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1
Caulkins, Jonathan P. « Mathematical models of drug markets and drug policy ». Mathematical and Computer Modelling 17, no 2 (janvier 1993) : ix—xi. http://dx.doi.org/10.1016/0895-7177(93)90235-q.
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Yarygina, I. Z., V. B. Gisin et B. A. Putko. « Fractal Asset Pricing Models for Financial Risk Management ». Finance : Theory and Practice 23, no 6 (24 décembre 2019) : 117–30. http://dx.doi.org/10.26794/2587-5671-2019-23-6-117-130.
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The article presents the analysis findings of the problems and prospects of using the fractal markets theory to mathematically predict the price dynamics of assets as part of a financial risk management strategy. The aim of the article is to find out the features of value of bank assets and to develop recommendations for assessing financial risks based on mathematical methods for forecasting economic processes. Theoretical and empirical research methods were used to achieve the aim. The article reveals the features of mathematical modeling of economic processes related to asset pricing in a volatile market. It was proved that using financial mathematics in banking contributes to the stable development of the economy. Mathematical modeling of the price dynamics of financial assets is based on a substantive hypothesis and supported by an adequate apparatus of fractal pair pricing models in order to reveal specific market relations of business entities. According to the authors, the prospects of using forecast models to minimize the financial risks of derivative financial instruments are positive. The authors concluded that the considered methods contribute to managing financial risks and improving forecasts, including operations with derivatives. Besides, the studied fractal volatility parameters proved the predictive power regarding extreme events in financial markets, such as the bankruptcy of Lehman Brothers investment bank in 2008. The relevance of the article is due to the fact that the favorable investment climate and the use of modern financing methods largely depend on the effective financial risk management.
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Kekytė, Ieva, et Viktorija Stasytytė. « Comparative Analysis of Investment Decision Models ». Mokslas - Lietuvos ateitis 9, no 2 (2 juin 2017) : 197–208. http://dx.doi.org/10.3846/mla.2017.1023.
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Rapid development of financial markets resulted new challenges for both investors and investment issues. This increased demand for innovative, modern investment and portfolio management decisions adequate for market conditions. Financial market receives special attention, creating new models, includes financial risk management and investment decision support systems.Researchers recognize the need to deal with financial problems using models consistent with the reality and based on sophisticated quantitative analysis technique. Thus, role mathematical modeling in finance becomes important. This article deals with various investments decision-making models, which include forecasting, optimization, stochatic processes, artificial intelligence, etc., and become useful tools for investment decisions.
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Kovalenko, Aleksey. « Mathematical modeling of a multi-product dispersed market in the system of the world economy ». Economics and the Mathematical Methods 58, no 3 (2022) : 102. http://dx.doi.org/10.31857/s042473880021698-6.
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Mathematical models are built that is the development of the Walras model of the economy, both centralized and decentralized spatially dispersed economic system with the interactions of subjects of perfect and imperfect competition. The novelty of this model is determined by the introduction into the model of market entities: households, with a description of their functioning using utility functions, these households consume resources for their existence - various types of goods and produce various types of labor to obtain goods;multi-product enterprises that buy various types of commodity and labor resources; resellers who distribute products between local markets and carry out the movement of various types of labor along with the transport network from households to enterprises. When searching for an equilibrium state, the tasks of market subjects in extreme formulations are used. By organizing various types of interactions between subjects in commodity markets, markets of both perfect and imperfect competition are built. Numerical methods for the analysis of the described models have been developed. Numerical methods for finding the equilibrium state of the considered models are based on vector optimization methods.
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Xue, Zhaojie, Shuqing Cheng, Mingzhu Yu et Liang Zou. « Pricing models of two-sided markets incorporating service quality ». Kybernetes 48, no 8 (2 septembre 2019) : 1827–50. http://dx.doi.org/10.1108/k-06-2018-0287.
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Purpose This paper aims to study the pricing problems on the two-sided market for cases of monopoly and duopoly competition, specifically investigating the impact of platform service quality on the market. Theoretical analysis and computational studies are conducted to investigate the impact of different parameters on the system outcomes. Design/methodology/approach Mathematical formulations are proposed for cases of monopoly and duopoly competition. For monopolistic market, the optimal pricing and service quality strategies are obtained using mathematical programming method. For duopolistic market, the equilibrium outcomes are derived by game theory. Sensitivity analysis and numerical studies are also adopted to investigate the impact of different parameters. Findings For monopolistic market, the platform will provide a low service quality when the service cost parameter is large. However, when the cost parameter is small, the platform provides a higher service quality and higher registration prices. Furthermore, the sum of the optimal prices is proportional to the service quality and inversely proportional to the user price sensitivity. For duopolistic market, the competitive equilibrium prices exist under a certain condition. The determinants of equilibrium prices are the gap between the service qualities of two platforms and the cross-group externalities. Originality/value For monopolistic market, this paper specifies the role of platform service quality in determining the platform’s pricing strategy. For duopolistic market, this paper presents a market sharing mechanism between two platforms and explores the equilibrium pricing strategies for platforms with different service quality level.
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Makhova, Larisa, Mark Haykin, Irina Glazkova et Olga Domnina. « Development of Mathematical Models for Trucks and Cargo ». Infrastructures 8, no 2 (28 janvier 2023) : 17. http://dx.doi.org/10.3390/infrastructures8020017.
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International trade allows countries to expand their markets and access goods and services that otherwise may not have been domestically available. As a result of international trade, the market is more competitive. This ultimately results in more competitive pricing and brings a cheaper product home to the consumer. The development of mathematical models to optimize the delivery of goods using a limited number of trucks is an urgent task for researchers around the world. The research goal was to use a developed mathematical model that allows one to optimize the performance of transportation tasks based on the selected parameters, both in terms of a particular truck and a fleet of trucks in the Russian region. The parameters (function, condition, cost, time, and quality) were set and an algorithm for the process of matching a specific truck and cargo was developed as part of the unit transportation task. A mathematical model has been developed for performing multiple freight tasks and operating a fleet of trucks, which considering such factors as cost, time, quality, and reputation, allows one to find an acceptable solution for a specific transportation task. A mathematical model was developed that considers such factors as cost, time, quality, and reputation, allowing one to find an acceptable solution for a particular transportation task. The simulation was performed in MATLAB 2018. The parameters of the simulations were a population size of 300, a maximum number of iterations of 2000, and a probability of selection of 0.85. From the 30 runs, the optional value was chosen as the best solution. The developed mathematical models have been tested for solving single and multiple transport problems under truck fleet simulation conditions. The results of the work can be used to optimize the operation of truck fleets in the Russian Federation and other countries.
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Zhang, Dong, et Shuhui Li. « Optimal Dispatch of Competitive Power Markets by Using PowerWorld Simulator ». International Journal of Emerging Electric Power Systems 14, no 6 (12 octobre 2013) : 535–47. http://dx.doi.org/10.1515/ijeeps-2013-0096.
