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We introduce a monotone class theory of Prospect Theory's value functions, which shows that they can be replaced almost surely by a topological lifting comprised of a class of compact isomorphic maps that embed weakly co-monotonic probability measures, attached to state space, in outcome space. Thus, agents solve a signal extraction problem to obtain estimates of empirical probability weights for prospects under risk and uncertainty. By virtue of the topological lifting, we prove an almost sure isomorphism theorem between compact stochastic choice operators, and well defined outcomes which, under Brouwer-Schauder theory, guarantees fixed point convergence in convex choice sets. Along the way we introduce a risk operator in the Hoffman-Jorgensen class of lifting operators, and value function [averaging] operators with respect to Radon measure. In that set up, suitable binary operations on gain-loss space show that our risk operator is isometric for gains and skewed for losses. The point spectrum from this operator constitutes the range of admissible observations for loss aversion index in a well designed experiment.

We augment Tversky and Khaneman (1992) (“TK92”) Cumulative Prospect Theory (“CPT”) function space with a sample space for “states of nature”, and depict a commutative map of behavior on the augmented space. In particular, we use a homotopy lifting property to mimic behavioral stochastic processes arising from deformation of stochastic choice into outcome. A psychological distance metric (in the class of Dudley-Talagrand inequalities) popularized by Norman (1968); Nosofsky and Palmeri (1997), for stochastic learning, was used to characterize stopping times for behavioral processes. In which case, for a class of nonseparable space-time probability density functions, based on psychological distance, and independently proposed by Baucells and Heukamp (2009), we find that behavioral processes are uniformly stopped before the goal of fair gamble is attained. Further, we find that when faced with a fair gamble, agents exhibit submartingale [supermartingale] behavior, subjectively, under CPT probability weighting scheme. We show that even when agents’ have classic von Neuman-Morgenstern preferences over probability distribution, and know that the gamble is a martingale, they exhibit probability weighting to compensate for probability leakage arising from the their stopped behavioral process.

