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Wyświetlanie 1-50 z 116
Tytuł:
Examination of the international causal directions between rates of return on the price indices of the selected real estate markets in the CEE region using wavelet analysis
Autorzy:
Kołtuniak, M.
Powiązania:
https://bibliotekanauki.pl/articles/1058163.pdf
Data publikacji:
2016-12
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
The objective of this study is to verify the existence of the spillover effects within the complex system of internationally co-integrated real estate and financial markets in the case of the growth rates of the price indices of the direct real estate and indirect real estate investment markets within the selected national economies in the CEE region and to discuss the time stability of their directions, using research methods with physics and econometrics origins. The article considers the case of potential spillover effects between the Polish and Austrian national economies. Presented results have been obtained using wavelet analysis methods, such as wavelet coherency, wavelet phase difference, and wavelet partial phase difference analyses, enabling to check the indicated stability both in the time and frequency domains and to detect any potential structural changes dates. The results have not confirmed the hypotheses that the directions of the mentioned spillover effects displayed time stability in the examined period (Q4 2004-Q4 2014), which disproves the usefulness of the knowledge of the current directions of the indicated effects in the scope of performing long term investment policy, as well as in the scope of projecting the long term internal housing policies and long term internal macroprudential policies within the complex system.
Źródło:
Acta Physica Polonica A; 2016, 130, 6; 1420-1430
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On the Foster-Hart measure of riskiness under cumulative prospect theory
Autorzy:
Chudziak, J.
Halicki, M.
Powiązania:
https://bibliotekanauki.pl/articles/1075428.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
We prove the existence of the Foster-Hart measure of riskiness under the cumulative prospect theory and we study some of its basic properties.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 950-954
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On a Class of Multiattribute Utility Functions Invariant under Shift Transformations
Autorzy:
Chudziak, J.
Powiązania:
https://bibliotekanauki.pl/articles/1538527.pdf
Data publikacji:
2010-04
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
We consider a class of multiattribute utility functions which are invariant with respect to the shifts having identical parameters for each attribute.
Źródło:
Acta Physica Polonica A; 2010, 117, 4; 673-675
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Positive Homogeneity of the Principle of Equivalent Utility
Autorzy:
Chudziak, J.
Chudziak, M.
Sobek, B.
Powiązania:
https://bibliotekanauki.pl/articles/1398843.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
We prove that if the principle of equivalent utility under the cumulative prospect theory is positively homogeneous on a relatively small family of risks for every non-negative initial wealth level, then a value function is linear for gains and losses, but, in general, it needs not be linear.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 941-944
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Propensity Score Matching and Its Application to Risk Drivers Detection in Financial Setting
Autorzy:
Karwański, M.
Grzybowska, U.
Powiązania:
https://bibliotekanauki.pl/articles/1398844.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
In credit risk scoring models are used as a tool to evaluate the level of risk associated with applicants or customers. The aim of these models is not only to estimate the probability that the client will not be able to fulfill his financial commitments but also to identify and estimate the risk drivers i.e., client attributes that are responsible for risk occurrence. Unfortunately, scoring models are built based on historic data stored by bank over the clients. Selection of clients is not random. This leads to systematic errors. Therefore one seeks methods that allow for a model correction that enables application of statistical inference. Quasi-experimental designs are practical solutions to this dilemma. One of such methods is propensity score matching. Propensity score matching allows also for detecting risk drivers that are independent of borrowers attributes, e.g., triggered by various bank strategies. The aim of our research is to apply propensity score matching methodology to identify these risk drivers in credit risk that could not be detected e.g., by regression models.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 945-949
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On the Conditional Behavior of Stock Market Volatility: A Sub-Sample Analysis Using the FIGARCH Approach for Developed and Emerging Markets
Autorzy:
Bentes, S.
Powiązania:
https://bibliotekanauki.pl/articles/1398885.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
Long memory has always played a central role in physics since it was first discovered by Hurst while studying the flow of the River Nile. Interestingly, after his seminal work, many other researchers found the same pattern in other domains of science, such as biology, economics and finance. These studies have mainly relied on the use of the Hurst exponents as a measure of the degree of memory in a process. In this paper we use a different approach based on the FIGARCH (fractional integrated generalized autoregressive conditionally heteroskedasticity) model proposed by Baillie et al. in order to analyze the long memory behavior of stock market volatility. More specifically, we compare how the long memory parameter evolves before and after the 2008 and 2012 crises in both developed and emerging markets. Specifically, we consider the daily returns of the S&P 500, STOXX 50, FTSE 100, NIKKEI 225, HSI, BUX, WIG, SSE, IDX and KLCI indices for the period from October 1, 2003 to October 2, 2015 and then split the whole sample into four sub-samples of roughly three years each. Results show different patterns for the pre and post crisis periods revealing that the degree of memory differs in accordance with the country's development and the level of market turbulence. In particular, we found that major mature economies present higher levels of long memory than emerging countries and were more affected by the 2008 and 2012 crises.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 997-1003
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Revealing Ownership Structure of Funds Using Minimum Spanning Tree
Autorzy:
Rešovský, M.
Gróf, M.
Horváth, D.
Gazda, V.
