Chaos Theory in Economics : Methods, Models and Evidence

By: W.Davis Dechert (Editor)

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Hardcover | 1 January 1996

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624 Pages

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25.4 x 17.78 x 4.45

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A collection of essays which bring together three basic aspects of research into nonlinear dynamics and economics. The first papers deal with the theoretical methods used in analyzing chaotic dynamics and the statistical tools to detect the presence of non-linearities in economic data. The following articles discuss the models which are currently being used to stimulate nonlinear economic phenomena. The final papers apply these methods to a number of economic time series.

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You Can Find This Book In

Non-Fiction Mathematics Applied Mathematics Chaos Theory Probability & Statistics Economics Economic Theory & Philosophy Econometrics

Acknowledgements
Introduction by the editor
Pathways to Randomness in the Economy: Emergent Nonlinearity and Chaos in Economics and Finance	p. 3
Understanding Macroeconomic Time Series Using Complex Systems Theory	p. 56
Nonlinearities in Economic Dynamics	p. 79
On Lags and Chaos in Economic Dynamic Models	p. 95
Chaotic Tatonnement	p. 125
Statistical Dynamics and Economics	p. 134
Non-Parametric Estimation of Deterministically Chaotic Systems	p. 181
Some Theory of Statistical Inference for Nonlinear Science	p. 202
An Algorithm for the n Lyapunov Exponents of an n-Dimensional Unknown Dynamical System	p. 222
A New Test for Chaos	p. 238
Chance or Chaos?	p. 267
On Rational Dynamic Strategies in Infinite Horizon Models Where Agents Discount the Future	p. 279
Deterministic Chaos in an Experimental Economic System	p. 294
Market Instability and Nonlinear Dynamics	p. 322
Adaptive Learning and Roads to Chaos: The Case of the Cobweb	p. 330
Resolution of Chaos with Application to a Modified Samuelson Model	p. 336
Nonlinearities and Chaotic Effects in Options Prices	p. 355
Does an Unstable Keynesian Unemployment Equilibrium in a non-Walrasian Dynamic Macroeconomic Model Imply Chaos?	p. 367
Chaotic Dynamics in Economic Time-Series	p. 377
Chaos and Nonlinear Dynamics: Application to Financial Markets	p. 408
On Determining the Dimension of Real-Time Stock-Price Data	p. 447
Implications of Nonlinear Dynamics for Financial Risk Management	p. 455
"Chaos" in Futures Markets? A Nonlinear Dynamical Analysis	p. 479
Testing for Nonlinear Dependence in Daily Stock Indices	p. 497
The Statistical Properties of Dimension Calculations Using Small Data Sets: Some Economic Applications	p. 511
International Chaos?	p. 541
Some Evidence Concerning Macroeconomic Chaos	p. 557
On Nonlinear Dynamics: The Case of the Pork Cycle	p. 573
Chaos Theory and Microeconomics: An Application to Model Specification and Hedonic Estimation	p. 583
Name Index	p. 591
Table of Contents provided by Blackwell. All Rights Reserved.

Chaos Theory in Economics : Methods, Models and Evidence

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Hardcover

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