Pub Date : 2012-08-06DOI: 10.1007/978-94-017-8691-1_4
R. Kitt
{"title":"Economic Decision Making: Application of the Theory of Complex Systems","authors":"R. Kitt","doi":"10.1007/978-94-017-8691-1_4","DOIUrl":"https://doi.org/10.1007/978-94-017-8691-1_4","url":null,"abstract":"","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121784211","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The trade of a fixed stock can be regarded as the basic process that measures its momentary price. The stock price is exactly known only at the time of sale when the stock is between traders, that is, only in the case when the owner is unknown. We show that the stock price can be better described by a function indicating at any moment of time the probabilities for the possible values of price if a transaction takes place. This more general description contains partial information on the stock price, but it also contains partial information on the stock owner. By following the analogy with quantum mechanics, we assume that the time evolution of the function describing the stock price can be described by a Schrodinger type equation.
{"title":"A quantum mechanical model for the relationship between stock price and stock ownership","authors":"Liviu-Adrian Cotfas","doi":"10.1063/1.4766764","DOIUrl":"https://doi.org/10.1063/1.4766764","url":null,"abstract":"The trade of a fixed stock can be regarded as the basic process that measures its momentary price. The stock price is exactly known only at the time of sale when the stock is between traders, that is, only in the case when the owner is unknown. We show that the stock price can be better described by a function indicating at any moment of time the probabilities for the possible values of price if a transaction takes place. This more general description contains partial information on the stock price, but it also contains partial information on the stock owner. By following the analogy with quantum mechanics, we assume that the time evolution of the function describing the stock price can be described by a Schrodinger type equation.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"41 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125562465","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
With this work it is analyzed the import and export of horticultural products between Portugal and the other world countries. It is used data about Portuguese international trade of vegetables from 2006 to 2010. The data were obtained from the INE (Statistics Portugal), gently given by the AICEP (Trade & Investment Agency). It is did some estimations taking into account the models from the convergence theory, with panel data and using methods by fixed effects, random effects and dynamic effects, for the Portuguese import and export of vegetables, separately. It is found convergence in all estimations. The volatility was also tested. All the tests show no stationary of the data. So, in statically means the data show weak regularity. In this way all the conclusion, must be did very carefully. This lack of regularity is a result of lack of a national coherent policy for the sector.
{"title":"Import and export of horticultural products in Portugal","authors":"V. Martinho","doi":"10.7813/jee.2013/4-1/1","DOIUrl":"https://doi.org/10.7813/jee.2013/4-1/1","url":null,"abstract":"With this work it is analyzed the import and export of horticultural products between Portugal and the other world countries. It is used data about Portuguese international trade of vegetables from 2006 to 2010. The data were obtained from the INE (Statistics Portugal), gently given by the AICEP (Trade & Investment Agency). It is did some estimations taking into account the models from the convergence theory, with panel data and using methods by fixed effects, random effects and dynamic effects, for the Portuguese import and export of vegetables, separately. It is found convergence in all estimations. The volatility was also tested. All the tests show no stationary of the data. So, in statically means the data show weak regularity. In this way all the conclusion, must be did very carefully. This lack of regularity is a result of lack of a national coherent policy for the sector.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131206449","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2012-02-07DOI: 10.1007/978-88-470-2553-0_10
A. Mehta
{"title":"Predatory Trading and Risk Minimisation: How to (B)Eat the Competition","authors":"A. Mehta","doi":"10.1007/978-88-470-2553-0_10","DOIUrl":"https://doi.org/10.1007/978-88-470-2553-0_10","url":null,"abstract":"","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121255992","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2011-07-17DOI: 10.12693/APhysPolA.121.B-7
Bartosz Bieda, Pawe l Chodorowski, D. Grech
We apply the Zipf power law to financial time series of WIG20 index daily changes (open-close). Thanks to the mapping of time series signal into the sequence of 2k+1 'spin-like' states, where k=0, 1/2, 1, 3/2, ..., we are able to describe any time series increments, with almost arbitrary accuracy, as the one of such 'spin-like' states. This procedure leads in the simplest non-trivial case (k = 1/2) to the binary data projection. More sophisticated projections are also possible and mentioned in the article. The introduced formalism allows then to use Zipf power law to describe the intrinsic structure of time series. The fast algorithm for this implementation was constructed by us within Matlab^{TM} software. The method, called Zipf strategy, is then applied in the simplest case k = 1/2 to WIG 20 open and close daily data to make short-term predictions for forthcoming index changes. The results of forecast effectiveness are presented with respect to different time window sizes and partition divisions (word lengths in Zipf language). Finally, the various investment strategies improving ROI (return of investment) for WIG20 futures are proposed. We show that the Zipf strategy is the appropriate and very effective tool to make short-term predictions and therefore, to evaluate short-term investments on the basis of historical stock index data. Our findings support also the existence of long memory in financial data, exceeding the known in literature 3 days span limit.