In the last decades, there was a notable progress in solving the well-known Boolean satisfiability (Sat) problem, which can be witnessed by powerful Sat solvers. One of the reasons why these solvers are so fast are structural properties of instances that are utilized by the solver’s interna. This thesis deals with the well-studied structural property treewidth, which measures the closeness of an instance to being a tree. In fact, there are many problems parameterized by treewidth that are solvable in polynomial time in the instance size when parameterized by treewidth. In this work, we study advanced treewidth-based methods and tools for problems in knowledge representation and reasoning (KR). Thereby, we provide means to establish precise runtime results (upper bounds) for canonical problems relevant to KR. Then, we present a new type of problem reduction, which we call decomposition-guided (DG) that allows us to precisely monitor the treewidth when reducing from one problem to another problem. This new reduction type will be the basis for a long-open lower bound result for quantified Boolean formulas and allows us to design a new methodology for establishing runtime lower bounds for problems parameterized by treewidth. Finally, despite these lower bounds, we provide an efficient implementation of algorithms that adhere to treewidth. Our approach finds suitable abstractions of instances, which are subsequently refined in a recursive fashion, and it uses Sat solvers for solving subproblems. It turns out that our resulting solver is quite competitive for two canonical counting problems related to Sat. In den letzten Jahrzehnten konnte ein beachtlicher Fortschritt im Bereich der Aussagenlogik verzeichnet werden. Dieser äußerte sich dadurch, dass für das wichtigste Problem in diesem Bereich, genannt „Sat“, welches sich mit der Fragestellung befasst, ob eine gegebene aussagenlogische Formel erfüllbar ist oder nicht, überwältigend schnelle Computerprogramme („Solver“) entwickelt werden konnten. Interessanterweise liefern diese Solver eine beeindruckende Leistung, weil sie oft selbst Probleminstanzen mit mehreren Millionen von Variablen spielend leicht lösen können. Auf der anderen Seite jedoch glaubt man in der Wissenschaft weitgehend an die Exponentialzeithypothese (ETH), welche besagt, dass man im schlimmsten Fall für das Lösen einer Instanz in diesem Bereich exponentielle Laufzeit in der Anzahl der Variablen benötigt. Dieser vermeintliche Widerspruch ist noch immer nicht vollständig geklärt, denn wahrscheinlich gibt es viele ineinandergreifende Gründe für die Schnelligkeit aktueller Sat Solver. Einer dieser Gründe befasst sich weitgehend mit strukturellen Eigenschaften von Probleminstanzen, die wohl indirekt und intern von diesen Solvern ausgenützt werden. Diese Dissertation beschäftigt sich mit solchen strukturellen Eigenschaften, nämlich mit der sogenannten Baumweite. Die Baumweite ist sehr gut erforscht und versucht zu messen, wie groß der Abstand von Probleminstanzen zu Bäumen ist (Baumnähe). Allerdings ist dieser Parameter sehr generisch und bei Weitem nicht auf Problemstellungen der Aussagenlogik beschränkt. Tatsächlich gibt es viele weitere Probleme, die parametrisiert mit Baumweite in polynomieller Zeit gelöst werden können. Interessanterweise gibt es auch viele Probleme in der Wissensrepräsentation (KR), von denen man davon ausgeht, dass sie härter sind als das Problem Sat, die bei beschränkter Baumweite in polynomieller Zeit gelöst werden können. Ein prominentes Beispiel solcher Probleme ist das Problem QSat, welches sich für die Gültigkeit einer gegebenen quantifizierten, aussagenlogischen Formel (QBF), das sind aussagenlogische Formeln, wo gewisse Variablen existenziell bzw. universell quantifiziert werden können, befasst. Bemerkenswerterweise wird allerdings auch im Zusammenhang mit Baumweite, ähnlich zu Methoden der klassischen Komplexitätstheorie, die tatsächliche Komplexität (Härte) solcher Problemen quantifiziert, wo man die exakte Laufzeitabhängigkeit beim Problemlösen in der Baumweite (Stufe der Exponentialität) beschreibt. Diese Arbeit befasst sich mit fortgeschrittenen, Baumweite-basierenden Methoden und Werkzeugen für Probleme der Wissensrepräsentation und künstlichen Intelligenz (AI). Dabei präsentieren wir Methoden, um präzise Laufzeitresultate (obere Schranken) für prominente Fragmente der Antwortmengenprogrammierung (ASP), welche ein kanonisches Paradigma zum Lösen von Problemen der Wissensrepräsentation darstellt, zu erhalten. Unsere Resultate basieren auf dem Konzept der dynamischen Programmierung, die angeleitet durch eine sogenannte Baumzerlegung und ähnlich dem Prinzip „Teile-und-herrsche“ funktioniert. Solch eine Baumzerlegung ist eine konkrete, strukturelle Zerlegung einer Probleminstanz, die sich stark an der Baumweite orientiert. Des Weiteren präsentieren wir einen neuen Typ von Problemreduktion, den wir als „decomposition-guided (DG)“, also „zerlegungsangeleitet“, bezeichnen. Dieser Reduktionstyp erlaubt es, Baumweiteerhöhungen und -verringerungen während einer Problemreduktion von einem bestimmten Problem zu einem anderen Problem präzise zu untersuchen und zu kontrollieren. Zusätzlich ist dieser neue Reduktionstyp die Basis, um ein lange offen gebliebenes Resultat betreffend quantifizierter, aussagenlogischer Formeln zu zeigen. Tatsächlich sind wir damit in der Lage, präzise untere Schranken, unter der Annahme der Exponentialzeithypothese, für das Problem QSat bei beschränkter Baumweite zu zeigen. Genauer gesagt können wir mit diesem Konzept der DG Reduktionen zeigen, dass das Problem QSat, beschränkt auf Quantifizierungsrang ` und parametrisiert mit Baumweite k, im Allgemeinen nicht besser als in einer Laufzeit, die `-fach exponentiell in der Baumweite und polynomiell in der Instanzgröße ist1, lösen. Dieses Resultat hebt auf nicht-inkrementelle Weise ein bekanntes Ergebnis für Quantifizierungsrang 2 auf beliebige Quantifizierungsränge, allerdings impliziert es auch sehr viele weitere Konsequenzen. Das Resultat über die untere Schranke des Problems QSat erlaubt es, eine neue Methodologie zum Zeigen unterer Schranken einer Vielzahl von Problemen der Wissensrepräsentation und künstlichen Intelligenz, zu etablieren. In weiterer Konsequenz können wir damit auch zeigen, dass die oberen Schranken sowie die DG Reduktionen dieser Arbeit unter der Hypothese ETH „eng“ sind, d.h., sie können wahrscheinlich nicht mehr signifikant verbessert werden. Die Ergebnisse betreffend der unteren Schranken für QSat und die dazugehörige Methodologie konstituieren in gewisser Weise eine Hierarchie von über Baumweite parametrisierte Laufzeitklassen. Diese Laufzeitklassen können verwendet werden, um die Härte von Problemen für das Ausnützen von Baumweite zu quantifizieren und diese entsprechend ihrer Laufzeitabhängigkeit bezüglich Baumweite zu kategorisieren. Schlussendlich und trotz der genannten Resultate betreffend unterer Schranken sind wir im Stande, eine effiziente Implementierung von Algorithmen basierend auf dynamischer Programmierung, die entlang einer Baumzerlegung angeleitet wird, zur Verfügung zu stellen. Dabei funktioniert unser Ansatz dahingehend, indem er probiert, passende Abstraktionen von Instanzen zu finden, die dann im Endeffekt sukzessive und auf rekursive Art und Weise verfeinert und verbessert werden. Inspiriert durch die enorme Effizienz und Effektivität der Sat Solver, ist unsere Implementierung ein hybrider Ansatz, weil sie den starken Gebrauch von Sat Solvern zum Lösen diverser Subprobleme, die während der dynamischen Programmierung auftreten, pflegt. Dabei stellt sich heraus, dass der resultierende Solver unserer Implementierung im Bezug auf Effizienz beim Lösen von zwei kanonischen, Sat-verwandten Zählproblemen mit bestehenden Solvern locker mithalten kann. Tatsächlich sind wir im Stande, Instanzen, wo die oberen Schranken von Baumweite 260 übersteigen, zu lösen. Diese überraschende Beobachtung zeigt daher, dass Baumweite ein wichtiger Parameter sein könnte, der wohl in modernen Designs von Solvern berücksichtigt werden sollte.