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Abstract The transition to competitive and retail markets for electric utilities around the world has been a difficult and controversial process. One of the difficulties that hindered the development and growth of competitive power markets is the absence of efficient computational tools to assist the design, analysis, and operation of competitive power markets. PowerWorld simulator is a software package that has strong analytical and visualization functions suitable for extensive power flow study of an electric power system. However, like many other power flow simulators, PowerWorld cannot be used directly for analysis and evaluation of a competitive power market. This article investigates mathematical models associated with a competitive power market and how these models can be converted and transformed in such a way that makes it possible to use PowerWorld for the competitive power market study. To validate the effectiveness of the proposed strategy, models of several small-scale competitive power markets are built in MatLab by using conventional approaches. Results generated by both PowerWorld and MatLab are compared. Finally, the article demonstrates how the PowerWorld simulator is used to investigate a larger and practical competitive power system.
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Al-awci, Adel Murtda, et Noori F. Al-Mayahi. « The arbitrage In Securities Market Model And Some There Properties ». Al-Qadisiyah Journal Of Pure Science 26, no 4 (29 octobre 2021) : 542–49. http://dx.doi.org/10.29350/qjps.2021.26.5.1370.
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The applications of functional analysis in economics began worked out since the by presenting theoretical studies related to the development and balance of financial markets by building mathematical models with linear topological space , describing and defining the economic balance of the stock market in mathematical formulas and terms , and then using the theorems of linear topological spaces such as Han's theorems . Banach , separation theorems , open function theorem ,closed statement theorem and so on to create the necessary and sufficient condition to make the market model achieve viability , achieve no arbitrage , and not recognize No free Lunches
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Saxena, Akash, Adel Fahad Alrasheedi, Khalid Abdulaziz Alnowibet, Ahmad M. Alshamrani, Shalini Shekhawat et Ali Wagdy Mohamed. « Local Grey Predictor Based on Cubic Polynomial Realization for Market Clearing Price Prediction ». Axioms 11, no 11 (8 novembre 2022) : 627. http://dx.doi.org/10.3390/axioms11110627.
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With the development of restructured power markets, the profit-making competitive business environment has emerged. With the help of different advanced technologies, generating companies are taking decisions regarding trading electricity with imperfect information about marketing operating conditions. The forecasting of the market clearing price (MCP) is a potential issue in these markets. Early information on the MCP can be a proven beneficial tool for accumulating profit. In this work, a local grey prediction model based on a cubic polynomial function is presented to estimate the MCP with the help of historical data. The mathematical framework of this grey model was established and evaluated for different market conditions and databases. The comparison between traditional grey models and some advanced grey models reveals that the proposed model yields accurate results.
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Popovic, Zoran. « Pareto’s optimum in models of general economic equilibrium with the asset market ». Ekonomski anali 52, no 173 (2007) : 36–84. http://dx.doi.org/10.2298/eka0773036p.
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A model of the general economic equilibrium of sequential structures includes the asset market, where assets are instruments of sequential income redistribution. The model should explain relative prices of commodities, on one hand, and establish the asset pricing as an instrument of income redistribution, on the other, enabling the analysis of sequential income transfers. This paper mainly researches Pareto?s optimum of a defined mathematical model of the general economic equilibrium in both complete and incomplete asset markets. The existence of the latter partly disables an economic system to transfer income through time sequences properly, which results in equilibrium allocations not reaching Pareto?s optimum. .
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Ishimura, Naoyuki. « Research on Nonlinear Partial Differential Equations in Mathematical Finance ». Impact 2020, no 8 (16 décembre 2020) : 48–50. http://dx.doi.org/10.21820/23987073.2020.8.48.
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Mathematical finance is a field of applied mathematics which focuses on crafting special mathematical models and computational methods which are used by the finance markets. The basis of mathematical finance lies in probability theory which focuses on analysing the behaviour of the markets to help the prediction of any random events. From this work financial companies and individuals interested in the markets can make informed choices based on a calculated risk level. Professor Naoyuki Ishimura has performed research in mathematical finance for many years, and is currently based at Chuo University, where he is now focusing on assisting in the development of better methods for calculating risk factors. One of his current collaborators is Andres Mauricio Molina Barreto, a doctoral student from Colombia. Together, they have worked on a paper that looks at the Value at Risk (VaR) for the portfolio problem in the presence of copulas, which help to explain how random variables are dependent on each other.
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Ostapenko, V. V., O. S. Ostapenko, E. N. Belyaeva et Y. V. Stupnitskaya. « Mathematical models of the battle between parties for electorate or between companies for markets ». Cybernetics and Systems Analysis 48, no 6 (novembre 2012) : 814–22. http://dx.doi.org/10.1007/s10559-012-9460-5.
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Bekri, Mahmoud, Young Shin (Aaron) Kim et Svetlozar (Zari) T. Rachev. « Tempered stable models for Islamic finance asset management ». International Journal of Islamic and Middle Eastern Finance and Management 7, no 1 (14 avril 2014) : 37–60. http://dx.doi.org/10.1108/imefm-10-2012-0096.
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Purpose – In Islamic finance (IF), the safety-first rule of investing (hifdh al mal) is held to be of utmost importance. In view of the instability in the global financial markets, the IF portfolio manager (mudharib) is committed, according to Sharia, to make use of advanced models and reliable tools. This paper seeks to address these issues. Design/methodology/approach – In this paper, the limitations of the standard models used in the IF industry are reviewed. Then, a framework was set forth for a reliable modeling of the IF markets, especially in extreme events and highly volatile periods. Based on the empirical evidence, the framework offers an improved tool to ameliorate the evaluation of Islamic stock market risk exposure and to reduce the costs of Islamic risk management. Findings – Based on the empirical evidence, the framework offers an improved tool to ameliorate the evaluation of Islamic stock market risk exposure and to reduce the costs of Islamic risk management. Originality/value – In IF, the portfolio manager – mudharib – according to Sharia, should ensure the adequacy of the mathematical and statistical tools used to model and control portfolio risk. This task became more complicated because of the increase in risk, as measured via market volatility, during the financial crisis that began in the summer of 2007. Sharia condemns the portfolio manager who demonstrates negligence and may hold him accountable for losses for failing to select the proper analytical tools. As Sharia guidelines hold the safety-first principle of investing rule (hifdh al mal) to be of utmost importance, the portfolio manager should avoid speculative investments and strategies that would lead to significant losses during periods of high market volatility.
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Amoussou, Amour Gbaguidi, et Aristide Medenou. « Application of ARIMA models on Export potential Indicator ». African Journal of Applied Statistics 8, no 2 (1 juillet 2021) : 1165–80. http://dx.doi.org/10.16929/ajas/2021.1165.263.
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The export potential indicator is designed for countries that aim to support established exports by increasing exports to new or existing target markets, and several studies are being managed using various mathematical model to predict the export values. Here, we propose an econometric model that could be useful to predict the export values. We performed the ARIMA model to evaluate the realized and unrealized export potentials of products. We therefore propose to carry out actions in favor of increasing the export potential.
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YU, XICHANG. « A STOCK MODEL WITH JUMPS FOR UNCERTAIN MARKETS ». International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems 20, no 03 (17 mai 2012) : 421–32. http://dx.doi.org/10.1142/s0218488512500213.
