplify the analysis of historical …

Persistent link: https://www.econbiz.de/10012627059

Why quadratic log-log dependence is ubiquitous and what next

Aguilar, Sean R.; Kreinovich, Vladik; Pham Uyen - In: Asian journal of economics and banking : AJEB 5 (2021) 1, pp. 25-31

explain this empirical fact. Design/methodology/approach - The authors use natural scale invariance requirements. Findings … - In this paper, the authors used natural scale invariance requirement to explain the ubiquity of quadratic log …, scale-invariance requirements lead to dependencies which in the log-log scale take cubic, 4th order, etc. form. Originality …

Persistent link: https://www.econbiz.de/10012515116

Elements of economics of uncertainty and time with recursive utility

Aase, Knut K. - 2020

Persistent link: https://www.econbiz.de/10012489790

From Disorder to Order

Yue, Xiao-Guang; Cao, Yong; McAleer, Michael - 2015

In the physical sciences, order and disorder refer to the presence or absence of some symmetry or correlation in a many-particle system. It follows that it is important to examine whether there is any regularity hidden in the phase transition of the disorder-order relationship. In this paper a...

Persistent link: https://www.econbiz.de/10011403572

From disorder to order

Yue, Xiaoguang; Cao, Yong; McAleer, Michael - 2015

Persistent link: https://www.econbiz.de/10011376261

Scale-invariant uncertainty-averse preferences and source-dependent constant relative risk aversion

Skiadas, Costis - In: Theoretical Economics 8 (2013) 1, pp. 59-93

associated with SI ambiguity-averse preferences in terms of suitable weak independence axioms in place of scale invariance. …

Persistent link: https://www.econbiz.de/10011599476

Scale-invariant uncertainty-averse preferences and source-dependent constant relative risk aversion

Skiadas, Costis - In: Theoretical Economics 8 (2013) 1

associated with SI ambiguity-averse preferences in terms of suitable weak independence axioms in place of scale invariance. …

Persistent link: https://www.econbiz.de/10009395398

Risk Attitudes, Buying and Selling Price for a Lottery and Simple Strategies

Lewandowski, Michał - In: Central European Journal of Economic Modelling and … 5 (2013) 1, pp. 1-34

This paper defines the concept of simple strategy and introduces three kinds of simple strategies: wealth-invariant, scale-invariant and "wealthier-accept more". For three commonly used utility function families: CARA, CRRA and DARA equivalent characterizations are obtained in terms of the...

Persistent link: https://www.econbiz.de/10010680377

Scale-invariant uncertainty-averse preferences and source-dependent constant relative risk aversion

Skiadas, Costis - In: Theoretical economics : TE ; an open access journal in … 8 (2013) 1, pp. 59-93

associated with SI ambiguity-averse preferences in terms of suitable weak independence axioms in place of scale invariance. …

Persistent link: https://www.econbiz.de/10011688977