Faggini / Gallegati / Kirman Coping with the Complexity of Economics

1. Auflage 2009
ISBN: 978-88-470-1083-3
Verlag: Springer-Verlag
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 170 Seiten

Throughout the history of economics, a variety of analytical tools have been borrowed from the so-called exact sciences. As Schoe?er (1955) puts it: 'They have taken their mathematics and their ded- tive techniques from physics, their statistics from genetics and agr- omy, their systems of classi?cation from taxonomy and chemistry, their model-construction techniques from astronomy and mechanics, and their methods of analysis of the consequences of actions from en- neering'. The possibility of similarities of structure in mathematical models of economic and physical systems has been an important f- tor in the development of neoclassical theory. To treat the state of an economy as an equilibrium, analogous to the equilibrium of a mech- ical system has been a key concept in economics ever since it became a mathematically formalized science. Adopting a Newtonian paradigm neoclassical economics often is based on three fundamental concepts. Firstly, the representative agent who is a scale model of the whole society with extraordinary capacities, particularly concerning her - pability of information processing and computation. Of course, this is a problematic reduction as agents are both heterogeneous and bou- edly rational and limited in their cognitive capabilities. Secondly, it often con?ned itself to study systems in a state of equilibrium. But this concept is not adequate to describe and to support phenomena in perpetual motion.

Autoren/Hrsg.

Faggini, Marisa

Gallegati, Mauro

Kirman, Alan

Arecchi, Fortunato

Colander, David

Ri,

Lux, Thomas

Inhaltsverzeichnis

1;Preface;5
2;Dedication to Massimo Salzano;8
3;Contents;11
4;List of Contributors;13
5;Part I;15
5.1;Evolution of Economic Systems;15
5.2;Evolution of Trust in Economic Systems;16
5.2.1;1 Introduction;16
5.2.2;2 Group Mechanisms in Evolution;18
5.2.3;3 Neuroeconomics;19
5.2.4;4 Modelling the Evolution of Trust in Wealth Management;22
5.2.5;5 Results and Discussion;26
5.2.6;6 Conclusions and Future Work;27
5.2.7;7 Acknowledgements;29
5.2.8;References;29
5.3;Keynes, Hayek and Complexity;32
5.3.1;1 Introduction;32
5.3.2;2 Some key features of complex systems;33
5.3.3;3 Complex systems and conventional theory;34
5.3.4;4 Keynes and Hayek;37
5.3.5;5 Closing remarks;44
5.3.6;References;45
5.4;A look at the relationship between industrial dynamics and aggregate fluctuations;46
5.4.1;1 Introduction;46
5.4.2;2 The model;48
5.4.3;3 The firms’ size distribution;54
5.4.4;4 Conclusions;59
5.4.5;References;60
6;Part II;63
6.1;Quantum Physics and Financial Markets;63
6.2;Quantum-like Viewpoint on the Complexity and Randomness of the Financial Market;64
6.2.1;1 Introduction;64
6.2.2;2 Price Phase Space, Modeling of Financial Energy;69
6.2.3;3 The Bohmian Model for Behavior of the Financial Market;71
6.2.4;4 The Bohm-Vigier model for Behavior of the Financial Market;73
6.2.5;References;75
6.3;Classical and Quantum-Like Randomness and the Financial Market;78
6.3.1;1 Introduction;78
6.3.2;2 Bell-like Inequalities;83
6.3.3;3 Efficient Market Hypothesis;86
6.3.4;References;87
7;Part III;89
7.1;New Empirical Approaches to Complex Economic Dynamics;89
7.2;Examination of the Cost-of-Carry Formula for Futures Contracts on WIG20. Wavelet and Nonlinear Cointegration Analysis;90
7.2.1;1 The cost-of-carry model;90
7.2.2;2 Methodology;92
7.2.3;3 Examination of the cost-of-carry model for FW20;101
7.2.4;4 Final conclusions;116
7.2.5;References;117
7.3;A Complex Approach to Estimate Shadow Economy: The Structural Equation Modelling;120
7.3.1;1 Introduction;120
7.3.2;2 Complexity and Economics;122
7.3.3;3 The Structural Equation Approach for Shadow Economy Research;124
7.3.4;4 Advantages and disadvantages of the MIMIC estimates of Shadow Economy;128
7.3.5;5 Conclusions;133
7.3.6;References;136
7.4;Will house prices rise in 2007? A comparative assessment of house prices in London and Dublin;140
7.4.1;1 Introduction;140
7.4.2;2 House prices in the UK;142
7.4.3;3 Stock markets and housing markets;145
7.4.4;4 House prices in Ireland;149
7.4.5;5 Conclusions;153
7.4.6;References;154
8;Part IV;155
8.1;Models of Risk Management and Decision Support;155
8.2;Risk Measuremant and Fair Valuation Assessment in the Life Insurance Field;156
8.2.1;1 The regulation background in solvency tool;156
8.2.2;2 The fair valuation of the mathematical provision of a life insurance contract;157
8.2.3;3 Cash flows examples;159
8.2.4;4 Risk measurement tools;160
8.2.5;5 Conclusions;161
8.2.6;References;162
8.3;Analysis of Qualitative and Quantitative Rankings in Multicriteria Decision Making;164
8.3.1;1 Introduction;164
8.3.2;2 Notations;169
8.3.3;3 Qualitative actual ranking;170
8.3.4;4 Weak consistency and priority vectors;172
8.3.5;5 Intensity vectors and intensity matrices;174
8.3.6;References;176