We consider three cases studies of the uses and mis-uses of mathematics in 8 economics and econometrics. The first concerns economic forecasting, where a 9 mathematical analysis is essential, and is independent of the specific forecast- 10 ing model and how the process being forecast behaves. The second concerns 11 model selection with more candidate variables than the number of observations. 12 Again, an understanding of the properties of extended general-to-specific pro- 13 cedures is impossible without advanced mathematical analysis. The third con- 14 cerns inter-temporal optimization and the formation of rational expectations, 15 where misleading results follow from present mathematical approaches for real- 16 istic economies. The appropriate mathematics remains to be developed, and may 17 end problem specific rather than generic.

In this paper we show that the possibilistic mean values produce computation results that may differ in a non trivial may from those obtained with the fuzzy extension principle. The evidence is carried out by comparing some examples derived from several models in finance and economics.

This paper studies a Stieltjes-type moment problem defined by the generalized lognormal distribution, a heavy-tailed distribution with applications in economics, finance and related fields. It arises as the distribution of the exponential of a random variable following a generalized error distribution, and hence figures prominently in the EGARCH model of asset price volatility. Compared to the classical lognormal distribution it has an additional shape parameter. It emerges that moment (in)determinacy depends on the value of this parameter: for some values, the distribution does not have finite moments of all orders, hence the moment problem is not of interest in these cases. For other values, the distribution has moments of all orders, yet it is moment-indeterminate. Finally, a limiting case is supported on a bounded interval, and hence determined by its moments. For those generalized lognormal distributions that are moment-indeterminate Stieltjes classes of moment-equivalent distributions are presented., 12 pages, 1 figure

In the world of knowledge economy and competitiveness in which we live today, the economic growth is built on innovation. Our interest in the present paper is to find if innovation is a factor that shaped the attractiveness of EU location for foreign investors during the economic crisis. In this respect, we use the Pearson correlation coefficient. We find weak correlation between innovation and FDI stocks at the EU level during 2006-2013, with a higher and significant correlation between the two variables in the new EU countries until 2009. We do not find significant correlations in the old member states, probably because the group of member states is too heterogeneous. Also, we obtain significant positive correlation only in 11 countries out of 28, without identifying any preference related to the EU adhesion moment.

We study the mechanisms according to which social infrastructure influences the preservation of physical capital and, consequently, economic growth. The model considers that social infrastructure is a specific type of human capital, which acts in order to preserve already existing physical capital, by, e.g., reducing the incentive for rent seeking or corruption. Using an innovative methodology in economics, the Gröbner bases, we study the equilibrium of our model and conclude for the existence of two feasible steady-states or of unicity according to different combinations of parameters, highlighting a trade-off between consumption and production on one hand and social infrastructure and physical capital accumulation, on the other. We also present sufficient conditions for saddle-path stability. Finally, we describe transitional dynamics and calculate welfare effects from which we show that strengthening social infrastructure increases welfare. info:eu-repo/semantics/acceptedVersion

Elemzésünkben a háztartások demográfiai összetételbeli - a családi életciklus szerinti - változásainak fogyasztási következményeit kívánjuk megérteni. A családi életciklusok szerinti fogyasztás jellemzőinek összehasonlítását kvázikísérleti módszerrel, genetikus párosítással végeztük, amely az adott életciklusokba tartozás fogyasztási következményeit teszi megismerhetővé tervezett kísérlet lebonyolítása nélkül. Eredményeink szerint a családi élet cik lus sza kaszok számos kiadási tétel esetében befolyásolják a háztartások fogyasztását, így az életciklus adott szakaszának ismerete jól jelzi előre egy háztartás kiadási jellemzőit. Journal of Economic Literature (JEL) kód: C02, M31., The ability to identify causal relationships is a relevant concern in a wide variety of fields of economic and business research. There is high demand for research methodologies able to assess whether a given treatment is successful or not. So this study employs a matching method to examine the effect of household life cycles on its consumption characteristics. Genetic matching allows analysis of causal relationships without experimental design. The results indicate that the nature of consumption can be successfully predicted for a given life cycle.

Majoritatea studenţilor şi a personalului administrativ din Universitatea “Vasile Alecsandri din Bacău” utilizează aplicaţia UMS pentru gestionarea situaţiei şcolare. Este aplicaţia software special creată şi adresată managementului universitar. În acest studiu se analizează calitatea aplicaţiei UMS prin aplicarea unui chestionar şi analiza factorilor care conduc la o funcţionare eficientă a softului. Asftel prin analiza factorilor şi a subfactorilor care intervin în interacţiunea dintre utilizator şi aplicaţie vom puteam analiza calitatea aplicaţiei. Concluzia temei de cercetare se va concretiza, după modelarea statistică a rezultatelor chestionarului, prin prezentarea unei metode de îmbunătăţire a aplicaţiei.