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Uncertain differential equation with jumps is a type of differential equation driven by two classes of uncertain processes, namely canonical process and renewal process. Based on uncertain differential equation with jumps, this paper proposes a stock model with jumps for uncertain financial markets. Furthermore, the European call and put option pricing formulas for the stock model are formulated and some mathematical properties of them are studied. Finally, some generalized uncertain stock models with jumps are discussed.
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Zekri, Slim, Hemesiri Kotagama et Houcine Boughanmi. « Temporary Water Markets in Oman ». Journal of Agricultural and Marine Sciences [JAMS] 11 (1 janvier 2006) : 77. http://dx.doi.org/10.24200/jams.vol11iss0pp77-84.
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Market vis-à-vis command and control approaches have been widely adopted in natural resource and environmental management since the 1980s. Adoption of markets in managing irrigation water resources is also emerging. It has been argued that markets are ineffective in managing the demand for irrigation water due to very low price elasticity. Most studies have been based on mathematical models simulating water markets and not on observed prices and quantities in real water markets since such data are rarely available. In Oman, perhaps in response to the extreme scarcity of water, elaborate water demand management institutions emulating markets have evolved and have been used for centuries. Water entitlements are leased based on prices through a community auction. The traded quantities of water and related prices have been recorded. This study uses this unique data set to estimate the elasticity of irrigation water. A log function on quantity and price of irrigation water is used with dummy variables on time and type of irrigation system. The price elasticity varies from -0.10 to -0.28, depending on the specifications of the econometric model. These estimates are higher than most estimates reported in past studies, indicating the efficacy of the indigenous market-based irrigation water management institution adopted in Oman.
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AKHMETOV, Rustem R. « Problems of modeling the stability of the financial market as a dynamic system ». Finance and Credit 29, no 1 (30 janvier 2023) : 4–20. http://dx.doi.org/10.24891/fc.29.1.4.
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Subject. The article addresses the stable functioning of the financial market and its protection against financial crises as the main indicator of financial system’s stability. It considers the history of the issue, enabling to conclude that financial markets are built mainly on the principle of unstable equilibrium in contrast to the more stable equilibrium underlying the commodity markets and industrial production. Objectives. The article attempts to compare well-known stochastic models with dynamic and chaotic systems. Methods. The study employs stochastic modeling (autoregressive conditional heteroscedasticity (ARCH) and generalized autoregressive conditional heteroscedasticity (GARCH) models), investigates methods and approaches to solving some types of differential stochastic equations, in particular, the Ito and Fokker-Planck-Kolmogorov equations. Results. Financial markets are considered within the theory of dynamic systems as an example of a non-linear system. It is extremely difficult to predict the behavior of such a system, precisely because of the non-linearity, which is reduced to random and chaotic processes. Through mathematical transformations, the paper shows that solutions are reduced to multidimensional stochastic volatility models. Conclusions. Stochastic volatility models, despite their relative theoretical elaboration and practical applicability, can lead to dynamic chaos, when there is a vector of asset return, the conditional covariance matrix of which changes over time.
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Popov, Evgeny, Anna Veretennikova et Sergey Fedoreev. « The Model of OTC Securities Market Transformation in the Context of Asset Tokenization ». Mathematics 10, no 19 (22 septembre 2022) : 3441. http://dx.doi.org/10.3390/math10193441.
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The relevance of this study stems from the fact that the development of a market for financial instruments can significantly expand lending opportunities for small- and medium-sized businesses. While research on the impact of tokenization on financial markets is extensive, literature provides virtually no description of mathematical models that can be used in the design and development of information systems issuing tokenized financial instruments. Thus, the study aims to develop mathematical models representing the transformation of the over-the-counter (OTC) securities market induced by the tokenization of underlying assets. The development of crowdlending platforms is gradually transforming the financial market landscape. The key change trends consist in transactional fragmentation both on the demand and supply sides. This paper proposes a mathematical model of internal transformation occurring in the OTC financial market, which describes the process of managing rights to underlying assets during their issuance and circulation. The model is built by analogy with the Harrison–Ruzzo–Ullman (HRU) model, applying the same principles to the relations of economic agents in exercising access rights to underlying assets as those that regulate access rights to files. The research novelty of the presented model consists in the formalization of financial market transformation occurring in the context of asset tokenization, which significantly expands the mathematical apparatus of digital financial transactions. This paper also proposes a mathematical model of competitive tokenization-induced transformation occurring in the OTC financial market, which describes transaction costs associated with attracting investment in the OTC financial market and the market for tokenized assets. In addition, the barriers of the OTC financial market and the stock market are described indicating the supply and demand trends in the context of transformation occurring in the OTC financial market under the influence of underlying asset tokenization. The novelty of this model lies in the mathematical formalization of the investment attraction process in the market for tokenized assets. The theoretical value of the developed models consists in the confirmation of significantly expanded supply capabilities of tokenized assets on the graph showing the dependence of asset returns on invested capital.
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Vasiliauskaite, Vaiva, Fabrizio Lillo et Nino Antulov-Fantulin. « Information dynamics of price and liquidity around the 2017 Bitcoin markets crash ». Chaos : An Interdisciplinary Journal of Nonlinear Science 32, no 4 (avril 2022) : 043123. http://dx.doi.org/10.1063/5.0080462.
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We study information dynamics between the largest Bitcoin exchange markets during the bubble in 2017–2018. By analyzing high-frequency market microstructure observables with different information-theoretic measures for dynamical systems, we find temporal changes in information sharing across markets. In particular, we study time-varying components of predictability, memory, and (a)synchronous coupling, measured by transfer entropy, active information storage, and multi-information. By comparing these empirical findings with several models, we argue that some results could relate to intra-market and inter-market regime shifts and changes in the direction of information flow between different market observables.
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Musin, Artur R. « Economic-mathematical model for predicting financial market dynamics ». Statistics and Economics 15, no 4 (4 septembre 2018) : 61–69. http://dx.doi.org/10.21686/2500-3925-2018-4-61-69.
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Study purpose.Existing approaches to forecasting dynamics of financial markets, as a rule, reduce to econometric calculations or technical analysis techniques, which in turn is a consequence of preferences among specialists, engaged in theoretical research and professional market participants, respectively. The main study purpose is developing a predictive economic-mathematical model that allows combining both approaches. In other words, this model should be estimated using traditional methods of econometrics and, at the same time, take into account the impact on the pricing process of the effect of clustering participants on behavioral patterns, as the basis of technical analysis. In addition, it is necessary that the created economic-mathematical model should take into account the phenomenon of existing historical trading levels and control the influence they exert on price dynamics, when it falls into local areas of these levels. Such analysis of price behavior patterns in certain areas of historical repeating levels is a popular approach among professional market participants. Besides, an important criterion of developing model’s potential applicability by a wide range of the interested specialists is its general functional form’s simplicity and, in particular, its components.Materials and methods. In the study, the market of the pound sterling exchange rate against the US dollar (GBP/USD) for the whole period of 2017 was chosen as the considered financial series, in order to forecast it. The presented economic-mathematical model was estimated by classical Kalman filter with an embedded neural network. The choice of these assessment tools can be explained by their wide capabilities in dealing with non-stationary, noisy financial market time series. In addition, applying Kalman filter is a popular technique for estimation local-level models, which principle was implemented in the newly model, proposed in article.Results. Using chosen approach of simultaneous applying Kalman filter and artificial neural network, there were obtained statistically significant estimations of all model’s coefficients. The subsequent model application on GBP/USD series from the test dataset allowed demonstrating its high predictive ability comparing with added random walk model, in particular judging by percentage of correct forecast directions. All received results have confirmed that constructed model allows effectively taking into account structural features of considered market and building good forecasts of future price dynamics.Conclusion. The study was focused on developing and improving apparatus of forecasting financial market prices dynamics. In turn, economic-mathematical model presented in that paper can be used both by specialists, carrying out theoretical studies of pricing process in financial markets, and by professional market participants, forecasting the direction of future price movements. High percentage of correct forecast directions makes it possible to use proposed model independently or as a confirmatory tool.