Powiązania:
https://bibliotekanauki.pl/articles/1377836.pdf
Data publikacji:
2014-12
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
The traditional method of analysing a time series of stocks and funds is to use simple Pearson correlations. However, experience shows that cross-correlations are not an accurate indicator of the mutual ownership relations. We show that the minimum spanning tree methodology, previously used to perform more comprehensive studies of asset returns correlations, can be used to deduce the underlying ownership structure with reasonable accuracy. We also show that adjusting the time series for a common trend of stocks and subsequent filtering of the short term variations of returns using the ARIMA model is a prerequisite for this application of the minimum spanning tree.
Źródło:
Acta Physica Polonica A; 2014, 126, 6; 1322-1326
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Scale Invariance of Principle of Equivalent Utility under Cumulative Prospect Theory
Autorzy:
Chudziak, J.
Halicki, M.
Wójcik, S.
Powiązania:
https://bibliotekanauki.pl/articles/1388334.pdf
Data publikacji:
2015-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
In 1984 A. Reich proved that under Expected Utility Theory, a scale invariance of the Principle of Equivalent Utility just for two particular values of parameters implies its scale invariance. In this paper, we extend this result onto the Principle of Equivalent Utility under Cumulative Prospect Theory.
Źródło:
Acta Physica Polonica A; 2015, 127, 3A; A-29-A-32
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Modelling of Short Term Interest Rate Based on Fractional Relaxation Equation
Autorzy:
Jaworska, K.
Powiązania:
https://bibliotekanauki.pl/articles/1812234.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
In this paper, we try to model the dynamics of short term interest rate using the fractional nonhomogeneous differential equation with stochastic free term. This type of equation is similar to one which represents the viscoelastic behavior of certain materials from rheologic point of view. As a final result we obtain the closed formula for prices of zero-coupon bonds. They are analogous to those in Vasiček model, where instead of the exponential functions we have the Mittag-Leffler ones.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 613-618
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Econophysics as a Cause of a Scientific Revolution in Mainstream Economics
Autorzy:
Jakimowicz, A.
Powiązania:
https://bibliotekanauki.pl/articles/1029051.pdf
Data publikacji:
2018-06
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
The aim of this article is to establish whether econophysics can cause a scientific revolution and fundamentally change the image of mainstream economics. Science development processes were carefully analysed by Kuhn, who even created a specific vocabulary for it. The most important phrases include paradigm and scientific community. When comparing the disciplinary matrices of econophysics and economics, it has to be stressed that despite the absolute compatibility of the goals of both sciences, econophysics is not - as postulated from time to time - a new econometric approach that entails the application of physics in studies of economics, but rather it is a scientific field totally different from economics. The disproportion between the disciplinary matrices of both sciences regards such elements as symbolic generalisations, models, values, and exemplars. Therefore, it seems that progressive accumulation of knowledge in economics will reveal new anomalies as well as deepen existing ones, making a paradigm shift inevitable. A scientific revolution should be expected at an international level, and in such countries as Poland it will be external and forced. The reasons for that lie in psychology and history. In 1989, in Poland and in other post-socialist countries, a rapid change in the disciplinary matrix of economics occurred and involved the replacement of the socialist economic paradigm with the capitalist economic paradigm. Another scientific revolution of such nature is right around the corner and entails replacing the disciplinary matrix of economics with the transdisciplinary matrix of econophysics. Since Polish economists have tried very hard to resist such a great number of changes, the paradigm shift will require deep involvement and much work from young scholars.
Źródło:
Acta Physica Polonica A; 2018, 133, 6; 1339-1347
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Modeling Correlations in Operational Risk
Autorzy:
Karwański, M.
Grzybowska, U.
Powiązania:
https://bibliotekanauki.pl/articles/1029524.pdf
Data publikacji:
2018-06
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
The key demand for banks' economic capital methodology is to ensure that the model covers all relevant sources of risk in the right way. Operational risk models treat the arising losses as stochastic variables. One of the problems encountered in modeling is the need of taking into account correlations between events. It is possible to build models for correlated events based on copula functions. But the problem is that the losses are related to isolated events and simple applications of copulas are not allowed. The authors present a new algorithm that shows a modified application of copulas to calculating operational risk. The calculations were done on real data that allows for examining the correlation impact on risk measurement. As an additional evaluation of the algorithm a reference model based on the Pareto-Lévy copulas was used.
Źródło:
Acta Physica Polonica A; 2018, 133, 6; 1402-1407
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Variance-optimal hedging for the process based on non-extensive statistical mechanics and Poisson jumps
Autorzy:
Zhao, Pan
Xiao, Qingxian
Powiązania:
https://bibliotekanauki.pl/articles/1065051.pdf
Data publikacji:
2016-06
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
In this study, we consider a minimum-variance hedging problem in an incomplete market, in which the risky asset is driven by the process based on non-extensive statistical mechanics and Poisson jumps. Using the stochastic control theory and backward stochastic differential equation method, we obtain a closed-form solution for the minimum-variance hedging policy.
Źródło:
Acta Physica Polonica A; 2016, 129, 6; 1252-1256
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Utility Functions Invariant with Respect to Some Classes of Shifts
Autorzy:
Chudziak, J.
Powiązania:
https://bibliotekanauki.pl/articles/1400165.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
A utility function U is said to be invariant with respect to a family of transformations Γp provided, for every member γ of Γp, U and Uırc γ represent the same preference relation over lotteries. An invariance with respect to a wide class of transformations can be reduced to an invariance with respect to the shift transformations. We give a complete answer to the following question: given a nonempty set T of shifts determine all utility functions invariant with respect to the shift transformations by every element of T. As a consequence of our results we obtain the forms of utility functions invariant with respect to the families of commuting transformations.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 508-512
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On a Class of One-Switch Multiattribute Utility Functions
Autorzy:
Chudziak, J.