The paper brings arguments in favour of emphasizing the modeling factors of the Coefficient of Intensity of Structural Changes (CISC) in order to obtain a better interpretation of the significance of the respective method of structural change measurement. Also, it is highlighted the impact of characteristic features of structural changes on differentiation of the size of CISC computed at economic branch level and sectorial level respectively. There are identified all possible situations of structural changes from a sectorial point of view. At the end of the paper, there is presented a numerical example related to structural changes of Romania’s employed population during the period 2008-2011. The above-mentioned example offers an opportunity to review all the necessary steps for identification of CISC modeling factors, when economic branches approach is considered, and a comparison with CISC computed in a sectorial vision is made. The respective steps were made by using R Software.

The commonly-used version of the double-hurdle model rests on a rather restrictive set of statistical assumptions, which are very seldom tested by practitioners, mainly because of the lack of a standard procedure for doing so, although violation of such assumptions can lead to serious modelling flaws. We propose here a bootstrap-corrected conditional moment portmanteau test which is simple to implement and has good size and power properties.

Grey theory deals with systems with inadequate, poor and uncertain information. Modeling against insufficient sample and saturated sequence, Grey Verhulst model has its particular perfection. Its modeling process is easy and high prediction accuracy can be achieved. In this paper, the application of a Grey Verhulst model in studying the global ICT development was presented; Moreover a new Grey Verhulst model and Fourier residual Grey Verhulst model were suggested to improve the forecasting accuracy. Data of the world fixed-telephone subscriptions which is one of ICT indicator from 2001 to 2010 were used as a forecasted example. Finally we increased the precision by employing the Grey Markov model which is the mixture of the GM(1,1) and a Markov model

Financial prices are often discretized—with smallest tick size of one cent, for example. Thus prices involve rounding errors. Rounding errors affect the estimation of volatility, and understanding them is critical, particularly when using high frequency data. We study the asymptotic behavior of realized volatility (RV), which is commonly used as an estimator of integrated volatility. We prove the convergence of the RV and scaled RV under varous conditions on the rounding level and the number of observations. A bias-corrected volatility estimator is proposed and an associated central limit theorem is shown. The simulation and empirical results demonstrate that the proposed method can yield substantial statistical improvement. ( JEL: C02, C13,C14)

The article is devoted to the development of classification of the territorial entities of the Russian Federation based on the data of the State statistical reporting for 2005-2011 and aimed at assessment of financial solvency of regions concerning budget support, attracting of investments, promoting export-import relationships with foreign countries and inter-government relations with the Federal center. The main achievement is a new approach to formation of integrated characteristics (indexes) which work equally well in different periods of economic development (in the period 2005-2011 we could observe uprising, crisis and an initial stage of the recovery). As a result 4 indexes reflecting different aspects of affluence on the regions' were designed, and common criteria of classification created, all the regions were divided into 6 well interpreted classes.

In a democracy where the median income is substantially less than the average, why does the poor majority not implement a significant level of redistribution? Despite fears that democracy would empower the poor majority to such ends, constituents of below average income have a mixed record of utilizing democracy to ameliorate economic inequality in the United States. How do we understand this puzzle? Why does the poor majority not maintain a constant level of redistribution in a democracy? In this paper, I provide a game theoretic answer based on historical research, which is in accord with the broad trend in both policy and economic inequality in the United States.

Se establece un modelo que describe la movilidad interna y externa a nivel provincial de la población ecuatoriana, considerando su autoidentificación étnica (indígena y no indígena). El estudio utiliza las cadenas de Markov; para desarrollar el modelo estocástico, se han tomado como base los datos del Censo de Población y Vivienda 2010, elaborado por el Instituto Nacional de Estadística y Censos (INEC).

The paper is dedicated to the methodology of calculation, description of the properties and practical appliance of the realized volatility estimation, and its usage in the VaR calculation. The aim of the research is comparing of the realized volatility calculation methods, some of them are developed by the author and for the first time presented in the scientific publication. The results of the comparing enables to reader to conclude about accuracy superiority of the VaR estimation in the sense of smallest deviation from theoretical quantile if to use the new methods instead of the earlier created methods. Keywords: realized volatility; HAR-RV; VaR; market risk; financial crisis 2008.

To satisfy the property of expected-utility maximization, Tzeng et al. (2012) modify the almost second-degree stochastic dominance proposed by Leshno and Levy (2002) and define almost higher-degree stochastic dominance. In this note, we further investigate the relevant properties. We define an almost third-degree stochastic dominance in the same way that Leshno and Levy (2002) define second-degree stochastic dominance and show that Leshno and Levy's (2002) almost stochastic dominance has the hierarchy property but not expected-utility maximization. In contrast, Tzeng et al.'s (2012) definition has the property of expected-utility maximization but not the hierarchy property. This phenomenon also holds for higher-degree stochastic dominance for these two concepts. Thus, the findings in this paper suggest that Leshno and Levy's (2002) definitions of ASSD and ATSD might be better than those defined by Tzeng et al. (2012) if the hierarchy property is considered to be an important issue.

