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...
| 主要作者: | |
|---|---|
| 格式: | Online |
| 語言: | 英语 |
| 出版: |
El Colegio de México, A.C.
1993
|
| 主題: | |
| 在線閱讀: | https://estudioseconomicos.colmex.mx/index.php/economicos/article/view/294 |
| 機構: |
Estudios Económicos |
| 總結: | 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. |
|---|