Powiązania:
https://bibliotekanauki.pl/articles/1408880.pdf
Data publikacji:
2012-02
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
We determine the functional forms of a class of multiattribute utility functions that lead to zero-switch change in preferences between multi-period cash flows when a decision maker's initial wealth increases through an annuity that pays a constant amount every time period.
Źródło:
Acta Physica Polonica A; 2012, 121, 2B; B-11-B-15
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Behavior of Exchange Rates and Returns: Long Memory and Cointegration
Autorzy:
Syczewska, E.
Powiązania:
https://bibliotekanauki.pl/articles/1408905.pdf
Data publikacji:
2012-02
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.GH
Opis:
The aim of the paper is to present an example of analysis of exchange rate behavior with use of tools, built in GRETL econometric package, which have been developed by researchers often with background in physics or similar fields, but some (such as tests of integration and cointegration) are less known to physical audience. The series of interest is a bilateral USDPLN exchange rate; including the corresponding stock indices as additional variables can improve quality of a model even in period of crisis.
Źródło:
Acta Physica Polonica A; 2012, 121, 2B; B-121-B-127
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Econometric Modeling of Inter-Order Durations
Autorzy:
Bień-Barkowska, K.
Powiązania:
https://bibliotekanauki.pl/articles/1388507.pdf
Data publikacji:
2015-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
We investigate the dynamics of inter-order durations, i.e. times elapsing between consecutive orders submitted to the Reuters Dealing 3000 Spot Matching System, an automated brokerage platform for interbank EUR/PLN spot trading. Strong autocorrelation of the inter-order waiting times combined with the significant cross-correlations among individual order types (i.e. market buy, market sell, limit buy, limit sell) has been captured with the Mulistate Asymmetric Box-Cox Autoregressive Conditional Duration (MABCACD) model. Our empirical study provides new insights about the microstructure of the interbank FX spot markets.
Źródło:
Acta Physica Polonica A; 2015, 127, 3A; A-7-A-12
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A Threshold Model of Financial Markets
Autorzy:
Sieczka, P.
Hołyst, J.
Powiązania:
https://bibliotekanauki.pl/articles/1812221.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
We proposed a model of interacting market agents based on the generalized Ising spin model. The agents can take three actions: "buy", "sell", or "stay inactive". We defined a price evolution in terms of the system magnetization. The model reproduces main stylized facts of real markets such as: fat-tailed distribution of returns and volatility clustering.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 525-530
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Bounds for Value at Risk for Multiasset Portfolios
Autorzy:
Jaworski, P.
Powiązania:
https://bibliotekanauki.pl/articles/1812235.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
Opis:
The theory of copulas provides a useful tool for modeling dependence in risk management. In insurance and finance, as well as in other applications, dependence of extreme events is particularly important, hence there is a need for the detailed study of the tail behaviour of the multivariate copulas. In this paper we investigate the class of copulas being the weighted means of copulas having homogeneous lower tails. We show that having only such information on the structure of dependence of returns from assets is enough to get estimates on value at risk of the multiasset portfolio in terms of value at risk of one-asset portfolios.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 619-627
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Non-Extensive Entropy Econometric Model (NEE): the Case of Labour Demand in the Podkarpackie Province
Autorzy:
Bwanakare, S.
Powiązania:
https://bibliotekanauki.pl/articles/1538500.pdf
Data publikacji:
2010-04
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
89.70.cf
Opis:
The non-extensive entropy (NEE) principle has been successfully applied in the case of high frequency financial market analysis. I try to extend the approach to empirical social sciences and propose a competitive estimation approach with respect to classical econometrical methods. This article constitutes a limited extension of Jaynes-Shannon-Gibbs' (JSG) ergodic system formalism already applied to classical econometrics. The Podkarpackie private labour demand model is then developed and its outputs presented. A constrained weighted dual criterion function maximising entropy probabilities for parameter and disturbance components is derived and its inferential information indexes are proposed and computed. We note that the increase of relative weights on disturbance component leads to higher values of q, the entropic index of generalized Tsallis entropy. Smaller disturbance weights produce q values closer to unity. Outputs then converge to those displayed by the competitive JSG and least squares (LS) approaches. However, finding out an inferential rule delimiting the critical q values for Gaussian distribution interval remains of high interest. In terms of economics, the results of the proposed model show a realistic adjusting speed mechanism of actual lever of employment to its long run targeted equilibrium level owing to expected market profits.
Źródło:
Acta Physica Polonica A; 2010, 117, 4; 647-651
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Structural Sustainability of the Polish Trade System
Autorzy:
Fiedor, P.
Powiązania:
https://bibliotekanauki.pl/articles/1398888.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
Opis:
We use multi-region Input-Output databases to show the sustainability of the Polish trade system. Analyses of the robustness of the supply system as a whole are missing in the literature, in strong contrast with a wide variety of network analyses inquiring into the resilience of financial systems. We represent the trade system as a flow network, and use information-theoretic approach to address growth and development of such a system. We perform an analysis of the development, robustness, and structural sustainability of the Polish trade system based on national Input-Output Tables (in current prices) for Poland for the years between 1995 and 2011. As such, we are also able to comment on the changes of the studied characteristics over the years. Further, we compare the results with the results obtained for the global supply system based on the multi-region Input-Output Tables. We find the Polish supply system to be much less organised than the global supply system. We also quantify the effect of the 2008 financial crisis on the size and organisation of the trade system in Poland.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 1004-1007
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A Stochastic Non-Homogeneous Constant Elasticity of Substitution Production Function as an Inverse Problem: A Non-Extensive Entropy Estimation Approach
Autorzy:
Bwanakare, S.