A partitional model of knowledge is monotonic if there exists a linear order on the state space such that, for every player, each element of her partition contains only a sequence of consecutive states. In monotonic models, the absence of alternating cycles is equivalent to the property that, for every pair of players, the join of their partitions contains only singletons. Under these equivalent conditions any set of posterior beliefs for the players is consistent (i.e., there is a common prior). We describe the lattice properties of monotonic models, develop a test to check if a model is monotonic, propose a simple sufficient condition for non-monotonicity, and provide some examples. We also study models having circular orders, a weakening of monotonicity.

Social conformity can spread social norms and behaviors through a society. This research examines such a process geographically and over time for voting, which is strongly influenced by the norm that citizens should vote. A mathematical model for the spread of voting participation under the influence of social conformity is developed based on the diffusion equation, and predictions are tested with spatial analysis of state-level voter turnout in American presidential elections from 1920 to 2008. Results show that voter turnout has converged to a stable equilibrium in its geographical distribution across the states—but it is an equilibrium that results in persistent differences at the state level. Results are compared to individual-level and agent-based models. The model may be applied to other types of social diffusion that depend on specific geographical location.

The selection of climate policies should be an exercise in risk management reflecting the many relevant sources of uncertainty. Studies of climate change and its impacts rarely yield consensus on the distribution of exposure, vulnerability, or possible outcomes. Hence policy analysis cannot effectively evaluate alternatives using standard approaches such as expected utility theory and benefit-cost analysis. This Perspective highlights the value of robust decision-making tools designed for situations, such as evaluating climate policies, where generally agreed-upon probability distributions are not available and stakeholders differ in their degree of risk tolerance. This broader risk management approach enables one to examine a range of possible outcomes and the uncertainty surrounding their likelihoods.

We propose a non-standard subsampling procedure in order to make formal statistical inference about the business cycle, one of the most important unobserved feature characterising fluctuations of economic growth. We show that some characteristics of business cycle can be modelled in a non-parametric way by discreet spectrum of the Almost Periodically Correlated (APC) time series. On the basis of estimated characteristics of this spectrum it is possible to extract business cycle by filtering. On the basis of our results we characterise the man properties of business cycles in industrial production index for Polish economy. ∗ Economic Institute in National Bank of Poland, Department of Mathematics in Cracow University of Economics, e-mail: lukasz.lenart@uek.krakow.pl † Economic Institute in National Bank of Poland, Department of Econometrics and Operations Research in Cracow University of Economics, e-mail: eepipien@cyf-kr.edu.pl

Data envelopment analysis (DEA) is a linear programming methodology to evaluate the relative technical efficiency for each member of a set of peer decision making units (DMUs) with multiple inputs and multiple outputs. It has been widely used to measure performance in many areas. A weakness of the traditional DEA model is that it cannot deal with negative input or output values. There have been many studies exploring this issue, and various approaches have been proposed. In this paper, we develop a variant of the traditional radial model whereby original values are replaced with absolute values as the basement to quantify the proportion of improvements to reach the frontier. The new radial measure is units invariant and can deal with all cases of the presence of negative data. In addition, the VRM model preserves the property of proportionate improvement of a traditional radial model, and provides the exact same results in the cases that the traditional radial model can deal with. Examples show the advantages of the new approach.

The paper provides natural hedging strategies among death benefits and annuities written on a single and on different generations. It obtains closed-form Delta and Gamma hedges, in the presence of both longevity and interest rate risk. We present an application to UK data on survivorship and bond dynamics. We first compare longevity and financial risk exposures: Deltas and Gammas for longevity risk are greater in absolute value than the corresponding sensitivities for interest rate risk. We then calculate the optimal hedges, both within and across generations. Our results apply to both asset and asset-liability management.

Son yillarda kaliteli personelin secimi firmalar icin onemli bir basari faktoru ve stratejik bir karar haline gelmistir. Ancak bu karar genellikle karmasiktir ve belirsiz bir ortamda verilir. Birbirleriyle celisen bircok niceliksel ve niteliksel kriteraynianda dikkate alinmalidir. Bulanik cok kriterli karar verme yontemleri bu sorunlara cozum olmak amaciyla gelistirilmistir. Bu yontemler karar vericilerin tercihlerindeki belirsizligi yansitip bircok kriteri ayni anda degerlendirir.Cok kriterli karar verme yontemlerinden biri olan bulanik VIKOR yontemi, bulanik mantik teorisini kullanip cogunluk icin grup faydasini maksimize ederek ve rakip secenek icin bireysel pismanligi minimize ederek uzlastirici bir cozum olusturur. Bu calismada bulanik VIKOR yontemi kullanilarak bir teknoloji firmasinin personel secim sureci incelenmistir.Bu surecte bes aday uc karar verici tarafindan bes kritere gore degerlendirilmis ve hesaplanan indekslere gore bir siralama yapilmistir. Calisma, bulanik VIKOR yonteminin personel seciminde etkin bir yontem olarak kullanilabilecegini gostermistir.