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Konkina, Vera, et Alexey Martynushkin. « Forecasting the size of the dairy market in anylogic environment ». E3S Web of Conferences 282 (2021) : 01002. http://dx.doi.org/10.1051/e3sconf/202128201002.
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The current situation at the market for food and agricultural raw materials is difficult, and critical for some industries. The processes of import substitution, that is, shaking-out imported products from the markets and the growth of domestic production, have significant differences for segments of the food market. There was a significant differentiation of food markets in the following main indicators: the growth rate of domestic production, the share of imports in resources, the share of exports in production, and the amount of state support. However, 2020 showed that the course taken by the Government and the Ministry of Agriculture of the Russian Federation for import substitution was not fully implemented, and a large share of products is imported from third countries that were not included in the sanctions list. Economic and mathematical modeling can partially solve this problem. Analysis of scientific literature on modeling the equilibrium at agri-food markets showed the absence of any actual domestic development. The most famous foreign conceptual models dated back to 1990-2000. The Organization for Economic Cooperation and Development (OECD) and the World Bank have developed such general and private equilibrium models as RUNS (Rural-Urban North South), MRT (Regional Trade MRT, Harrison), AGLINK COSIMO, etc. These recursive-dynamic models make it possible to determine the equilibrium parameters for the main types of products for almost all countries of the world, including the Russian Federation and all agricultural markets. However, the introduction of sanctions has stopped work in this direction.
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Dimitriadis, Christos N., Evangelos G. Tsimopoulos et Michael C. Georgiadis. « A Review on the Complementarity Modelling in Competitive Electricity Markets ». Energies 14, no 21 (1 novembre 2021) : 7133. http://dx.doi.org/10.3390/en14217133.
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In recent years, the ever-increasing research interest in various aspects of the electricity pool-based markets has generated a plethora of complementarity-based approaches to determine participating agents’ optimal offering/bidding strategies and model players’ interactions. In particular, the integration of multiple and diversified market agents, such as conventional generation companies, renewable energy sources, electricity storage facilities and agents with a mixed generation portfolio has instigated significant competition, as each player attempts to establish their market dominance and realize substantial financial benefits. The employment of complementarity modelling approaches can also prove beneficial for the optimal coordination of the electricity and natural gas market coupling. Linear and nonlinear programming as well as complementarity modelling, mainly in the form of mathematical programs with equilibrium constraints (MPECs), equilibrium programs with equilibrium constraints (EPECs) and conjectural variations models (CV) have been widely employed to provide effective market clearing mechanisms, enhance agents’ decision-making process and allow them to exert market power, under perfect and imperfect competition and various market settlements. This work first introduces the theoretical concepts that regulate the majority of contemporary competitive electricity markets. It then presents a comprehensive review of recent advances related to complementarity-based modelling methodologies and their implementation in current competitive electricity pool-based markets applications.
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Lee, Jen-Chieh, et Tyrone T. Lin. « Decision Analysis on Sustainable Value : Comparison of the London and Taiwan Markets for Product Integration of Family Security Services and Residential Fire Insurance ». Journal of Risk and Financial Management 13, no 11 (30 octobre 2020) : 266. http://dx.doi.org/10.3390/jrfm13110266.
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This paper explores a decision analysis on product integration of family security services and residential fire insurance in the London and Taiwan markets by using the proposed mathematical models for counting sustainable value. This paper shows the five main different results between London and Taiwan markets with ten different parameters of the family security market, to find out the optimal number of family security integrated services for each security company in London. The improvement of the risk aversion effect based on risk and financial management will enhance the market share of the private security industries in the London and Taiwan markets. The results of this research can serve as a reference for the decision-making of private security industries on product integration under sustainable value consideration. The research findings highlight the potential benefits for both the private security industry and the insurance industry in their design and negotiation for product integration to improve both of business operation and achieve corporate social responsibility goals to match the sustainability in the future.
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Shkolnyk, Inna, Eugenia Bondarenko et Valery Balev. « Estimation of the capacity of the Ukrainian stock market’s risk insurance sector ». Insurance Markets and Companies 8, no 1 (24 novembre 2017) : 34–47. http://dx.doi.org/10.21511/ins.08(1).2017.04.
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The purpose of the article is to determine the degree of financial interaction between the stock and insurance market, or, in other words, to determine the potential capacity of the stock market’s risk insurance sector for the Ukrainian insurance market. The authors examine the insurance not of all possible risks on the stock market, but only the most potentially important for the development of the stock market at this stage of economic development: insurance of professional risks of depositories and insurance of individual investments of individuals – participants of the stock market. In order to calculate the capacity of the stock market’s risk insurance sector in the context of the two above mentioned types, the authors apply the models that are widely used in the economic-mathematical analysis. For mathematical calculations we used 31 absolute indicators of the characteristics of the state of the stock and insurance markets, as well as some macroeconomic indicators. When forming an array of input data for mathematical calculations we used annual values of absolute indicators for the period 2005–2015 were used. For the adequacy of the received calculations the normalization of the selected indicators was carried out. All indicators were divided into two groups: stimulators and de-stimulators. The normalization of stimulator indicators was carried out by the method of natural normalization, and of de-stimulator indicators – according to the Savage formula. The capacity of the segment of the new type of insurance was determined by the authors as the maximum possible amount of insurance premiums that insurers can get in the process of implementing a new insurance product based on the current state of development of the insurance market. The capacity of the sector of the new type of insurance was presented as a function of the main component (an indicator that directly characterizes the created segment) and the corrective component (a set of indicators characterizing the segments created indirectly). The weight coefficients of the corrective component were determined by using the Fischer’s formula. As a result of the calculations, the authors obtained the data on the prospects of simultaneous introduction for the stock and insurance markets of such types of insurance as a professional liability insurance of depositories and an insurance of individual investors on the stock market.
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S. Lima, Leonardo. « Nonlinear Stochastic Equation within an Itô Prescription for Modelling of Financial Market ». Entropy 21, no 5 (25 mai 2019) : 530. http://dx.doi.org/10.3390/e21050530.
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The stochastic nonlinear model based on Itô diffusion is proposed as a mathematical model for price dynamics of financial markets. We study this model with relation to concrete stylised facts about financial markets. We investigate the behavior of the long tail distribution of the volatilities and verify the inverse power law behavior which is obeyed for some financial markets. Furthermore, we obtain the behavior of the long range memory and obtain that it follows to a distinct behavior of other stochastic models that are used as models for the finances. Furthermore, we have made an analysis by using Fokker–Planck equation independent on time with the aim of obtaining the cumulative probability distribution of volatilities P ( g ) , however, the probability density found does not exhibit the cubic inverse law.