{"title":"On the Zipf strategy for short-term investments in WIG20 futures","authors":"Bartosz Bieda, Pawe l Chodorowski, D. Grech","doi":"10.12693/APhysPolA.121.B-7","DOIUrl":"https://doi.org/10.12693/APhysPolA.121.B-7","url":null,"abstract":"We apply the Zipf power law to financial time series of WIG20 index daily changes (open-close). Thanks to the mapping of time series signal into the sequence of 2k+1 'spin-like' states, where k=0, 1/2, 1, 3/2, ..., we are able to describe any time series increments, with almost arbitrary accuracy, as the one of such 'spin-like' states. This procedure leads in the simplest non-trivial case (k = 1/2) to the binary data projection. More sophisticated projections are also possible and mentioned in the article. The introduced formalism allows then to use Zipf power law to describe the intrinsic structure of time series. The fast algorithm for this implementation was constructed by us within Matlab^{TM} software. The method, called Zipf strategy, is then applied in the simplest case k = 1/2 to WIG 20 open and close daily data to make short-term predictions for forthcoming index changes. The results of forecast effectiveness are presented with respect to different time window sizes and partition divisions (word lengths in Zipf language). Finally, the various investment strategies improving ROI (return of investment) for WIG20 futures are proposed. We show that the Zipf strategy is the appropriate and very effective tool to make short-term predictions and therefore, to evaluate short-term investments on the basis of historical stock index data. Our findings support also the existence of long memory in financial data, exceeding the known in literature 3 days span limit.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121648184","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium adjustment mechanisms. This raises the important question of how sensitive such models might be to real-world effects that violate the assumptions. We show how the consequences of rational behavior caused by perverse incentives, as well as various irrational tendencies identified by behavioral economists, can be systematically and consistently introduced into an agent-based model for a financial asset. This generates a class of models which, in the special case where such effects are absent, reduces to geometric Brownian motion --- the usual equilibrium pricing model. Thus we are able to numerically perturb a widely-used equilibrium pricing model market and investigate its stability. The magnitude of such perturbations in real markets can be estimated and the simulations imply that this is far outside the stability region of the equilibrium solution, which is no longer observed. Indeed the price fluctuations generated by endogenous dynamics, are in good general agreement with the excess kurtosis and heteroskedasticity of actual asset prices. The methodology is presented within the context of a financial market. However, there are close links to concepts and theories from both micro- and macro-economics including rational expectations, Soros' theory of reflexivity, and Minsky's theory of financial instability.
{"title":"How sensitive are equilibrium pricing models to real-world distortions?","authors":"H. Lamba","doi":"10.2139/SSRN.1676925","DOIUrl":"https://doi.org/10.2139/SSRN.1676925","url":null,"abstract":"In both finance and economics, quantitative models are usually studied as isolated mathematical objects --- most often defined by very strong simplifying assumptions concerning rationality, efficiency and the existence of disequilibrium adjustment mechanisms. This raises the important question of how sensitive such models might be to real-world effects that violate the assumptions. We show how the consequences of rational behavior caused by perverse incentives, as well as various irrational tendencies identified by behavioral economists, can be systematically and consistently introduced into an agent-based model for a financial asset. This generates a class of models which, in the special case where such effects are absent, reduces to geometric Brownian motion --- the usual equilibrium pricing model. Thus we are able to numerically perturb a widely-used equilibrium pricing model market and investigate its stability. The magnitude of such perturbations in real markets can be estimated and the simulations imply that this is far outside the stability region of the equilibrium solution, which is no longer observed. Indeed the price fluctuations generated by endogenous dynamics, are in good general agreement with the excess kurtosis and heteroskedasticity of actual asset prices. The methodology is presented within the context of a financial market. However, there are close links to concepts and theories from both micro- and macro-economics including rational expectations, Soros' theory of reflexivity, and Minsky's theory of financial instability.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"141 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-09-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114014549","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2009-06-08DOI: 10.1007/978-88-470-1501-2_8
D. Fiaschi, M. Marsili
{"title":"Economic Interactions and the Distribution of Wealth","authors":"D. Fiaschi, M. Marsili","doi":"10.1007/978-88-470-1501-2_8","DOIUrl":"https://doi.org/10.1007/978-88-470-1501-2_8","url":null,"abstract":"","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-06-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127282841","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2008-05-01DOI: 10.11130/JEI.2008.23.2.297