Information about possible manipulation of the overnight Robor interbank interest rates appeared in the press in late June 2012 when the British bank Barclays was fined for manipulating Libor. Suspicion of manipulation of interest rates has not spared Romania.The purpose of this paper is to provide mathematical support persons or authorities concerned in finding out whether the overnight ROBOR reference rates from October 2008 were the result of an agreement between banks or is a natural reaction to the difficult conditions prevailing at that time, and why not, decision support to establish a intervention policies when deviations of the interbank money market parameters, in relation to a specific goal, above a certain value.

The Decision, policy loans - customers, depends on the nature of this kind of net profit: if positive, will decide to extend credit - customers, if negative, will seek another way of incentives to customers (possibly a rebate on sales) if they agree to reduce the period for paying the bills.

The application of options pricing theory to value irreversible investment decisions has witnessed a marked increase over the last decade. For instructional and simplified applications, the Black-Scholes model is commonly demonstrated due to its tractability and acceptance in the finance community. This paper provides a detailed mathematical exposition of the Black-Scholes model. The main contribution of this paper is the step-by-step instructional account of the Black-Scholes model that can be used directly in the classroom to introduce stochastic calculus, arbitrage-free valuation, and option-pricing theory. In contrast with most Black-Scholes derivations found in the pedagogical literature, this paper develops the fair option price from an economic equilibrium perspective. Through this approach, it is hoped the reader will comprehend both the mathematics and economics underlying option pricing theory, as both are equally important.

Este trabajo versa sobre la utilidad de las ecuaciones diferenciales y las ecuaciones en diferencias finitas para la resolución de distintos problemas en el ámbito de la economía y la empresa.En Economía es frecuente estudiar la evolución de los valores de una misma variable en distintos instantes temporales. Si la variable "tiempo" se considera como algo continuo, la evolución se estudia mediante ecuaciones diferenciales. Sin embargo, si el "tiempo" es tratado de manera discreta, se utilizan entonces ecuaciones en diferencias finitas.Concretamente, nuestro objetivo no solo es exponer la evolución que han sufrido las nociones de ecuaciones diferenciales y ecuaciones en diferencias finitas sino también dar una visión (no exhaustiva) de sus múltiples aplicaciones a cuestiones relativas a fenómenos económicos y financieros.------------------------------------ This paper deals with the use of differential equations and finite difference methods for solving several problems in the field of Economics and Business Administration.Economics usually needs to study the evolution of the values which are taken by a given variable in different moments. If the time variable works in a continuous way, its evolution is studied by differential equations. Otherwise, time is a discrete variable and finite difference methods must be used.In addition, to expound the evolution of the notions of differential and difference equations, the goal of this paper is to show a general view (but not comprehensive) of their many applications for explaining economical and financial phenomena., Artículo revisado por pares

We introduce a rapid grid search method in solving dynamic programming problems in economics. Compared to mainstream grid search methods, by using local information of the Bellman equation, this method can significantly increase the efficiency in solving dynamic programming problems by reducing the grid points searched in the control space.

La presente investigación desarrolla un modelo para una economía estocástica con mercados incompletos, la cual está poblada por agentes racionales adversos al riesgo. El modelo es útil para analizar el proceso de toma de decisiones, en un ambiente de incertidumbre, de un consumidor-inversionista que desea integrar un portafolio en un horizonte de planeación finito, sujeto a dos restricciones: una de tipo presupuestal que considera saltos de Poisson en la dinámica del precio de un activo riesgoso y otra probabilista sobre la riqueza final. Asimismo, el trabajo determina la regla de consumo óptimo y las proporciones óptimas de la riqueza que el individuo debe asignar a cada uno de los activos disponibles en la economía. / This paper is aimed at developing a stochastic model for an economy with incomplete markets, which is populated by rational and risk-averse agents. The model is useful to analyze the process of decision making in an uncertain environment, of a consumer-investor who wishes to integrate a portfolio within in a finite planning horizon, subject to two constraints: a budget constraint that considers Poisson type jumps in the price dynamics of a risky asset, and a probabilistic constraint on final wealth. This research also determines the optimal consumption rule and the optimal proportions of wealth the individual must assign to each of the available assets in the economy.

One method of isolating the useful signal from the noise is by using a soft- processor Kalman filter. There are many applications of how one could use a Kalman filter: using navigation systems, such as satellite or radio, and sonar tracking systems. The guidance systems in military applications is another use of Kalman filter. In the recent years, they form the basis of GPS, which is used for car guidance.

Mediante simulación, se estudian varios casos de fraude provocados por pirámides financieras tipo Ponzi (incluyendo los casos Madoff, DRFE y Cabrera); la técnica empleada corresponde a la implementación computacional de un modelo estocástico diseñado por J. Mayorga-Zambrano. Se comparan datos reales con aquellos generados por el software implementado; en particular, se estudia la evolución del número de clientes, del monto de estafa y del tiempo estimado de duración de la pirámide.