Powiązania:
https://bibliotekanauki.pl/articles/1400164.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
89.70.cf
Opis:
The document proposes a new entropy-based approach for estimating the parameters of nonlinear and complex models, i.e. those whose no transformation renders linear in parameters. Presently, for estimating such class of functions, various iterative technics like the Gauss-Newton algorithm are applied and completed by the least square methods approaches. Due to conceptual nature of such methods, definitely estimated functions are different from the original nonlinear one and the estimated values of parameters are in most of cases far from the true values. The proposed approach, being related to the statistical theory of information, is very different from those so far applied for that class of functions. To apply the approach, we select a stochastic non-homogeneous constant elasticity of substitution aggregated production function of the 27 EU countries which we estimate maximizing a non-extensive entropy model under consistency restrictions related to the constant elasticity of substitution model plus regular normality conditions. The procedure might be seen as an attempt to generalize the recent works (e.g. Golan et al. 1996) on entropy econometrics in the case of ergodic systems, related to the Gibbs-Shannon maximum entropy principle. Since this nonlinear constant elasticity of substitution estimated model contains four parameters in one equation and statistical observations are limited to twelve years, we have to deal with an inverse problem and the statistical distribution law of the data generating system is unknown. Because of the above reasons, our approach moves away from the normal Gaussian hypothesis to the more general Levy instable time (or space) processes characterized by long memory, complex correlation and by a convergence, in relative long range, to the attraction basin of the central theorem limit. In such a case, fractal properties may eventually exist and the q non extensive parameter could give us useful information. Thus, as already suggested, we will propose to solve for a stochastic inverse problem through the generalized minimum entropy divergence under the constant elasticity of substitution model and other normalization factor restrictions. At the end, an inferential confidence interval for parameters is proposed. The output parameters from entropy formalism represent the long-run state of the system in equilibrium, and so, their interpretation is slightly different from the "ceteris paribus" interpretation related to the classical econometrical modeling. The approach seems to produce very efficient parameters in comparison to those obtained from the classical iterative nonlinear method which will be presented, too.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 502-507
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Comparative Analysis of Income Distributions in the European Union and the United States
Autorzy:
Jagielski, M.
Duczmal, R.
Kutner, R.
Powiązania:
https://bibliotekanauki.pl/articles/1388510.pdf
Data publikacji:
2015-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
Opis:
We prove that the most rafined approach - our extension of the Yakovenko et al. model - is a universal in the sense that it well describes both household incomes in the European Union and the individual incomes in the United States for all income social classes. This prove was based on our comparative study of various kinds of incomes. The study constitutes a basis for the finding of an impact of the recent world-wide financial crisis on the volatility of various temporary Pareto exponents and on other parameters of the model.
Źródło:
Acta Physica Polonica A; 2015, 127, 3A; A-75-A-77
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Different Fractal Properties of Positive and Negative Returns
Autorzy:
Oświęcimka, P.
Kwapień, J.
Górski, A.
Drożdż, S.
Rak, R.
Powiązania:
https://bibliotekanauki.pl/articles/1812224.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
Opis:
We perform an analysis of fractal properties of the positive and the negative changes of the German DAX30 index separately using multifractal detrended fluctuation analysis. By calculating the singularity spectra f(α) we show that returns of both signs reveal multiscaling. Curiously, these spectra display a significant difference in the scaling properties of returns with opposite sign. The negative price changes are ruled by stronger temporal correlations than the positive ones, which is manifested by larger values of the corresponding Hölder exponents. As regards the properties of dominant trends, a bear market is more persistent than the bull market irrespective of the sign of fluctuations.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 547-553
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Solution of Material Selection Problem Using Fuzzy Axiomatic Design and DEMATEL Methods
Autorzy:
Candan, G.
Kir, S.
Yazgan, H.
Powiązania:
https://bibliotekanauki.pl/articles/1030368.pdf
Data publikacji:
2017-01
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.Kk
89.65.Gh
Opis:
Material selection is an important task for dental healthcare. A teeth can be filled with several filling materials such as a silver amalgam (mixed with silver, tin, zinc, and copper), a plastic, a porcelain, and composites. Choosing the best filling material is a complex process for a dentist because of human healthcare. There are many criteria for the selection process such as aesthetics, resistant, strength, rigid, long life, low cost, healthy. One of the novelty of this research that is the first research in the field of selecting dental material and another novelty that is used fuzzy axiomatic design and fuzzy DEMATEL methods together first time. First of all, the most effective criteria are determined in order to choose the best material. The weights of the criteria are determined using interaction among themselves. Interactions among criteria are found using DEMATEL method with taking into consideration of dentists' experiences on a teeth filling. Secondly, evaluating alternative materials is carried out using fuzzy axiomatic design method. The results illustrate that the proposed approach is suitable for selecting materials of a teeth filling. We believe that the approach can be applicable for other material selection problems.
