In this paper, we introduce a new measure of capital market efficiency. For its construction, we use the approaches of fractal dimension, Hurst exponent and entropy. The method is applied on 41 stock indices from the beginning of 2000 till the end of August 2011 and interesting results are found...

In this article we analyse a neoclassical model of inflation. Our aim is to reconstruct the neoclassical theory of inflation to obtain a model which generates non-periodical oscillations of price level. This model is considered to be a realistic approximation of actual price level evolution. We...

Neural networks - feed-forward neural networks and Elman's simplerecurrent neural networks - are compared with vector ARMA models- VAR and VARMA - in this paper. They are compared in anartificial stock market. One risk free and one risky asset aretraded in the market. There are only trend...

<p> <p><span style="font-size: 12.000000pt; font-family: 'CMR12';">The present special issue of the Bulletin of the Czech Econometric Society is devoted to approximation of stochastic programming problems with special regard to empirical estimates. The issue is being published at the occasion of an important jubilee of our dear colleague Vlasta Kankova who...</span></p></p>

A heterogeneous agents model with the worst out algorithm was considered for obtaining more realistic market conditions. The WOA replaces periodically the trading strategies that have the lowest performance level of all strategies presented on the market by the new ones. New strategies that...

The non-linear approach to economic dynamics enables us to study traditional economic models using modified formulations and different methods of solution. In this article we compare the dynamic properties of the Keynesian and Classical macroeconomic models. We start with an extended dynamic...

An economic model of cycles focused on the foreign capital investment phenomenon will be briefly introduced. We consider a system of the first order non-linear differential equations where a feedbackfunction is controlled by a capital/output ratio parameter. The value of potential gross domestic...

Macroeconomic models usually represent an equilibrium unemployment rate by using a differential equation. The solution of the differential equation expresses the natural unemployment rate. The same result is possible to achieve by using an introduced Markov's model of unemployment. Markov's...

The Efficient Markets Hypothesis provides a theoretical basis for trading rules. Technical trading rules provide a signal of when to buy or sell an asset based on such price patterns to the user. Technical traders tend to put little faith in strict efficient markets. Fundamentalists rely on...

Ekonomická dynamika je systematické studium ekonomických změn. Analyzují se změny ve výrobě, ve spotřebě, v obchodu, v alokaci zdrojů, v chování cen a v bohatství společnosti. Její součástí jsou dynamická teorie trhů, zabývající se chováním nabídky a poptávky a...