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Oleksandr Savych et Tetiana Shkoda. « Impact of Key Marketing Tools on Global Car Market Development ». Communications - Scientific letters of the University of Zilina 23, no 4 (1 octobre 2021) : A264—A276. http://dx.doi.org/10.26552/com.c.2021.4.a264-a276.
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The purpose of the proposed study was to identify the functional patterns of influence of the marketing tools on sales of cars on the global market, to be able to predict sales volumes in the future, taking into account certain marketing tools that the company may use in a particular international market. For the purpose of this research the method of correlationregression analysis is used to construct the corresponding economic and mathematical models of impact on the sales volumes of various instruments of product, price, promotion policy, etc. Using the models offered in the article, the feasibility of introducing certain measures can be determined, when entering new markets in order to increase car sales. Each instrument to which potential buyers are sensitive determines the effect of its use. Considering this effect, budgets can be set up for appropriate action.
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Karaś, Marek, et Anna Serwatka. « Discrete-time market models from the small investor point of view and the first fundamental-type theorem ». Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica 16, no 1 (1 décembre 2017) : 17–40. http://dx.doi.org/10.1515/aupcsm-2017-0002.
Texte intégralRésumé :
Abstract In this paper, we discuss the no-arbitrage condition in a discrete financial market model which does not hold the same interest rate assumptions. Our research was based on, essentially, one of the most important results in mathematical finance, called the Fundamental Theorem of Asset Pricing. For the standard approach a risk-free bank account process is used as numeraire. In those models it is assumed that the interest rates for borrowing and saving money are the same. In our paper we consider the model of a market (with d risky assets), which does not hold the same interest rate assumptions. We introduce two predictable processes for modelling deposits and loans. We propose a new concept of a martingale pair for the market and prove that if there exists a martingale pair for the considered market, then there is no arbitrage opportunity. We also consider special cases in which the existence of a martingale pair is necessary and the sufficient conditions for these markets to be arbitrage free.
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Bebeshko, Bohdan. « ANALYSIS OF DIGITAL CRYPTOCURRENCY MARKET FORECASTING METHODS AND MODELS ». Cybersecurity : Education, Science, Technique 2, no 18 (2022) : 163–74. http://dx.doi.org/10.28925/2663-4023.2022.18.163174.
Texte intégralRésumé :
With the development of financial institutions, this application software and related information technologies are used not only by specialists, but also by ordinary citizens to solve tasks that a few years ago seemed to be within the competence of only mathematicians specializing, for example, in building forecasting models. It can be noted that the collaboration of IT with application software, as well as with the mathematical apparatus most typical for forecasting tasks, gives good results. In particular, this applies to the Central Bank market. The study is devoted to the problem of approaches to the selection of methods and strategies for analysis and forecasting of the central bank markets, which is an urgent issue today. Far from all possible methods and strategies have sufficient coverage in the scientific information space, which prompts the need to analyze and systematize already existing information in this field. Accordingly, basically. the purpose of the study is to analyze and systematize the theoretical foundations of existing approaches to forecasting the CCV market. An analysis and systematization of the theoretical foundations of existing approaches to forecasting the CCV market was carried out. Generalized advantages and disadvantages of structural methods and models used for making market forecasts were outlined. A comparative analysis of ANN models was carried out in terms of their use for market analysis tasks. Among the analyzed ANN models are the following: CNN-2l, CNN-3l, LSTM, sLSTM, BiLSTM, GRU, CLSTM, MLP and RFBNN. The analysis and testing of existing models provided results that provide a wide scope for further research and study.
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Lindström, Erik. « Implications of Parameter Uncertainty on Option Prices ». Advances in Decision Sciences 2010 (5 mai 2010) : 1–15. http://dx.doi.org/10.1155/2010/598103.
Texte intégralRésumé :
Financial markets are complex processes where investors interact to set prices. We present a framework for option valuation under imperfect information, taking risk neutral parameter uncertainty into account. The framework is a direct generalization of the existing valuation methodology. Many investors base their decisions on mathematical models that have been calibrated to market prices. We argue that the calibration process introduces a source of uncertainty that needs to be taken into account. The models and parameters used may differ to such extent that one investor may find an option underpriced; whereas another investor may find the very same option overpriced. This problem is not taken into account by any of the standard models. The paper is concluded by presenting simulations and an empirical study on FX options, where we demonstrate improved predictive performance (in sample and out of sample) using this framework.
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Cedeno, Enrique B. « Security of Supply and Generation Reserve Management Delegation under Extremely High Load Curtailment Cost ». Applied Mechanics and Materials 799-800 (octobre 2015) : 1257–62. http://dx.doi.org/10.4028/www.scientific.net/amm.799-800.1257.
Texte intégralRésumé :
Power failures in a number of electric systems worldwide emphasize the importance of security of electric supply. Security of supply involves long term resource adequacy and medium to short term generation reserve management. Generation reserve requirements are usually determined using empirical rules considering the demand as a deterministic quantity. Ignoring randomness could lead to suboptimal decisions. The research presented here differs from that prevailing in the literature by considering the demand as a random variable following a doubly truncated normal distribution this has the advantage of allowing considering day to day and seasonal variations. In this paper two new mathematical models are presented to determine generation reserve requirements for a market in which the regulator imposes an extremely high load curtailment cost in any unmet demand and delegates the role of buying generation reserves on the generators in a secondary market. These models are helpful tools to study analytically or by numerical simulation the interactions between the two markets. A potential scope for application of the proposed models is presented for the Colombian electric market.
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Kalczynski, Pawel, et Dawit Zerom. « Price forecast valuation for the NYISO electricity market ». Kybernetes 44, no 4 (7 avril 2015) : 490–504. http://dx.doi.org/10.1108/k-08-2014-0174.
Texte intégralRésumé :
Purpose – Following the deregulation of electricity markets in the USA, independent power producers operate as for-profit entities. Their profit depends on the price of electricity and an accurate forecast is critical in making bidding decisions on the electricity and reserve markets or engaging in bilateral contracts. Competing price forecasts have their accuracy expressed in statistical terms but producers need to determine the long-term value of using a given forecast. The purpose of this paper is to address this issue by presenting a method of electricity price forecast valuation which compares forecast models using financial rather than statistical measures. Design/methodology/approach – The objectives of this paper are achieved by mathematical modeling of thermal power plants and price forecast information available to market participants and simulating the operation of a thermal power plant using various price forecasts and perfect information (as a baseline). The operating profit calculated over a long period was used for ranking forecast models. Findings – The framework can be used to estimate the value of a new price forecast as well as to determine if potential gains from developing or acquiring a new forecast will justify the expenses. The results show that an improvement in terms of statistical forecast accuracy measures does not guarantee increased profit. Practical implications – This paper presents a new method for comparing electricity price forecast models. It can be adapted to various types of thermal power plants that operate on liberalized electricity markets and utilize price-based dynamic economic dispatch models. Originality/value – This paper presents a simulation-based valuation framework for short-term electricity price. The approach described in this paper can be utilized by independent power producers for different types of generators, operating on deregulated electricity markets.
