Nonlinear Economic Models

Nonlinear Economic Models

This valuable book brings together recent advances in the area including contributions covering cross-sectional studies of income distribution and discrete choice models, time series models of exchange rate dynamics and jump processes, and ...

Author: John Creedy

Publisher: Edward Elgar Pub

ISBN: STANFORD:36105022825264

Category: Business & Economics

Page: 284

View: 166

Nonlinear modelling has become increasingly important and widely used in economics. This valuable book brings together recent advances in the area including contributions covering cross-sectional studies of income distribution and discrete choice models, time series models of exchange rate dynamics and jump processes, and artificial neural network and genetic algorithm models of financial markets. Attention is given to the development of theoretical models as well as estimation and testing methods with a wide range of applications in micro and macroeconomics, labour and finance.The book provides valuable introductory material that is accessible to students and scholars interested in this exciting research area, as well as presenting the results of new and original research. Nonlinear Economic Models provides a sequel to Chaos and Nonlinear Models in Economics by the same editors.
Categories: Business & Economics

Nonlinear Economic Dynamics and Financial Modelling

Nonlinear Economic Dynamics and Financial Modelling

The paper was prepared when the second author visited the Department of
Economics, Chuo University. He appreciates its hospitality ... An analysis of the
complex behavior of nonlinear oligopoly models with time delays. Chaos,
Solitons and ...

Author: Roberto Dieci

Publisher: Springer

ISBN: 9783319074702

Category: Business & Economics

Page: 389

View: 508

This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.
Categories: Business & Economics

Nonlinear Dynamics in Economics Finance and the Social Sciences

Nonlinear Dynamics in Economics  Finance and the Social Sciences

Delay. Differential. Nonlinear. Economic. Models. Akio Matsumoto and Ferenc
Szidarovszky. 1. Introduction. The asymptotical behavior of dynamic economic
systems has been the focus of a large number of studies with both discrete and ...

Author: Gian Italo Bischi

Publisher: Springer Science & Business Media

ISBN: 3642040233

Category: Business & Economics

Page: 384

View: 718

Over the last two decades there has been a great deal of research into nonlinear dynamic models in economics, finance and the social sciences. This book contains twenty papers that range over very recent applications in these areas. Topics covered include structural change and economic growth, disequilibrium dynamics and economic policy as well as models with boundedly rational agents. The book illustrates some of the most recent research tools in this area and will be of interest to economists working in economic dynamics and to mathematicians interested in seeing ideas from nonlinear dynamics and complexity theory applied to the economic sciences.
Categories: Business & Economics

Modelling Nonlinear Economic Relationships

Modelling Nonlinear Economic Relationships

Author: Clive William John Granger

Publisher: Oxford University Press

ISBN: 9780198773207

Category: Business & Economics

Page: 187

View: 835

This volume in the series Advanced Texts in Econometrics explains recent theoretical developments in the econometric modelling of relationships between different statistical series. Clive Granger and Timo Ter�svirta illustrate ways of using dynamic, multivariate analysis techniques to provide models of nonlinear relationships between variables. They pay particular attention to the case of a single dependent variable modelled by a few explanatory variables and the lagged dependent variable in nonlinear form. They also discuss the division of nonlinear relationships into parametric and nonparametric models. The developments detailed in this book will be useful to econometricians who need to construct or use models of nonlinear, dynamic, multivariate relationships, such as an investment or production function. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
Categories: Business & Economics

Price Dynamics in Equilibrium Models

Price Dynamics in Equilibrium Models

1.2.1 Nonlinear economic dynamics: a historical perspective Nonlinear dynamic
economic models can exhibit periodic cycles or even chaotic fluctuations. The
question thus arises whether business cycles can be explained endogenously by
 ...

Author: Jan Tuinstra

Publisher: Springer Science & Business Media

ISBN: 0792372654

Category: Business & Economics

Page: 232

View: 909

This text considers a number of adjustment processes in different economic models and investigates their dynamical behaviour in order to approach the question of how economic equilibria are attained. The theory of non linear dynamics is used to analyze the dynamics of the different economic models.
Categories: Business & Economics

Predictability and Nonlinear Modelling in Natural Sciences and Economics

Predictability and Nonlinear Modelling in Natural Sciences and Economics

Economic Statistics, University of Amsterdam, Roetersstraat 11, NL-1018 WB
Amsterdam, The Netherlands. Abstract Hicks' nonlinear trade cycle model is an
unstable multiplier-accelerator model together with an 'income-ceiling' and an ...