Almost no economic time series is either weakly or strictly stationary: distributions of economic variables shift over time. Thus, the present treatment of expectations in economic theories of inter-temporal optimization is inappropriate. It cannot be proved that conditional expectations based on the current distribution are minimum mean-square error 1-step ahead predictors when unanticipated breaks occur, and consequentially, the law of iterated expectations then fails inter-temporally. A second consequence is that dynamic stochastic general equilibrium models are intrinsically non-structural.

In a seminal contribution, Hansson (1976) demonstrates that the collection of decisive coalitions associated with an Arrovian social welfare function forms an ultrafilter. He goes on to show that if transitivity is weakened to quasi-transitivity as the coherence property imposed on a social relation, the set of decisive coalitions is a filter. We examine the notion of decisiveness with acyclical or Suzumura consistent social preferences and without the assumption that the social relation is reflexive and complete. This leads to a new set-theoretic concept applied to product spaces.

Effectiveness involves more than simple efficiency, which is limited to the production process assessment of peer operational units. Effectiveness incorporates variables that are both controllable (i.e. efficiency) and non-controllable (i.e. perceived quality) by the operational units. It is a fundamental driver for the success of either a for-profit or a non-for-profit unit in a competitive environment that is customer/citizen- and goal-oriented. Additionally, with respect to the short-run production constraints, i.e. the resources available and controllable by the operational units, and the legal status, we go beyond the traditional effectiveness assessment techniques by developing a Modified or “rational” Quality-driven-Efficiency-adjusted Data Envelopment Analysis (MQE-DEA) model. This particular model provides in the short run a feasible effectiveness attainment path for every disqualified unit in order to meet high-perceived quality and high-efficiency standards. By applying the MQE-DEA model a new production equilibrium is determined, which is different from the equilibrium suggested by the mainstream microeconomic theory, in that it takes into account not only the need for operational efficiency but also the customer-driven market dynamics.

This work uses wavelets in determining Hurst´s coefficient of the most important stock indices of four emerging markets known as the next new economies that will compound the BRIC group: Mexico, North Korea, Turkey and Indonesia. The objectives are: to determine whether or not persistence behavior in the long run exists for these indices; if under this perspective they should be considered as emerging markets or mature markets, to assess the non-linear and fractal characteristics (if found), to verify if it is possible to estimate future tendencies using wavelet techniques, to assess the results and to find new possibilities for financial fractal analysis and to seek other alternatives under this investigation research line. Finally, this work proposes a research field more viable and in accordance with the criticism to random walk and EMH (Efficient Market Hypothesis) approach of markets

Banks contribute through their work to financial developments as they ensure at least the necessary structure for the market economy. The lending activity of banks takes place in accordance with the national regulations specific to each country individually and it supports the facilitation of the business conduct as well as of the one belonging to non-financial clients. The lending methodology varies from one bank to another depending on the national policy of each one and also on the policies specific to the Central Bank existent in each country. The loan lending process requires a detailed analysis on the behalf of the bank so as to cover the default risk. The purpose of this paper is to examine the possible methods used by banks with the purpose of estimating the cash flows and the related growth rates for those medium-term and long-term loans granted to legal entities.

El objetivo de este artículo es mostrar algunos de los aspectos matemáticos que se encuentran detrás de los modelos realizados para describir fenómenos económicos y financieros. Nos concentraremos en particular en las dos herramientas de base que son el movimiento Browniano y la integral de Wiener, y mostraremos algunas de sus principales propiedades y características. Analítika (Revista de Análisis Estadístico), Dirección de Estudios Analíticos Estadísticos (DESAE), Instituto Nacional de Estadística y Censos (INEC)

We study the structural properties of Russian stock market by means of analysis of the corresponding market graph. For this graph we found the distribution of correlations, edge density, maximum cliques and maximum independent sets. We also study the evolution of the structural properties of the market graph over the time.

In this article, the analysis of the explicitness of vector balancing the unsustainable production and consumption model was conducted. In this analysis, contractors’ options and concessions price had been included.

Urban systems have been the subject of investigation for over a century. From central place and hierarchy theory to Gibrat’s and Zipf’s law, urban systems have been subjected to intense scrutiny. More recently, in a series of papers analyzing urban systems from the perspective of resilience and panarchy theory, urban systems have been characterized as scale-dependent. In this work, we examined the relationships between city size, growth rates, and the key factors that impact resilience and population dynamics in a regional urban system over time. Results of this work indicate that while there are similarities between cities, certain factors appear to be more important in one place than another, and that city growth is not random, but rather, correlated with key factors. In particular, we found that city growth was driven by mean household income and the percentage of the population of a city with a college degree.

Chaos Theory aims to find the underlying order from apparently random data. Every economic process produce one or many time series. Determining if the process is or not chaotic may supply valuable information about how to deal with that process. There is no single test that identify chaos, so to say that a system is chaotic is better to perform more tests.