Źródło:
Acta Physica Polonica A; 2017, 131, 1; 24-27
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Invariant value functions under cumulative prospect theory
Autorzy:
Wójcik, S.
Powiązania:
https://bibliotekanauki.pl/articles/1075418.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
Opis:
In this paper the notion of the preference homogeneity is extended. We determine the value functions under the cumulative prospect theory such that the certainty equivalents related to them are invariant with respect to some classes of transformations.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 955-958
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Econophysics as a new school of economic thought: Twenty years of research
Autorzy:
Jakimowicz, A.
Powiązania:
https://bibliotekanauki.pl/articles/1075453.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
89.75.Fb
Opis:
In 2015, the science known as econophysics, which has been developing very quickly in latest years, celebrated its 20th anniversary. Perhaps a 20-year period is too short to evaluate the importance and achievements of econophysics, but the broad scope of research and significance of certain results encouraged me to undertake such an attempt. If societies appreciate efforts by econophysicists, perhaps we will be able to avoid next economic crises and related losses. Econophysics is a transdisciplinary science based on the observation that physical objects and economic objects can share a common theory. Since logical homologies are its foundation, it is an example of the well-known isomorphism principle formulated by Ludwig von Bertalanffy. The emergence of interdisciplinary fields of knowledge is consistent with the paradigm of general systems theory. The development of a given field of knowledge is most often measured by its ability to formulate new knowledge about reality. Progress in research can be spoken of both when the application of traditional methods leads to the discovery of new facts and when new scientific laws are discovered using new methods. Econophysics is an attempt to develop economics through the transfer of research methods and techniques from physics to economics. We are therefore dealing here with a second possibility. The methods of physics most often applied in economics include the theory of stochastic processes, cellular automata and nonlinear dynamics. This study presents the most important existing achievements of econophysics and the attempts to reconcile them with traditional economic knowledge. The accomplishment of a paradigmatic correspondence between econophysics and economics, both in the local and in the global sense, is a prerequisite for using the achievements of the former in economic policy.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 897-907
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Study of Households Income in Poland by Using the Statistical Physics Approach
Autorzy:
Jagielski, M.
Kutner, R.
Powiązania:
https://bibliotekanauki.pl/articles/1538489.pdf
Data publikacji:
2010-04
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
Opis:
At the end of 19th century Vilfredo Pareto, as the first tried by using power-laws to describe wealth and income distributions in society. We applied early works of Pareto as well as Gibrat (i.e. laws of Pareto and rules of proportionate growth, respectively). Furthermore, we used recent and advanced models: the Generalised Lotka-Volterra model and collision models. By using empirical data for annual income of Polish households, e.g. for years 2003 and 2006, the comparison with these theoretical models was successfully made. The surprisingly good agreements with Pareto distribution were obtained, where Pareto exponents near the cubic law were found for middle class. For the low class very good agreement with prediction of the cumulative log-normal distribution was gained. Hence, it was possible to establish the border between low and middle society levels. The same was possible for the border between high and middle classes as the ranking for the former follows (to some extent) the Zipf law.
Źródło:
Acta Physica Polonica A; 2010, 117, 4; 615-618
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Ab Initio Analysis of All Income Society Classes in the European Union
Autorzy:
Jagielski, M.
Kutner, R.
Powiązania:
https://bibliotekanauki.pl/articles/1400171.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
Opis:
We found a unified formula for description of the household incomes of all society classes, for instance, of those of the European Union in year 2007. This formula is a stationary solution of the threshold Fokker-Planck equation (derived from the threshold nonlinear Langevin one). The formula is more general than the well known that of Yakovenko et al. because it satisfactorily describes not only household incomes of low- and medium-income society classes but also the household incomes of the high-income society class.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 538-541
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Preliminary Comparison of Households Income in Poland with European Union and United States Ones by Using the Statistical Physics Methods
Autorzy:
Jagielski, M.
Kutner, R.
Pęczkowski, M.
Powiązania:
https://bibliotekanauki.pl/articles/1408990.pdf
Data publikacji:
2012-02
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.20.-a
89.65.Gh
Opis:
In this work we compared the empirical data of annual income of Polish and European households as well as annual income of individuals in United States (e.g. for years 2006 and 2008) with predictions of the most popular theoretical models. Particularly good agreements with Pareto distribution and prediction of the Yakovenko model were obtained. For the low society class well agreement with prediction of the cumulative exponential distribution was gained. However, it turned out that the cumulative distribution of annual income of Polish households can be described quite well by the Generalised Lotka-Volterra model.
Źródło:
Acta Physica Polonica A; 2012, 121, 2B; B-47-B-49
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Predicting Gross Domestic Product Components through Tsallis Entropy Econometrics
Autorzy:
Bwanakare, S.
Cierpiał-Wolan, M.
Mantaj, A.
Powiązania:
https://bibliotekanauki.pl/articles/1398884.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
89.70.cf
Opis:
This article proposes the Tsallis non-extensive entropy econometric approach to forecast components of the country gross domestic product based on the knowledge of time series macroeconomic aggregates of the past period, plus some sparse and imperfect information of the current period. Non-extensive entropy technique has proved to remain a good modelling device not only in the case of high frequency series, but also in the case of aggregated series. To predict the missing GDP components, we set up a q-generalized Kullback-Leibler information divergence criterion function with a priori consistency, GDP related macroeconomic constraints and regular conditions. The model forecasts are compared to the official Polish GDP components of the corresponding period. The proposed Tsallis entropy approach leads to high predictive performance and shows a stronger estimation stability through different model simulations than the traditional Shannon model. Furthermore, as expected this Tsallis related approach seems to reflect a higher stability through parameter computation and simulation in comparison with the traditional Shannon-Gibbs entropy technique.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 993-996
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Greenhouse Emission Forecast as an Inverse Stochastic Problem: A Cross-Entropy Econometrics Approach
Autorzy:
Bwanakare, S.