M. Gligor, M. Ausloos
The cluster analysis methods are used in order to perform a comparative study of 15 EU countries in relation with the fluctuations of some basic macroeconomic indicators. The statistical distances between countries are calculated for various moving time windows, and the time variation of the mean statistical distance is investigated. The decreasing of the mean statistical distance between EU countries is reflected in the correlated fluctuations of the basic ME indicators: GDP, GDP/capita, Consumption and Investments. This empirical evidence can be seen as an economic aspect of globalization. The Moving Average Minimal Length Path (MAMLP) algorithm allows to search for a cluster-like structures derived both from the hierarchical organization of countries and from their relative movement inside the hierarchy. It is found that the strongly correlated countries with respect to GDP fluctuations can be partitioned into stable clusters. Some of the highly correlated countries, with respect to GDP fluctuations, display strong correlations also in the Final Consumption Expenditure, while others are strongly correlated in Gross Capital Formation. On the other hand, one notices the similitude of the classifications regarding GDP and Net Exports fluctuations as concerns the squared sum of the correlation coefficients (so called country sensitivity). The final structure proves to be robust against the constant size time window moving over the scanned time interval. The policy implications of the above empirical results concern the economic clusters arising in the presence of Marshallian externalities and the relationships between trade barriers, R&D incentives and growth that must be accounted in elaborating a cluster-promotion policy.
{"title":"Convergence and cluster structures in EU area according to fluctuations in macroeconomic indices","authors":"M. Gligor, M. Ausloos","doi":"10.11130/JEI.2008.23.2.297","DOIUrl":"https://doi.org/10.11130/JEI.2008.23.2.297","url":null,"abstract":"The cluster analysis methods are used in order to perform a comparative study of 15 EU countries in relation with the fluctuations of some basic macroeconomic indicators. The statistical distances between countries are calculated for various moving time windows, and the time variation of the mean statistical distance is investigated. The decreasing of the mean statistical distance between EU countries is reflected in the correlated fluctuations of the basic ME indicators: GDP, GDP/capita, Consumption and Investments. This empirical evidence can be seen as an economic aspect of globalization. The Moving Average Minimal Length Path (MAMLP) algorithm allows to search for a cluster-like structures derived both from the hierarchical organization of countries and from their relative movement inside the hierarchy. It is found that the strongly correlated countries with respect to GDP fluctuations can be partitioned into stable clusters. Some of the highly correlated countries, with respect to GDP fluctuations, display strong correlations also in the Final Consumption Expenditure, while others are strongly correlated in Gross Capital Formation. On the other hand, one notices the similitude of the classifications regarding GDP and Net Exports fluctuations as concerns the squared sum of the correlation coefficients (so called country sensitivity). The final structure proves to be robust against the constant size time window moving over the scanned time interval. The policy implications of the above empirical results concern the economic clusters arising in the presence of Marshallian externalities and the relationships between trade barriers, R&D incentives and growth that must be accounted in elaborating a cluster-promotion policy.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130765560","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We propose a dynamical model for business cycle based on an optimal DI model. In the model there exists a conserved quantity, which corresponds to the total energy in a dynamical system. We found that the business cycle with the period 6 or 7 years is nicely reproduced, since the model predicts a periodic motion in the conservative system.
{"title":"Business Cycle and Conserved Quantity in Economics","authors":"Masa Taniguchi, M. Bandō, A. Nakayama","doi":"10.1143/JPSJ.77.114001","DOIUrl":"https://doi.org/10.1143/JPSJ.77.114001","url":null,"abstract":"We propose a dynamical model for business cycle based on an optimal DI model. In the model there exists a conserved quantity, which corresponds to the total energy in a dynamical system. We found that the business cycle with the period 6 or 7 years is nicely reproduced, since the model predicts a periodic motion in the conservative system.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"239 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120978955","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2007-10-02DOI: 10.1007/978-3-642-18003-3_18
Z. Kuscsik, D. Horváth
{"title":"Statistical properties of agent-based market area model","authors":"Z. Kuscsik, D. Horváth","doi":"10.1007/978-3-642-18003-3_18","DOIUrl":"https://doi.org/10.1007/978-3-642-18003-3_18","url":null,"abstract":"","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2007-10-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115160661","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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