Kalite Fonksiyon Gocerimi (KFG) musteri ihtiyac, istek ve beklentilerini tanimlayarak, bu ihtiyaclar ile uyumlu urun ve hizmet gelistirmede kullanilmak uzere gelistirilmis, Toplam Kalite felsefesini benimseyen firmalarda uygulama imkani bulabilen ve pazarda rekabet etme avantaji saglayan en onemli metodolojilerden birisidir. Kano Modeli, belirli bir urun ve hizmetle ilgili musteri ihtiyaclarinin musteri memnuniyetine ayni oranda katkida bulunmadigi varsayimiyla urunle ilgili bu gereksinimleri temel, dogrusal ve heyecan verici ihtiyaclar olarak siniflandirmayi saglayan bir yontemdir. KFG planlama matrisine Kano modelinin dahil edilmesi, musteriye daha fazla deger katacak urun ve hizmetlerin gelistirilmesine ve bu sayede musteri memnuniyetinin otesine gecerek uzun donemde musteri bagliliginin yaratilmasina imkan vermektedir. Kano modeli analizine dayanarak, her bir musteri ihtiyacina ait iyilestirme oraninin duzeltilmesi icin tahmini bir donusum fonksiyonu onerilir. Boylece her bir ihtiyacin ham onem duzeyi arzu edilen musteri memnuniyet performansini gerceklestirmek icin duzeltilir. Bu calismada Kano modelinin KFG planlama matrisi icinde uygun bir donusum fonksiyonu yardimiyla kullanimi, gida sanayinde faaliyet gosteren bir firmada gerceklestirilen uygulamayla gosterilmeye çalýþýlmýþtýr.irketler, sektorler ve hatta ekonomi disi sosyal- insansal dissal baglanti ve karsilikli etkilesimleridir. Bu anlamda, kamusal yatirimlar ve kalkinma iliskisinin literaturde farkli kavramlar ve yaklasimlarla da olsa yine de hep yinelenen paradigmatik cercevesi ve ekonomik kalkinma eksenli tartismalara cok onemli katkisi bu etkilesimler, yeni yatirimlari uyarma potansiyelleri ve dissalliklar zinciri butunlugunun kalkinmada temel tartisma zeminini olusturmasidir.

In the last two decades Turkish fertility rates have been steadily decreasing. This paper is an attempt to examine the effects of a change in fertility rates on population structure, labor supply, and employment in relation to physical capital stock for the next four decades. This study also evaluates the effects of a possible reversal change in fertility rates on the variables mentioned above. The study is carried out in three stages. In the first stage, population of Turkey is projected with Leslie matrix defined by age-specific fertility rates and survival rates. Projections are repeated for different fertility rates. In the second stage, physical capital stock per employed person is forecasted using time series data. In the third stage, the predictions obtained through the first two stages are combined. Thus, the question of what should be the warranted growth rates of physical capital stock in order to employ labor force projected under different fertility rates is answered. According to the results, increases in fertility rates lead to an increase in labor supply with a 15 year lag, even if fertility rates have remained unchanged in their current level. The physical capital stock growth rate that is necessary for the employment of the extra labor supply emanating from an increase in fertility rates is found to be at least 5 %. This was higher than the actual growth rate of physical capital stock realized in the last decade which was approximately 4 %.

Various methods of analyzing the value of the stocks are called as a general characterization, titles evaluation. Fundamental analysis attempts to predict the direction of evolution of prices of the medium and long term stocks from past and present achievements of the company and the estimates of its future. This article discusses some of the most popular methods of stock assessment using fundamental analysis and propose a build of portfolio for stocks listed at Italian Stock Market using indicators of fundamental analysis.

In this paper I begin a sistematic algebraic investigation of some algebras of fuzzy logic: BL-algebras and DRl-monoids; BL-algebras are particular residuated lattices; The origin of; BL-algebras is in Mathematical; LogicBL-algebras, introduced by P.Hajek, form an algebraic counterpart of the basc fuzzy logic.In the paper it is shown that BL-algebras are the duals of bounded representable DRI-monoids. This duality enables us to describe some structure properties of BL-algebras.

This article presents the results of a research focus on operational effectiveness evaluation of an internal chain value in a Mexican company, after the SiERCaVI application (Evaluation and fill back client – supplier system of internal supply chain). SiERCaVI is a methodological adaptation made by the writers of this paper to the ONUDI (2001) development supply methodology, using tree main theories approaches: the Porter´s (1986) Value Chain, Poirier y Houser´s (1994) joint ventures for the continuous improvement and Rodriguez & Ramírez with Mexican culture at labor

The influence of six different distances on the structure of minimum spanning trees is presented in this paper. Measures of complex networks are built based on the closing prices of stocks of the main companies traded on the Mexican Stock Market. We find that the City block and Chi distances not only match, but also determine more precisely the central vertex, the level of the tree and the clusters formed by the economic sector. The trees formed using Minkowski distances have similar structures and show a disadvantage when classifying the vertices. The construction and telecommunication sectors are most important within the trees, regardless of the distance used.