The theory of precautionary saving is shown in this paper to be isomorphic to the Arrow-Pratt theory of risk aversion, making possible the application of a large body of knowledge about risk aversion to precautionary saving, and more generally, to the theory of optimal choice under risk In particular, a measure of the strength of precautionary saving motive analogous to the Arrow-Pratt measure of risk aversion is used to establish a number of new propositions about precautionary saving, and to give a new interpretation of the Oreze-Modigliani substitution effect

Precautionary Saving in the Small and in the Large

http://svms.org/finance/HuangNakamoriWang2005.pdf

Forecasting stock market movement direction with support vector machine

Interdisciplinary application of nonlinear time series methods

Complex economic nonlinear dynamics endogenously do not converge to a point, a limit cycle, or an explosion. Their study developed out of earlier studies of cybernetic, catastrophic, and chaotic systems. Complexity analysis stresses interactions among dispersed agents without a global controller, tangled hierarchies, adaptive learning, evolution, and novelty, and out-of-equilibrium dynamics. Complexity methods include interacting particle systems, self-organized criticality, and evolutionary game theory, to simulate artificial stock markets and other phenomena. Theoretically, bounded rationality replaces rational expectations. Complexity theory influences empirical methods and restructures policy debates.

/pdf/on-the-complexities-of-complex-economic-dynamics-4kgii5x2zj.pdf

On the Complexities of Complex Economic Dynamics

In this paper, the authors present their opinion and research results collected during the last ten years on the conjunction of chaos and cryptography. Special consideration is taken to show some general critical points and limitations of this approach and to provide some pointers to a comprehensive and careful evaluation of the cryptographical properties of chaotic systems.

Chaos and cryptography

Evidence of chaos in commodity futures prices

This article uses the correlation-dimension technique, along with the residual and shuffle tests, to look for evidence of nonlinear dynamic structure in various weekly monetary aggregates, their components, the monetary base, and the money multipliers. The results support the Barnett and Chen (1988) and Chen (1988) findings of nonlinearity in Divisia M2, Divisia M3, and simple sum M2. Evidence of nonlinear structure is also found for simple sum M1, currency, demand deposits, all checkable deposits, M3 minus M2, the monetary base, and the multipliers of M1, M2, and M3.

https://www.jstor.org/stable/info/1391245

Nonlinear Monetary Dynamics

A simple, flexible distributed lag technique: The polynomial inverse lag

In recent years it has been shown empirically that stock returns exhibit positive or negative autocorrelation, depending on observation frequency. In this context of autocorrelated returns the present paper is the first to derive an explicit analytical solution to the dynamic portfolio problem of an individual agent saving for retirement or other change of status, like the purchase of a house or starting college. Using a normal ARMA1,1 process, dynamic programming techniques combined with the use of Stein's Lemma are employed to examine "dollar-cost-averaging" and "age effects" in intertemporal portfolio choice with CARA preferences. We show that with a positive moving average parameter and positive riskfree rates, if first-order serial correlation is nonnegative, then the expected value of the optimal risky investment is increasing over time, while if first-order serial correlation is negative this path can be increasing or decreasing over time. Thus a necessary but not sufficient condition to obtain the conventional age effect of increasing conservatism over time is that first-order serial correlation be negative. Further, dollar-cost averaging in the general sense of gradual entry into the risky asset does not emerge as an optimal policy. Simulation results for U.S. data are used to illustrate optimal portfolio paths.

Autocorrelated Returns and Optimal Intertemporal Portfolio Choice

88.27 More on spreads and non-arithmetic means Nick Lord [1] points out that (1) if all numbers in a set become proportionately farther from their fixed arithmetic mean (of course increasing their standard deviation), their geometric mean decreases, but (2) in general if the numbers are arbitrarily altered to increase their standard deviation, again with fixed arithmetic mean, their geometric mean may increase or decrease.

https://www.cambridge.org/core/services/aop-cambridge-core/content/view/5FA927AEB39EABFAA85732B6763D3A5B/S0025557200174534a.pdf/div-class-title-88-27-more-on-spreads-and-non-arithmetic-means-div.pdf

Douglas W. Mitchell

Papers

Evidence of chaos in commodity futures prices

Nonlinear Monetary Dynamics

A simple, flexible distributed lag technique: The polynomial inverse lag

Autocorrelated Returns and Optimal Intertemporal Portfolio Choice

88.27 More on spreads and non-arithmetic means