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Studies in Nonlinear Dynamics & Econometrics.
Global Inflation Dynamics: regularities & forecasts
global economic crisis the second wave inflation, US dollar consumer price index producer price index money supply M1 M2 US public debt crashes bubbles critical phenomena complexity power-law functions log-periodic oscillation
2012/9/14
The analysis of dollar inflation performed by the authors through the approximation of empirical data for 1913–2012 with a power-law function with an accelerating log-periodic osci...
Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression
wavelet band spectrum regression corridor implied volatility realized volatility fractional cointegration
2012/9/14
This paper revisits the fractional cointegrating relationship between ex-ante implied volatil-ity and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should...
Entangled Economy: an ecosystems approach to modeling systemic level dynamics
Complexity economics Evolutionary economics.
2012/9/14
We present a model of an economy inspired by individual based model ap-proaches in evolutionary ecology. We demonstrate that evolutionary dynam-ics in a space of companies interconnected through a cor...
How Fama Went Wrong: Measures of Multivariate Kurtosis for the Identification of the Dynamics of a N-Dimensional Market
Multivariate Kurtosis Dynamics N-Dimensional Market
2012/9/14
This paper investigates the common intuition suggesting that dur-ing crises the shape of the financial market clearly differentiates from that of random walk processes. In this sense, it challenges th...
Universality class of balanced flows with bottlenecks: granular flows, pedestrian fluxes and financial price dynamics
Universality class of balanced flows bottlenecks granular flows pedestrian fluxes financial price dynamics
2012/6/4
We propose and document the evidence for an analogy between the dynamics of granular counter-flows in the presence of bottlenecks or restrictions and financial price formation processes. Using extensi...
Characterizing price index behavior through fluctuation dynamics
price index behavior fluctuation dynamics Statistical Finance
2012/6/4
We study the nature of fluctuations in variety of price indices involving companies listed on the New York Stock Exchange. The fluctuations at multiple scales are extracted through the use of wavelets...
Price and Quantity Trajectories: Second-order Dynamics
disequilibrium economics Walrasian adjustment Marshallian adjustment SMD theorem Helmholtz-Hodge decomposition theorem
2012/4/28
In two previous papers the author developed a second-order price adjustment (t\^atonnement) process. This paper extends the approach to include both quantity and price adjustments. We demonstrate thre...
Cointegrated Vector Autoregressive Models with Adjusted Short-Run Dynamics
Cointegration adjusted short-run dynamics parameter change likelihood ratio test
2010/9/8
A family of cointegrated vector autoregressive models with adjusted short-run dynamics is introduced. These models can describe evolving short-run dynamics in a more flexible way than standard vector ...