Related papers: A Chaotic Approach to Market Dynamics
Existence theory in economics is usually in real domains such as the findings of chaotic trajectories in models of economic growth, tatonnement, or overlapping generations models. Computational examples, however, sometimes converge rapidly…
The relationship between chaos and quantum mechanics has been somewhat uneasy -- even stormy, in the minds of some people. However, much of the confusion may stem from inappropriate comparisons using formal analyses. In contrast, our…
By means of a novel variational approach we study ergodic properties of a model of a multi lane traffic flow, considered as a (deterministic) wandering of interacting particles on an infinite lattice. For a class of initial configurations…
High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…
In the chaotic quantization approach one replaces the Gaussian white noise of the Parisi-Wu approach of stochastic quantization by a deterministic chaotic process on a very small scale. We consider suitable coupled chaotic noise processes…
Using the Generalised Lotka Volterra (GLV) model adapted to deal with muti agent systems we can investigate economic systems from a general viewpoint and obtain generic features common to most economies. Assuming only weak generic…
The disbalance of Supply and Demand is typically considered as the driving force of the markets. However, the measurement or estimation of Supply and Demand at price different from the execution price is not possible even after the…
We propose in this work a kinetic wealth-exchange model of economic growth by introducing saving as a non consumed fraction of production. In this new model, which starts also from microeconomic arguments, it is found that economic…
This paper presents an empirical application of the Gause-Witt model of population ecology and ecosystems to the income distribution competitive dynamics of social classes in economic systems. The Gause-Witt mathematical system of coupled…
We study the distributions of money in a simple closed economic system for different types of monetary transactions. We know that for arbitrary and random sharing but locally conserving money transactions, the money distribution goes to the…
Although financial models violate ergodicity in general, observing the ergodic behavior in the markets is not rare. Policymakers and market participants control the market behavior in critical and emergency states, which leads to some…
The financial and economic crisis recently experienced by many European countries has increased demand for timely, coherent and consistent distributional information for the household sector. In the Euro area, most of the NCBs collect such…
The relationship between micro-structure and macro-structure of complex systems using information geometry has been dealt by several authors. From this perspective, we are going to apply it as a geometrical structure connecting both…
We connect quantum graphs with infinite leads, and turn them to scattering systems. We show that they display all the features which characterize quantum scattering systems with an underlying classical chaotic dynamics: typical poles, delay…
Theoretical foundations of chaos have have been predominantly laid out for finite-dimensional dynamical systems, such as the three-body problem in classical mechanics and the Lorenz model in dissipative systems. In contrast, many real-world…
In this paper, making use of recent statistical physics techniques and models, we address the specific role of randomness in financial markets, both at the micro and the macro level. In particular, we review some recent results obtained…
Is the present economic and financial crisis similar to some previous one? It would be so nice to prove that universality laws exist for predicting such rare events under a minimum set of realistic hypotheses. First, I briefly recall…
We extend the exploration regarding dynamical approach of macroeconomic variables by tackling systematically expenditure using Statistical Physics models (for the first time to the best of our knowledge). Also, using polynomial distribution…
Different models to study the wealth distribution in an artificial society have considered a transactional dynamics as the driving force. Those models include a risk aversion factor, but also a finite probability of favoring the poorer…
This paper is the second in a series of two, and describes the current state of the art in modelling and prediction of chaotic time series. Sampled data from deterministic non-linear systems may look stochastic when analysed with linear…