Author: J. Grasman

Publisher: Springer Science & Business Media

ISBN: 9789401109628

Category: Mathematics

Page: 653

View: 592

Researchers in the natural sciences are faced with problems that require a novel approach to improve the quality of forecasts of processes that are sensitive to environmental conditions. Nonlinearity of a system may significantly complicate the predictability of future states: a small variation of parameters can dramatically change the dynamics, while sensitive dependence of the initial state may severely limit the predictability horizon. Uncertainties also play a role. This volume addresses such problems by using tools from chaos theory and systems theory, adapted for the analysis of problems in the environmental sciences. Sensitive dependence on the initial state (chaos) and the parameters are analyzed using methods such as Lyapunov exponents and Monte Carlo simulation. Uncertainty in the structure and the values of parameters of a model is studied in relation to processes that depend on the environmental conditions. These methods also apply to biology and economics. For research workers at universities and (semi)governmental institutes for the environment, agriculture, ecology, meteorology and water management, and theoretical economists.
Categories: Mathematics

Modelling Nonlinear Economic Time Series

Modelling Nonlinear Economic Time Series

This book contains an extensive up-to-date overview of nonlinear time series models and their application to modelling economic relationships.

Author: Timo Teräsvirta

Publisher: OUP Oxford

ISBN: 0199587140

Category: Business & Economics

Page: 592

View: 363

This book contains an extensive up-to-date overview of nonlinear time series models and their application to modelling economic relationships. It considers nonlinear models in stationary and nonstationary frameworks, and both parametric and nonparametric models are discussed. The book contains examples of nonlinear models in economic theory and presents the most common nonlinear time series models. Importantly, it shows the reader how to apply these models in practice. For thispurpose, the building of various nonlinear models with its three stages of model building: specification, estimation and evaluation, is discussed in detail and is illustrated by several examples involving both economic and non-economic data. Since estimation of nonlinear time series models is carried outusing numerical algorithms, the book contains a chapter on estimating parametric nonlinear models and another on estimating nonparametric ones.Forecasting is a major reason for building time series models, linear or nonlinear. The book contains a discussion on forecasting with nonlinear models, both parametric and nonparametric, and considers numerical techniques necessary for computing multi-period forecasts from them. The main focus of the book is on models of the conditional mean, but models of the conditional variance, mainly those of autoregressive conditional heteroskedasticity, receive attention as well. A separate chapter isdevoted to state space models. As a whole, the book is an indispensable tool for researchers interested in nonlinear time series and is also suitable for teaching courses in econometrics and time series analysis.
Categories: Business & Economics

Nonlinear Economic Dynamics

Nonlinear Economic Dynamics

... Nonlinear Dynamics (Oxford University Press) Hirsch, M. W. and Smale, S.,
1974, Differential Equations, Dynamical Systems, and Linear Algebra (Academic
Press, New York) Hommes, C.H., 1991, Chaotic Dynamics in Economic Models, ...

Author: Tönu Puu

Publisher: Springer Science & Business Media

ISBN: 9783642607752

Category: Business & Economics

Page: 288

View: 568

This book was first pUblished in 1989 as volume 336 in the Springer series "Lecture Notes in Economics and Mathematical Systems", and it reappeared in a 2nd edition as a Springer monograph in 1991. After considerable revisions it appeared in a 3rd edition in 1993. The origin, still visible in the 3rd edition, was the joint work of the author with Professor Martin J. Beckmann, documented in two co-authored mono graphs "Spatial Economics" (North-Holland 1985), and "Spatial Structures" (Springer-Verlag 1990). Essential dynamics had, however, been almost com pletely lacking in these works, and the urge to focus the dynamic issues was great. To fill this particular gap was the aim of the previous editions, and so the spatial aspect provided core and focus. In the present edition a substantial quantity of spatial issues have been removed: All those that were dynamic only in the sense that structures were characterized which were structurally stable, or robust in a changing world. The removed material has meanwhile been published as a separate mono graph under the title "Mathematical Location and Land Use Theory" (Springer-Verlag 1996).
Categories: Business & Economics

Computational Economic Systems

Computational Economic Systems

EFFICIENT SOLUTION OF LINEAR EQUATIONS ARISING IN A NONLINEAR
ECONOMIC MODEL Are Magnus Bruaset Abstract. This paper is concerned with
efficient methods for solving certain linear systems of algebraic equations that
arise ...

Author: Manfred Gilli

Publisher: Springer Science & Business Media

ISBN: 0792338693

Category: Business & Economics

Page: 282

View: 414

Part I of the volume consists of papers which focus on modelling economic systems, presenting computational methods to investigate the evolution of behavior of economic agents, techniques to solve complex inventory models on a parallel computer and an original approach for the construction and solution of multicriteria models involving logical conditions.
Categories: Business & Economics

Complex Systems Approach to Economic Dynamics

Complex Systems Approach to Economic Dynamics

Chaotic motions can arise in nonlinear economic systems if the time series is
aperiodic and displays sensitive ... 2.2 Modeling Nonlinearity and Chaos in
Economic Dynamics Nonlinear dynamics models are useful to explain irregular, ...

Author: Abraham C.-L. Chian

Publisher: Springer Science & Business Media

ISBN: 9783540397533

Category: Business & Economics

Page: 101

View: 119

Statistical analysis of stock markets and foreign exchange markets has demonstrated the intermittent nature of economic time series. A nonlinear model of business cycles is able to simulate intermittency arising from order-chaos and chaos-chaos transitions. This monograph introduces new concepts of unstable periodic orbits and chaotic saddles, which are unstable structures embedded in a chaotic attractor and responsible for economic intermittency.
Categories: Business & Economics