Search results for "Mathematical Economics"
showing 10 items of 240 documents
Collapsibility and Collapsing Multidimensional Contingency Tables—Perspectives and Implications
2000
Collapsing multidimensional contingency tables is a necessary procedure in all kinds of research. Since collapsibility is subject to severe conditions, collapsing is often not admissible without incurring severe interpretative errors. After having discussed the main contributions to the statistical specification of the concept, we shall point out the logical conditions for collapsing multidimensional contingency tables.
The Reduction of Dimension in the Study of Economic Growth Models
2002
We examine the dimension reduction method and prove that it could be misleading if we try to get some insight into the dynamics of the original system from the dynamics of the transformed system alone. The reduced system seemingly may give rise to a continuum multiplicity of steady states when, actually, it does exist a unique and isolated steady state or even it does not exist a steady state at all. We show how the dynamics for the primary variables that is recovered from the solution to the reduced system may be refuted by solving the original one. In our opinion there is no alternative because nothing can be regarded as a close substitute for the study of the original system. Although th…
On robustness and dynamics in (un)balanced coalitional games
2012
In this paper we investigate robustness and dynamics for coalitional games with transferable utilities (TU games). In particular we study sequences of TU games. These sequences model dynamic situations in which the values of coalitions of players are not known beforehand, and are subject to changes over time. An allocation rule assigns a payoff to each player in each time period. This payoff is bounded by external restrictions, for example due to contractual agreements. Our main questions are: (i) under which conditions do the allocations converge to a core-element of the game, and (ii) when do the allocations converge to some specific allocation, the so-called nominal allocation? The main …
Information and hierarchical structure in financial markets
1999
I investigate the information content present in the time series of stock prices of a portfolio of stocks traded in a financial market. By investigating the correlation coefficient between pairs of stocks I provide a working definition of a generalized distance between the stocks of the portfolio. This generalized distance is used to obtain an ultrametric distance matrix between the stocks. The ultrametric structure of the portfolio investigated has associated a taxonomy which is meaningful from an economic point of view.
Causal Inference and Statistical Fallacies
2001
Fallacies are defined as plausible-seeming arguments that give the wrong conclusion. The article concentrates on those with some connection with causality. The classical definition of causality involving a necessary and sufficient condition for an effect is rejected and three possible definitions discussed. The first is that of a statistical association that cannot be explained away as the effect of admissible alternative features. To make this more precise, Markov graphical representations are introduced and the important distinction between pairs of variables on an equal footing and those in a potential explanatory-response relation described. The roles of unobserved confounders and of ra…
Valuation of Barrier Options in a Black-Scholes Setup with Jump Risk
1999
This paper discusses the pitfalls in the pricing of barrier options approximations of the underlying continuous processes via discrete lattice models. These problems are studied first in a Black-Scholes model. Improvements result from a trinomial model and a further modified model where price changes occur at the jump times of a Poisson process. After the numerical difficulties have been resolved in the Black-Scholes model, unpredictable discontinuous price movements are incorporated.
Axiomatic Foundations Of Fixed-Basis Fuzzy Topology
1999
This paper gives the first comprehensive account on various systems of axioms of fixed-basis, L-fuzzy topological spaces and their corresponding convergence theory. In general we do not pursue the historical development, but it is our primary aim to present the state of the art of this field. We focus on the following problems:
On Ibn Ezra's Procedure and Shapley Value
2014
We examine ibn Ezra's procedure (Rabinovitch 1973; O'Neill 1982) historically used to solve the Rights Arbitration problem in the general framework of bankruptcy problems. When the greatest claim is larger than or equal to the estate, the procedure is a maximal game (Aumann 2010). However, when the greatest claim is smaller than the estate, the axioms of efficiency (the whole estate is distributed) and satiation are difficult to satisfy simultaneously. We discuss both axioms to show that their importance and necessity are radically different. From then, for the part of the estate not covered by the greatest claim, we examine four possible procedures: the minimal overlap rule, Alcalde et al.…
Optimal Population Growth as an Endogenous Discounting Problem: The Ramsey Case
2018
International audience; This paper revisits the optimal population size problem in a continuous time Ramsey setting with costly child rearing and both intergenerational and intertemporal altruism. The social welfare functions considered range from the Millian to the Benthamite. When population growth is endogenized, the associated optimal control problem involves an endogenous effective discount rate depending on past and current population growth rates, which makes preferences intertemporally dependent. We tackle this problem by using an appropriate maximum principle. Then we study the stationary solutions (balanced growth paths) and show the existence of two admissible solutions except in…
On symmetric nonlocal games
2013
Abstract Nonlocal games are used to display differences between the classical and quantum world. In this paper, we study symmetric XOR games, which form an important subset of nonlocal games. We give simple methods for calculating the classical and the quantum values for symmetric XOR games with one-bit input per player. We illustrate those methods with two examples. One example is an N -player game (due to Ardehali (1992) [3] ) that provides the maximum quantum-over-classical advantage. The second example comes from generalization of CHSH game by letting the referee to choose arbitrary symmetric distribution of players’ inputs.