Powiązania:
https://bibliotekanauki.pl/articles/1388232.pdf
Data publikacji:
2015-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
89.70.cf
Opis:
This paper proposes the non-extensive entropy econometric approach to predict regional cross-industry greenhouse emissions within a country, based on imperfect knowledge of industrial and regional aggregates. The solution of this stochastic inverse problem is applied to Poland. Non-extensive entropy should remain a valuable device for econometric modelling even in the case of low frequency series since outputs provided by the Gibbs-Shannon entropy approach correspond to the Tsallis entropy limiting case of the Gaussian law when the Tsallis q-parameter equals unity. We, therefore, set up a q-Tsallis-Kullback-Leibler entropy criterion function with a priori consistency constraints, including the environmental Kuznets econometric model and regular conditions. As in the case of Shannon-Gibbs-based entropy models, we found that the Tsallis entropy estimator also belongs to the family of Stein estimators, meaning that smaller probabilities are shrunk and higher probabilities dominate in the solution space. Fortunately, adding more pertinent data to the model priors will enhance parameter precision and then allow for the recovery of the real influence of smaller events. The q-Tsallis-Kullback-Leibler entropy index is computed for different scenarios of the Kuznets model. The model outputs continue to conform to empirical expectations. In spite of the close to unity q-Tsallis parameter, this Tsallis related approach reflects higher stability for parameter computation in comparison with the Shannon-Gibbs entropy econometrics technique.
Źródło:
Acta Physica Polonica A; 2015, 127, 3A; A-13-A-20
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Self-Organization of Extreme Inequalities in a Competitive Society
Autorzy:
Odagaki, T.
Ishifuku, A.
Powiązania:
https://bibliotekanauki.pl/articles/1029602.pdf
Data publikacji:
2018-06
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
05.65.+b
89.65.Gh
Opis:
On the basis of a random walk model, we investigate the self-organization of inequality in a model competitive society which consists of two kinds of individuals; one is warlike-challenging individuals who always try to fight and fight with the wealthiest or strongest neighbor, and the other is pacific-timid individuals who always try not to fight and when necessary fight with the poorest or weakest neighbor. When two individuals meet on a lattice site, they fight and the winner deprives a unit wealth from the loser keeping its position, where the winning odd is determined by a sigmoid function of the difference in their wealths. At the same time, the wealth or debt of individuals relaxes to zero at a constant rate when the wealth or debt is large. Using Monte Carlo simulation we determine states of social inequality in the entire parameter space spanned by the population density and the fraction of pacific-timid individuals in the population on the basis of the profile of the wealth distribution plotted against the ranking. We find an egalitarian state, and one normal inequal and three different extreme inequal states, the plutonomy, the gap inequality and the terrace inequality. In order to elucidate the origin of the self-organization, we investigate a model society consisting of individuals who have different moving strategies and no specific fighting strategy. It is concluded that the extreme inequalities are the consequence of the coexistence of different fighting strategies.
Źródło:
Acta Physica Polonica A; 2018, 133, 6; 1459-1464
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Application of the Four Colour Theorem to Identify Spatial Regional Poles and Turnpikes of Economic Growth
Autorzy:
Jakimowicz, A.
Rzeczkowski, D.
Powiązania:
https://bibliotekanauki.pl/articles/1029262.pdf
Data publikacji:
2018-06
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
02.10.Ox
Opis:
This paper presents a method for identifying regional poles and the turnpikes of growth based on the following foundations: four colour theorem, Wikinomics business model in the form of platforms for participation, evaluation of the functionality of websites run by public administration municipal offices, and dual graph reduction. The province of Warmia and Mazury, which is the subject of the study, is one of the poorest provinces in Poland in terms of economic development. It is therefore natural that the growth of this region requires external enterprise sources. This role can be best performed primarily by websites run by municipal offices, which initiate business activity in their corresponding areas, and consequently, can be regarded as Wikinomics platforms of participation. Using the k-means clustering method, these websites were divided into four separate quality classes. These classes were assigned four various colours, which were subsequently used for preparing the map of the province. Each municipality was marked with a colour corresponding to the quality class of the website run by the state administration unit operating in a given area. The system of colours resulting from the four colour theorem and a corresponding dual graph serve as a frame of reference with regard to each empirical colour distribution and to another, related, dual graph. Thus, the four colour theorem describes the largest diversity of regional growth poles. The measure of the economic growth of the region is a degree of reduction of the dual graph corresponding to the empirical colour distribution, which identifies actual growth poles and determines the turnpikes of growth. The ultimate development objective, although not always achievable, is a reduction of the dual graph to a single vertex, when all municipal offices in the province have websites of the highest quality.
Źródło:
Acta Physica Polonica A; 2018, 133, 6; 1362-1370
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Determinants of Mass Poverty in the Contemporary Global Economy
Autorzy:
Jakimowicz, A.
Baklarz, A.
