Caminos hacia la aleatoriedad en la economía: no-linealidad emergente y caos en economía y finanzas
This paper: (1) gives a general argument why research on nonlinear science in general and chaos in particular is important in economics and finance. (2) Puts forth two definitions of stochastic nonlinearity (IID-Linearity and MDS - Linearity) for nonlinear time series analysis and argues for their u...
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| Format: | Online |
| Language: | English |
| Editor: |
El Colegio de México, A.C.
1993
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| Online Access: | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/294 |
| Journal: |
Estudios Económicos |
| Summary: | This paper: (1) gives a general argument why research on nonlinear science in general and chaos in particular is important in economics and finance. (2) Puts forth two definitions of stochastic nonlinearity (IID-Linearity and MDS - Linearity) for nonlinear time series analysis and argues for their usefulness as organizing concepts not only for discussion of nonlinearity testing but also for building a new class of structural asset pricing models. (3) Shows how to use ideas from interacting particle systems theory to build structural asset pricing models that turn HD-Linea r or MDS-Linear earnings processes into non MDS-Linear equilibrium returns processes. |
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