Search results for "Mathematical Economics"

Do we need algebraic-like computations? A reply to Bonatti, Pena, Nespor, and Mehler (2006).

2006

L. L. Bonatti, M. Pena, M. Nespor, and J. Mehler (2006) argued that P. Perruchet, M. D. Tyler, N. Galland, and R. Peereman (2004) confused the notions of segmentation and generalization by ignoring the evidence for generalization in M. Pena, L. L. Bonatti, M. Nespor, and J. Mehler (2002). In this reply, the authors reformulate and complement their initial arguments, showing that their way of dealing with segmentation and generalization is not due to confusion or ignorance but rather to the fact that the tests used in Pena et al. make it likely that neither segmentation nor generalization were captured in their experiments. Finally, the authors address the challenge posed by Pena et al. of a…

Weierstraß’s Approximation Theorem (1885) and his 1886 lecture course revisited

2015

The paper provides new insight into the origins of Weierstras’s 1886 lecture course on the foundations of function theory and of the mimeographed lecture notes connected to this course which were published by the author in German in 1988. A short overview of the content of the lecture course is given; the central role that Weierstras’s famous approximation theorem of 1885 played in it is emphasized. The paper uses archival material recently discovered at the Institut Mittag-Leffler in Djursholm.

Global–Local Counting Conjectures

2018

Statistical analysis of financial returns for a multiagent order book model of asset trading

2007

We recently introduced a realistic order book model [T. Preis, Europhys. Lett. 75, 510 (2006)] which is able to generate the stylized facts of financial markets. We analyze this model in detail, explain the consequences of the use of different groups of traders, and focus on the foundation of a nontrivial Hurst exponent based on the introduction of a market trend. Our order book model supports the theoretical argument that a nontrivial Hurst exponent implies not necessarily long-term correlations. A coupling of the order placement depth to the market trend can produce fat tails, which can be described by a truncated Lévy distribution.

Dominating Clasp of the Financial Sector Revealed by Partial Correlation Analysis of the Stock Market

2010

What are the dominant stocks which drive the correlations present among stocks traded in a stock market? Can a correlation analysis provide an answer to this question? In the past, correlation based networks have been proposed as a tool to uncover the underlying backbone of the market. Correlation based networks represent the stocks and their relationships, which are then investigated using different network theory methodologies. Here we introduce a new concept to tackle the above question--the partial correlation network. Partial correlation is a measure of how the correlation between two variables, e.g., stock returns, is affected by a third variable. By using it we define a proxy of stoc…

Econophysics: Scaling and its breakdown in finance

1997

We discuss recent empirical results obtained by analyzing high-frequency data of a stock market index, the Standard and Poor’s 500. We focus on the scaling properties and on its breakdown of the index dynamics. A simple stochastic model, the truncated Levy flight, is illustrated. Successes and limitations of this model are presented. A discussion about similarities and differences between the scaling properties observed in financial markets and in fully developed turbulence is also provided.

Accounting Symmetries on Indonesian Entities by Applying the Edgeworth's Box

2020

Decisions making of entities in an economy are materialized into transactions to transform economic goods into monetary goods, maintaining a continued management of the corporate activity. The transformation of economic goods into monetary ones is a <<mutatis mutandis>> effect in which entities of the economic and financial market interfere with different impact in their respective financial statements. In accordance to the economic situation of the market, we can make a bigger/smaller association between such entities. This association is susceptible of being represented by accounting symmetries. Accounting symmetries are obtained to measure the positions taken by entities in a…

Toward a formalization of a two traders market with information exchange

2014

This paper shows that Hamiltonians and operators can also be put to good use even in contexts which are not purely physics based. Consider the world of finance. The work presented here {models a two traders system with information exchange with the help of four fundamental operators: cash and share operators; a portfolio operator and an operator reflecting the loss of information. An information Hamiltonian is considered and an additional Hamiltonian is presented which reflects the dynamics of selling/buying shares between traders. An important result of the paper is that when the information Hamiltonian is zero, portfolio operators commute with the Hamiltonian and this suggests that the dy…

Cautionary Note on the Two-Step Transformation to Normality

2019

ABSTRACT Templeton and Burney (2017) proposed a two-step normality transformation as a remedy for non-normally distributed data, which are commonly found in AIS research. We argue that, rather than transforming the data toward normality, researchers should first seek to analyze and understand the sources of non-normality. Using simulated datasets, we demonstrate three sources of non-normality and their consequences for regression estimation. We then demonstrate that the two-step transformation cannot solve any of these problems and that each source of non-normality can be handled with alternative, existing techniques. We further present two empirical examples to demonstrate these issues wit…

Understanding the shortcomings of commodity-based technology in input-output models: an economic-circuit approach

2004

International audience; The Make-Use Model serves as a basis for most national accounting systems as the System of National Accounts (SNA) and is acknowledged as the most suitable model for interregional analysis. Two hypotheses are traditionally made featuring either industry-based technologies (IBT) or commodity-based technologies (CBT). While industry-based technologies can be easily interpreted in terms of a demand-driven economic circuit, it will be shown that: (1) commodity-based technologies cannot be interpreted as a demand-driven economic circuit because this involves computing the inverse of a matrix (the matrix of industry output proportions), which is either impossible or genera…