Powiązania:
https://bibliotekanauki.pl/articles/1029499.pdf
Data publikacji:
2018-06
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
03.75.Nt
Opis:
The concept of mass poverty was defined by Galbraith in late 1970s and it applies to societies with agriculture as the dominant branch of the economy. This paper examines the importance of this phenomenon and factors affecting it in the contemporary world. There are a growing number of studies supporting the claim that the method of electricity consumption is a key factor of economic growth which makes it possible to escape mass poverty. Moreover, in order to solve the problem, it is necessary to determine access to capital in such countries and societies, understood as M2 aggregate. In this manner, the problem at hand is reduced to determination of the relationships between the following variables: percentage of rural population, rules of managing electrical energy and M2 aggregate. These findings were used to formulate three study hypotheses. According to the first hypothesis, the effect of the electricity use method on M2 varies from one country to another, with several identifiable patterns. According to the second hypothesis, the process of leaving the mass poverty sphere follows either the Bose-Einstein distribution or the Boltzmann distribution. The third hypothesis indicates that effects of efforts aimed at eliminating mass poverty in certain conditions are not permanent. Verification of these three hypotheses indicates the adequacy of the theory of mass poverty in the contemporary world.
Źródło:
Acta Physica Polonica A; 2018, 133, 6; 1388-1393
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Impact of the Secondary Insider Trading on Financial Markets
Autorzy:
Jakimowicz, A.
Baklarz, A.
Smulska, K.
Powiązania:
https://bibliotekanauki.pl/articles/1029516.pdf
Data publikacji:
2018-06
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
02.70.-c
Opis:
The insider trading phenomenon is based on the situation when traders use material information not publicly available to make their investment decisions. In most countries of the world, insider trading is illegal and is punishable by fine or imprisonment. Insider trading has many economic effects, which in the light of available scientific research can be both positive and negative. Insider traders can be divided into primary and secondary traders depending on whether their contact with insider information is direct or indirect. Primary insider trading has been discussed in many research studies and scientific descriptions, while secondary insider trading has not been investigated yet. This paper's aim is to fill this gap. Since the empirical data for secondary insider trading is in practice impossible to obtain, the research analysis is based on simulations of two probabilistic models. The first one concerns the use of insider information for an infinite long period of time after its acquisition, while the second one on the day of its receipt. The results of the simulation are related to three basic models of financial market functioning: the efficient market hypothesis, the fractal market hypothesis, and the coherent market hypothesis.
Źródło:
Acta Physica Polonica A; 2018, 133, 6; 1394-1401
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Modeling of the Parties Vote Share Distributions
Autorzy:
Kononovicius, A.
Powiązania:
https://bibliotekanauki.pl/articles/1029582.pdf
Data publikacji:
2018-06
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
87.23.Ge
Opis:
Competition between varying ideas, people and institutions fuels the dynamics of socio-economic systems. Numerous analyses of the empirical data extracted from different financial markets have established a consistent set of stylized facts describing statistical signatures of the competition in the financial markets. Having an established and consistent set of stylized facts helps to set clear goals for theoretical models to achieve. Despite similar abundance of empirical analyses in sociophysics, there is no consistent set of stylized facts describing the opinion dynamics. In this contribution we consider the parties' vote share distributions observed during the Lithuanian parliamentary elections. We show that most of the time empirical vote share distributions could be well fitted by numerous different distributions. While discussing this peculiarity we provide arguments, including a simple agent-based model, on why the beta distribution could be the best choice to fit the parties' vote share distributions.
Źródło:
Acta Physica Polonica A; 2018, 133, 6; 1450-1458
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
The quantile decomposition of personal income distributions in the USA
Autorzy:
Karpio, K.
Landmesser, J.
Łukasiewicz, P.
Orłowski, A.
Powiązania:
https://bibliotekanauki.pl/articles/1075455.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
88.05.Lg
Opis:
In this study we compared incomes distributions in the USA for two subgroups (defined according to sex or race). We utilized the quantile decomposition method to describe differences between the two distributions as a function of their quantiles. The analyzed objects are characterized by the set of attributes (education, age, etc.). We evaluate strength of the influence of the attributes onto the various parts of the incomes distributions. In such a way we evaluate income inequalities and their causes in two subgroups of people.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 965-970
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Variance-Based Spillover Analysis between Stock Markets: A Time Varying Parameter Approach
Autorzy:
Özün, A.
Ertuğrul, H.
Powiązania:
https://bibliotekanauki.pl/articles/1195957.pdf
Data publikacji:
2014-01
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
05.10.-a
Opis:
This paper proposes a variance-based spillover impact analysis embedded with a dynamic Kalman filtering in order to detect a causality relationship from the US stock markets into the European and emerging stock markets during the financial crisis. It has mainly two new contributions to the literature. Firstly, it uses variance rather than returns to analyze the spillover impact between the markets. Secondly, and more importantly, it is an econophysics research as it examines causality relationship with the Kalman filtering in physics. We calculate time-dependent conditional stock market variances for Dow Jones, DAX, FTSE, RTS (Russia), and BIST (Turkey) by employing SWARCH model. The empirical analysis examines the causal relationship between Dow Jones into the other stock markets employing Granger causality tests in order to detect the direction of volatility spillover relationship. As an embedded analysis, we follow a dynamic approach by using the Kalman filtering as a time varying parameter model to depict the time varying interaction between stock markets volatilities. The empirical results point out unidirectional Granger causality from Dow Jones to the other markets indicating the spillover impact of the volatility starting from the US markets and expanded into the world in the latest global crisis.
