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Calibration of Chaotic Models for Interest Rates
Positive interest rate models Wiener chaos model calibration
2011/7/4
In this paper we calibrate chaotic models for interest rates to market data using a
polynomial{exponential parametrization for the chaos coecients. We identify a subclass of one{
variable models th...
Economy is demanding new models, able to understand and predict the evolution of markets. To this respect, Econophysics is offering models of markets as complex systems, such as the gas-like model, ab...
Money Distributions in Chaotic Economies
Econophysics Gas-like Models Complex Systems Chaos Nonlinear Maps
2010/11/1
This paper considers the ideal gas-like model of trading markets, where each individual is identified as a gas molecule that interacts with others trading in elastic or moneyconservative
collisions.
Economic Models with Chaotic Money Exchange
Complex Systems Econophysics Gas-like Models Money Dynamics Random and Chaotic numbers Modeling and Simulation
2010/10/29
This paper presents a novel study on gas-like models for economic systems. The interacting agents and the amount of exchanged money at each trade are selected with different levels of randomness, from...