Related papers: Almost Periodically Correlated Time Series in Busi…
We design a novel, nonlinear single-source-of-error model for analysis of multiple business cycles. The model's specification is intended to capture key empirical characteristics of business cycle data by allowing for simultaneous cycles of…
We develop a tractable macroeconomic model that captures dynamic behaviors across multiple timescales, including business cycles. The model is anchored in a dynamic capital demand framework reflecting an interactions-based process whereby…
We develop a generalization of correlated trend-cycle decompositions that avoids prior assumptions about the long-run dynamic characteristics by modelling the permanent component as a fractionally integrated process and incorporating a…
Recurrent boom-and-bust cycles are a salient feature of economic and financial history. Cycles found in the data are stochastic, often highly persistent, and span substantial fractions of the sample size. We refer to such cycles as "long".…
We consider the problem of optimizing the economic performance of nonlinear constrained systems subject to uncertain time-varying parameters and bounded disturbances. In particular, we propose an adaptive economic model predictive control…
A method based on wavelet transform and genetic programming is proposed for characterizing and modeling variations at multiple scales in non-stationary time series. The cyclic variations, extracted by wavelets and smoothened by cubic…
This paper suggests that business cycles may be a manifestation of coupled real economy and stock market dynamics and describes a mechanism that can generate economic fluctuations consistent with observed business cycles. To this end, we…
The fluctuation scaling law has universally been observed in a wide variety of phenomena. For counting processes describing the number of events occurred during time intervals, it is expressed as a power function relationship between the…
We propose two specifications of a real-time mixed-frequency semi-structural time series model for evaluating the output potential, output gap, Phillips curve, and Okun's law for the US. The baseline model uses minimal theory-based…
A new model for time series with a specific oscillation pattern is proposed. The model consists of a hidden phase process controlling the speed of polling and a nonparametric curve characterizing the pattern, leading together to a…
This paper presents hydrodynamic-like model of business cycles aggregate fluctuations of economic and financial variables. We model macroeconomics as ensemble of economic agents on economic space and agent's risk ratings play role of their…
Aperiodic variability is a characteristic feature of young stars, massive stars, and active galactic nuclei. With the recent proliferation of time domain surveys, it is increasingly essential to develop methods to quantify and analyze…
We present a model predictive control (MPC) formulation to directly optimize economic criteria for linear constrained systems subject to disturbances and uncertain model parameters. The proposed formulation combines a certainty equivalent…
The statistics of return distributions on various time scales constitutes one of the most informative characteristics of the financial dynamics. Here we present a systematic study of such characteristics for the Polish stock market index…
Model predictive control (MPC) has become the most widely used advanced control method in process industry. In many cases, forecasts of the disturbances are available, e.g., predicted renewable power generation based on weather forecast.…
A major concern when dealing with financial time series involving a wide variety ofmarket risk factors is the presence of anomalies. These induce a miscalibration of the models used toquantify and manage risk, resulting in potential…
Firms having similar business activities are correlated. We analyze two different cross-correlation matrices C constructed from (i) 30-min price fluctuations of 1000 US stocks for the 2-year period 1994-95 and (ii) 1-day price fluctuations…
Scaling properties in financial fluctuations are reviewed from the standpoint of statistical physics. We firstly show theoretically that the balance of demand and supply enhances fluctuations due to the underlying phase transition…
The major study by Bordo and Helbing (2003) analyses the business cycle in Western economies 1881-2001. They examine four distinct periods in economic history, and conclude that there is a secular trend towards greater synchronisation for…
Current business cycle theory is an application of the general equilibrium theory. This paper presents the business cycle model without using general equilibrium framework. We treat agents risk assessments as their coordinates x on economic…