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Gecheva, Gana, Miroslav Hristov, Diana Nedelcheva, Margarita Ruseva et Boyan Zlatanov. « Applications of Coupled Fixed Points for Multivalued Maps in the Equilibrium in Duopoly Markets and in Aquatic Ecosystems ». Axioms 10, no 2 (26 mars 2021) : 44. http://dx.doi.org/10.3390/axioms10020044.
Texte intégralRésumé :
We have obtained a new class of ordered pairs of multivalued maps that have pairs of coupled fixed points. We illustrate the main result with two examples that cover a wide range of models. We apply the main result in models in duopoly markets to get a market equilibrium and in aquatic ecosystems, also to get an equilibrium.
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Burtnyak, Ivan, et Anna Malytska. « Modeling the Behavior of Banks in Instability Conditions ». Journal of Vasyl Stefanyk Precarpathian National University 8, no 3 (3 novembre 2021) : 35–42. http://dx.doi.org/10.15330/jpnu.8.3.35-42.
Texte intégralRésumé :
The analysis of models of activity of banking structures in the conditions of perfect and imperfect competition is carried out. Production functions for financial companies are considered. Models of the bank's work as an institution of delegated monitoring are described. Models of dynamics of financial resources are analyzed, allow to describe processes of evolution of own capital of bank depending on dynamics of the involved resources and the policy of accumulation realized by it. The considered models and methods are based on the definition of a bank (a financial company) as some abstract object, which is characterized by input and output parameters, as well as the function that connects them. This approach to some extent allows adapting traditional models of research of industrial enterprises and organizations to the analysis of the activities of banking structures. Therefore, one of the main tasks is to optimize internal functioning. Under such conditions, it is especially important to consider the bank as a holistic complex dynamic system operating in an unstable transition economy and the use of economic and mathematical methods and models to study the processes taking place in the bank, assess its effectiveness, identify areas and ways to improve management banking activities. Based on the analysis of the main economic and mathematical models of behavior of financial companies in a monopolistic market, we can conclude that each model characterizes a certain aspect of financial market development by the situation. Production functions for a bank (financial firm) are built, where the problem of classification of these factors into input and output is significant. A wide class of economic and mathematical models is considered, in which the activity of financial and banking institutions is treated as financial intermediaries. The theory of delegated monitoring is generalized, which in the general case assumes that in conditions when there is an effect of the growth of income from scale, individual lenders prefer to delegate functions of control (monitoring) of the behavior of entrepreneurs in whose projects they have invested to special intermediary firms. banks. The analysis of the development of the banking sector of Ukraine showed that a further gradual slowdown in its pace is expected due to changes in conditions in global financial markets and market saturation.
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Pavlenko, Maryna. « Methodical approaches to modeling the grain market in Ukraine ina market equilibrium using the innovative model “a gmemod ” ». Problems of innovation and investment-driven department, no 18 (février 2019) : 115–20. http://dx.doi.org/10.33813/2224-1213.18.2019.12.
Texte intégralRésumé :
The purpose of the article it consists in the study of methodological approaches for carrying out various forecasts and modeling of the grain marketin the context of improving the regulatory environment in Ukraine, which canbe used to model the effects of state policy in the agricultural sector. Methodology research is to use a set of methods: statistical, monographic, system,economic-mathematical, logical and others. The scientific novelty the resultsobtained are predictable proposals for the development of the grain market,enhancing the ability to adequately respond to changes in foreign and domestic markets to provide an opportunity to produce competitive products in thegrain market. Conclusions. Today, the «AGMEMOD» model is a general equilibrium model, which is characterized by global coverage and models the development of all sectors of a country’s economy are considered, and also includes links and feedback links between sectors and models bilateral tradeflows between countries.
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Kuzmin, Anton. « Mathematical Exchange Rates Modeling : Equilibrium and Nonequilibrium Dynamics ». Mathematics 10, no 24 (9 décembre 2022) : 4672. http://dx.doi.org/10.3390/math10244672.
Texte intégralRésumé :
The development of the author’s concept of the International Flows Equilibrium Exchange Rate (IFEER) is the basis for the mathematical exchange rate modeling of two interconnected equal economies. IFEER-concept allows modeling the exchange rate dynamics of relatively medium-term equilibrium and short- and long-term disequilibrium. Discrete and integral versions of the concept are the basis for further modeling. New structural models of medium-, short- and long-term dynamics and new final structural dependencies of the exchange rate on the system of fundamental factors are the main results. The models include mathematically formalized export-import and capital flows and international competitive advantages indicators. The modeling allowed the revealing of the structural pricing mechanism of the exchange rate dynamics from new positions. We verify the US dollar to the Russian ruble exchange rate modeling during periods of financial and economic crises in recent Russian history, based on a systematic analysis of the exchange rate policy. Because of the analysis, the fall in export prices of oil and other energy carriers in international markets, the rise in consumer prices within the country, and the fall in aggregate output are the main reasons for the fall of the Russian ruble. The conducted modeling allows for the evaluation of the short-term contribution to the crisis depreciation dynamics. The mathematical tools allow for the development of the decision-making process on the exchange rate regulation.
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Costa, Marcelo Nóbrega da, et Joe Akira Yoshino. « Calibração do modelo de Heston para o mercado brasileiro de opções de câmbio (FX) ». Brazilian Review of Finance 2, no 1 (1 janvier 2004) : 23. http://dx.doi.org/10.12660/rbfin.v2n1.2004.1134.
Texte intégralRésumé :
Despite the relatively recent advance in the derivative industry, the European FX option market uses simple models such as Black (1976) or Garman and Kohlhagen (1983). This widespread practice hides very important quantitative effects that could be better explored by using alternative pricing models such as the one that incorporates the stochastic volatility features. Understanding and calibrating this type of pricing model represents a challenge in the current state of art in financial engineering, specially in emerging markets that are characterized by strong volatilities, periodic changing regimes and in most case suffering of liquidity, specially during the crisis. In this sense, this paper shows how to implement the Hestons Model for the Brazilian FX option market. This approach uses the volatility matrix provided by a pool of domestic market players. Although the Hestons Model presents a formal analytical solution it does not require simulation-, the closed form solutions show a mathematical complexity. Thus, the main objective of this work is to implement this model in the Brazilian FX market.
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Ferreira, João Batista, et Luiz Gonzaga Castro Junior. « Risk analysis model and agricultural derivative market use ». Independent Journal of Management & ; Production 12, no 8 (1 décembre 2021) : 2508–34. http://dx.doi.org/10.14807/ijmp.v12i8.1499.
Texte intégralRésumé :
This research aims to build conceptual guidelines regarding price risk management through the agricultural derivatives market. Specifically, to identify the common price risk management methods and strategies employed, the risk analysis models of derivative markets, and the barriers to agricultural risk management. This is an integrative review, the search for literature on the models of risk management analysis of agricultural derivatives started by listing the largest possible number of keywords on the topic, in the Scopus and Web of Science. Forty-five publications were found meeting the pre-established criteria that served as the basis for this research. Based on the literature review, we list the main information on the subject and we also propose a theoretical model for analyzing the market risks of agricultural derivatives. Still, it was possible to notice that among the methodologies for measuring market risk, Value at Risk (VaR) stands out. We exemplify and demonstrate the existence of several statistical analyzes and mathematical models, as well as software available for the management of price risks. It is concluded that strategies with the futures and options market, even though they are the most efficient for risk management, lack incentives to become practical.
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Škrinjarić, Tihana, et Boško Šego. « Using Grey Incidence Analysis Approach in Portfolio Selection ». International Journal of Financial Studies 7, no 1 (23 décembre 2018) : 1. http://dx.doi.org/10.3390/ijfs7010001.
Texte intégralRésumé :
Due to the development of financial markets, products, financial and mathematical models, portfolio selection today represents a comprehensive set of activities. Investors take into consideration many different factors, such as the market factors, return distribution characteristics and financial statements information. This research applies a Grey Relational Analysis (GRA) approach to evaluate the performance on a sample of stocks by taking those different factors into consideration. The results based upon a sample of 55 stocks for the trading year 2017 on the Croatian capital market show that using GRA approach in portfolio selection provides useful guidance for investors when making investment decisions, and better portfolio results in terms of risk and return are reachable compared to an equally weighted portfolio benchmark.
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Stennikov, V. A., O. V. Khamisov et A. V. Penkovsky. « Optimization of Developing Heat Supply System in Competitive Market Environment ». International Journal of Energy Optimization and Engineering 2, no 4 (octobre 2013) : 100–119. http://dx.doi.org/10.4018/ijeoe.2013100106.
Texte intégralRésumé :
The paper is aimed at working out the mathematical models and methods to solve the problems of operation of developing heat supply systems in a competitive market environment. The formation of new principles of functioning in this field is conditioned by the market mechanisms emerging due to the interaction between different owners of heat economy facilities within the single system. Today heat energy markets are represented by a great number of enterprises with different types of ownership that operate heat energy sources and heat networks. It is obvious that such a situation explicitly causes conflicts of interests among the heat energy market participants and unbalances the responsibility for production reliability, heat energy supply efficiency and its quality among the participants of centralized heat supply (heat sources – heat networks - consumers). A reasonable solution to this problem can make it possible to determine optimal conditions for operation of the developing heat energy market, and their implementation can increase technical, economic and energy efficiency of heat energy. These problems are solved by using the methods of hydraulic circuit theory, nonlinear dynamic programming and two level programming. The studies performed allowed the creation of mathematical models and methods for optimal construction of efficient heat supply systems, organization of their operation that ensure the realization of full energy saving potential in the field of heat supply to consumers, taking into account the interests of all participants of the heat energy market.
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Gardini, Matteo, Piergiacomo Sabino et Emanuela Sasso. « Correlating Lévy processes with self-decomposability : applications to energy markets ». Decisions in Economics and Finance 44, no 2 (8 octobre 2021) : 1253–80. http://dx.doi.org/10.1007/s10203-021-00352-9.
Texte intégralRésumé :
AbstractBased on the concept of self-decomposability, we extend some recent multidimensional Lévy models built using multivariate subordination. Our aim is to construct multivariate Lévy processes that can model the propagation of the systematic risk in dependent markets with some stochastic delay instead of affecting all the markets at the same time. To this end, we extend some known approaches keeping their mathematical tractability, study the properties of the new processes, derive closed-form expressions for their characteristic functions and detail how Monte Carlo schemes can be implemented. We illustrate the applicability of our approach in the context of gas, power and emission markets focusing on the calibration and on the pricing of spread options written on different underlying commodities.
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Mistry, Shilan. « Dynamics of the financial market ». McGill Science Undergraduate Research Journal 3, no 1 (31 mars 2008) : 17–18. http://dx.doi.org/10.26443/msurj.v3i1.125.
Texte intégralRésumé :
Financial mathematics must make use of assumptions in the development of mathematical models that provide predictive power on the behavior of economic markets, as it is impossible to collect data on the market as a whole. As a result, important quantities, such as the risk-measurement of a portfolio, are often inaccurately estimated. The financial market seems to be an erratic, pattern-less system. Indeed, attempts to find patterns, and to explain the processes behind the price movements of an asset, have been largely unsuccessful. This is analogous to the ‘Turkey Problem' described by N. Taleb in his book "The Black Swan". To illustrate, a turkey spends its life being fed and raised for slaughter, a fact that is unbeknownst to it. From the point of view of the turkey, life is delicious and predictable, until the day it is killed. For the turkey, its death is a ‘black swan event’, as it represents something highly unpredictable and catastrophic. This same type of uncertainty is also present in financial markets.
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SHAKHNAZAROV, Artur A. « Forecasting the risk and returns of IPOs on the Nasdaq stock exchange considering asymmetric information ». Finance and Credit 28, no 7 (28 juillet 2022) : 1493–510. http://dx.doi.org/10.24891/fc.28.7.1493.
Texte intégralRésumé :
Subject. The article addresses anticipation of risks and returns of IPOs on the NASDAQ stock exchange, considering the asymmetric information. Objectives. The purpose is to identify factors that determine the risk and returns of IPOs, to build predictive models on their basis. Methods. The study draws on analysis and synthesis, as well as logistic regression models. Results. The paper reveals variables that determine the risk and return of an IPO, and derives equations of corresponding predictive models. Conclusions. I built mathematical models that can be used by analysts on financial markets, investment companies, and funds to make a decision on advisability of investing in company shares at the IPO stage.
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Mele, Marco. « A Logical Process about the Chaos in FOREX Financial Market ». Asian Journal of Finance & ; Accounting 9, no 1 (25 février 2017) : 105. http://dx.doi.org/10.5296/ajfa.v9i1.10343.
Texte intégralRésumé :
Foreign exchange market has been subject of studies and discussions for many years. They were created modern theories and models to understand and predict the evolution of the price of money, and embarked on new discussions and new frontiers of study.In this paper we test the hypothesis of non-linearity and behavior chaotic the latest developments of the markets, to arrive at a solid and unambiguous conclusion on this type of dynamic systems analyzed. In particular, we introduce mathematical concepts and to study the properties of chaotic dynamics and non-linear in nature. It will delve into topics not therefore always present in economics courses in order to base the tests carried out on solid considerations from the point of view of formal mathematical. It will be followed, finally, a scientific rigor during the course of the analysis in order to give an interpretation of the results of logistic type can lead to scientific considerations different from econometric modeling.
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Marszk, Adam, et Ewa Lechman. « Application of Diffusion Models in the Analysis of Financial Markets : Evidence on Exchange Traded Funds in Europe ». Risks 8, no 1 (14 février 2020) : 18. http://dx.doi.org/10.3390/risks8010018.
Texte intégralRésumé :
Exchange traded funds (ETFs) are financial innovations that may be considered as a part of the index financial instruments category, together with stock index derivatives. The aim of this paper is to explore the trajectories and formulates predictions regarding the spread of ETFs on the financial markets in six European countries. It demonstrates ETFs’ development trajectories with regard to stock index futures and options that may be considered as their substitutes, e.g., in risk management. In this paper, we use mathematical models of the diffusion of innovation that allow unveiling the evolutionary patterns of turnover of ETFs; the time span of the analysis is 2004–2015, i.e., the period of dynamic changes on the European ETF markets. Such an approach has so far rarely been applied in this field of research. Our findings indicate that the development of ETF markets has been strongest in Italy and France and weaker in the other countries, especially Poland and Hungary. The results highlight significant differences among European countries and prove that diffusion has not taken place in all the cases; there are also considerable differences in the predicted development paths.
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PELLICER-LOSTAO, CARMEN, et RICARDO LOPEZ-RUIZ. « TRANSITION FROM EXPONENTIAL TO POWER LAW INCOME DISTRIBUTIONS IN A CHAOTIC MARKET ». International Journal of Modern Physics C 22, no 01 (janvier 2011) : 21–33. http://dx.doi.org/10.1142/s0129183111016038.
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Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics offers models of markets as complex systems, that try to comprehend macro-, system-wide states of the economy from the interaction of many agents at micro-level. One of these models is the gas-like model for trading markets. This tries to predict money distributions in closed economies and quite simply, obtains the ones observed in real economies. However, it reveals technical hitches to explain the power law distribution, observed in individuals with high incomes. In this work, nonlinear dynamics is introduced in the gas-like model in an effort to overcomes these flaws. A particular chaotic dynamics is used to break the pairing symmetry of agents (i, j) ⇔ (j, i). The results demonstrate that a "chaotic gas-like model" can reproduce the Exponential and Power law distributions observed in real economies. Moreover, it controls the transition between them. This may give some insight of the micro-level causes that originate unfair distributions of money in a global society. Ultimately, the chaotic model makes obvious the inherent instability of asymmetric scenarios, where sinks of wealth appear and doom the market to extreme inequality.
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Mackay, David B., Robert F. Easley et Joseph L. Zinnes. « A Single Ideal Point Model for Market Structure Analysis ». Journal of Marketing Research 32, no 4 (novembre 1995) : 433–43. http://dx.doi.org/10.1177/002224379503200405.
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Computing unsegmented product maps from preference data by means of single ideal point models is commonly thought to be impossible because of indeterminacy problems. The authors show that this mathematical indeterminacy can be overcome by incorporating dependent sampling assumptions into a probabilistic multidimensional scaling (MDS) model. As a result, product space maps can be estimated for single markets from preference data alone. If desired, dissimilarity data can be combined with preference data to produce jointly estimated product space maps. The authors illustrate the advantages of the proposed approach with real and simulated data. They also make comparisons to both internal and external deterministic models. The results are favorable.
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Morales-Bañuelos, Paula, Nelson Muriel et Guillermo Fernández-Anaya. « A Modified Black-Scholes-Merton Model for Option Pricing ». Mathematics 10, no 9 (30 avril 2022) : 1492. http://dx.doi.org/10.3390/math10091492.
Texte intégralRésumé :
Financial derivatives have grown in importance over the last 40 years with futures and options being actively traded on a daily basis throughout the world. The need to accurately price such financial instruments has, thus, also increased, which has given rise to several mathematical models among which is that of Black, Scholes, and Merton whose wide acceptance is partly justified by its ability to price derivatives in mature and well-developed markets. For instruments traded in emerging markets, however, the accurateness of the BSM model is unproven and new proposals need be made to face the pricing challenge. In this paper we develop a model, inspired in conformable calculus, providing greater flexibilities for these markets. After developing the theoretical aspects of the model, we present an empirical application.
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Rudnichenko, S., Y. Kamak, S. Nesterenko et M. Herashchenko. « SET-THEORETIC MODELS OF AN UNMANNED AERIAL SYSTEM FOR PREDICTING FAILURE-FREE FACTORS ». Наукові праці Державного науково-дослідного інституту випробувань і сертифікації озброєння та військової техніки, no 6 (30 décembre 2020) : 87–94. http://dx.doi.org/10.37701/dndivsovt.6.2020.10.
Texte intégralRésumé :
The article analyzes the approaches to the creation of mathematical models focused on determining the failure-free factors of unmanned aerial systems during their operation. It is noted that many economic and social processes can be narrowed down to the problem of the choice made by their participants between several alternative (mutually exclusive or competing) options.
Examples include the problem of consumer behavior in a competitive market in which the consumer makes investment decisions in the context of choosing between several alternative projects; selection of possible transport systems for passenger and сargo transportation; choosing among alternative opportunities for the economic growth of territories, decision-making in speculative financial markets (using instruments to buy for a rise or sell short) and others.
To ensure the possibility of determining the predicted failure-free factors at the stage of performance evaluation by methods of functional and structural analysis, a mathematical model of the process of determining failure-free factors was developed, focused on the use of dynamic Bayesian belief networks. The proposed model takes into account the Markovian character of the operation process running, in which failures of elements and subsystems are compensated by actions to restore the system. The failure rates of UAS during performance evaluation, as well as the average integral value survival rate for the period of performance evaluation, the rate of occurrence of failures and time to failure are determined as the final failure-free factors. The model is evaluated as a necessary condition for further development of specially configured software to solve the problem of determining failure-free factors of unmanned aerial systems.
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Morozov, Vladimir A. « Combination of Financial Research Methodologies ». Economic Strategies 160, no 5 (20 octobre 2022) : 132–37. http://dx.doi.org/10.33917/es-5.185.2022.132-137.
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The article analyzes mathematical modeling as a methodology for the study of finance, which today is quite limited and outdated. The directions of the introduction of additional methodology in the field of finance — behavioral science are studied. The behavioral methodology is revealed for: predicting the reaction of investors; considering the general question of how financial markets help the country in allocating resources and ensuring long-term economic stability; contributing to improving the process of making financial and investment decisions. The usefulness of introducing behavioral models into financial science is substantiated, which in combination with mathematical modeling will allow for significant updates in this area.
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Kuhn, A., et W. Britz. « Can hydro-economic river basin models simulate water shadow prices under asymmetric access ? » Water Science and Technology 66, no 4 (1 août 2012) : 879–86. http://dx.doi.org/10.2166/wst.2012.251.
Texte intégralRésumé :
Hydro-economic river basin models (HERBM) based on mathematical programming are conventionally formulated as explicit ‘aggregate optimization’ problems with a single, aggregate objective function. Often unintended, this format implicitly assumes that decisions on water allocation are made via central planning or functioning markets such as to maximize social welfare. In the absence of perfect water markets, however, individually optimal decisions by water users will differ from the social optimum. Classical aggregate HERBMs cannot simulate that situation and thus might be unable to describe existing institutions governing access to water and might produce biased results for alternative ones. We propose a new solution format for HERBMs, based on the format of the mixed complementarity problem (MCP), where modified shadow price relations express spatial externalities resulting from asymmetric access to water use. This new problem format, as opposed to commonly used linear (LP) or non-linear programming (NLP) approaches, enables the simultaneous simulation of numerous ‘independent optimization’ decisions by multiple water users while maintaining physical interdependences based on water use and flow in the river basin. We show that the alternative problem format allows the formulation HERBMs that yield more realistic results when comparing different water management institutions.