Źródło:
Acta Physica Polonica A; 2014, 125, 1; 155-157
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Stock Indices for Emerging Markets
Autorzy:
Karpio, K.
Orłowski, A.
Łukasiewicz, P.
Powiązania:
https://bibliotekanauki.pl/articles/1538490.pdf
Data publikacji:
2010-04
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
02.30.Nw
Opis:
Indices of selected financial markets from various parts of world, different sizes and levels of development are investigated. The local Hurst exponent is globally compared to log-prices. Periodic changes in correlation coefficient are quantified via discrete Fourier transform. Local Hurst exponents spectra are discussed for investigated markets.
Źródło:
Acta Physica Polonica A; 2010, 117, 4; 619-622
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Network Analysis of Correlation Strength between the Most Developed Countries
Autorzy:
Miśkiewicz, J.
Powiązania:
https://bibliotekanauki.pl/articles/1400180.pdf
Data publikacji:
2013-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
05.45.Tp
Opis:
A new algorithm of the analysis of correlation among economy time series is proposed. The algorithm is based on the power law classification scheme followed by the analysis of the network on the percolation threshold. The algorithm was applied to the analysis of correlations among gross domestic product per capita time series of 19 most developed countries in the periods (1982, 2011), (1992, 2011) and (2002, 2011). The representative countries with respect to strength of correlation, convergence of time series and stability of correlation are distinguished. The results are compared with ultrametric distance matrix analysed by network on the percolation threshold.
Źródło:
Acta Physica Polonica A; 2013, 123, 3; 589-596
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Microeconomic Evolution Model with Technology Diffusion
Autorzy:
Cichy, K.
Powiązania:
https://bibliotekanauki.pl/articles/1408917.pdf
Data publikacji:
2012-02
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
88.05.Lg
Opis:
The model discussed in this paper is a modification of the model of macroeconomic evolution in stable regionally dependent fields, developed by Ausloos, Clippe and Pekalski in 2004. Like in the original model, firms exist on a square lattice and can move, merge, adapt and create spin-offs. However, in the new model the firms are described by a scalar parameter identified with their level of technology and by their market share. The probability of survival of a firm depends on the relation between the firm's technology level and the level of the technological frontier. The model incorporates two mechanisms of technology diffusion - inner (resulting from the cooperation between firms and the creation of spin-offs) and outer (interaction with the technological frontier). In this way, we obtain a model of technological progress with technology diffusion. We investigate the properties of this model and perform empirical analysis for a group of OECD countries.
Źródło:
Acta Physica Polonica A; 2012, 121, 2B; B-16-B-23
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Cross-Correlations of Financial Crises Analysis by Power Law Classification Scheme
Autorzy:
Miśkiewicz, J.
Powiązania:
https://bibliotekanauki.pl/articles/1388144.pdf
Data publikacji:
2015-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
05.45.Tp
Opis:
Cross-correlations among the chosen six main world financial markets are analysed by power law classification scheme (PLCS). The markets are represented by indices: DAX (Frankfurt), FTSE (London), S&P 500 (New York), HSI (Honkong), Nikkei 225 (Tokyo), STI (Singapore) in the interval from 24.09.1991 till 31.01.2014. The time series are transformed into daily returns and normalised daily range of indices. The evolution of correlation strength is analysed using moving time window. It is shown that the correlation strength properly characterises crisis and prosperity periods. Moreover, the value of the correlation strength can be related to the crisis severity. The results are compared with standard ultrametric distance based on Pearson coefficient.
Źródło:
Acta Physica Polonica A; 2015, 127, 3A; A-103-A-107
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Application of Data Envelopment Analysis to Calculating Probability of Default for High Rated Portfolio
Autorzy:
Grzybowska, U.
Karwański, M.
Powiązania:
https://bibliotekanauki.pl/articles/1388506.pdf
Data publikacji:
2015-03
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
88.05.Lg
Opis:
The aim of our research is to propose a method of rating companies which is based on efficiency measure given by Data Envelopment Analysis (DEA). Proper rating of borrowers is an essential requirement of PD estimation. The difficulty in DEA application is the selection of input and output from the set of indicators describing evaluated objects, which is usually based on expert knowledge. Therefore we apply random forests and gradient boosting to select financial indicators used by the DEA approach and to obtain a ranking of companies needed for PD estimation.
Źródło:
Acta Physica Polonica A; 2015, 127, 3A; A-66-A-69
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
A Simple Model of Local Prices and Associated Risk Evaluation
Autorzy:
Urbanowicz, K.
Hołyst, J.
Richmond, P.
Powiązania:
https://bibliotekanauki.pl/articles/1812217.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
75.10.Hk
Opis:
A simple spin system is constructed to simulate dynamics of asset prices and studied numerically. The outcome for the distribution of prices is shown to depend both on the dimension of the system and the introduction of price into the link measure. For dimensions below 2, the associated risk is high and the price distribution is bimodal. For higher dimensions, the price distribution is Gaussian and the associated risk is much lower. It is suggested that the results are relevant to rare assets or situations where few players are involved in the deal making process.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 501-506
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Bayesian Forecasting of the Discounted Payoff of Options on WIG20 Index in Discrete-Time SV Models
Autorzy:
Pajor, A.
Powiązania:
https://bibliotekanauki.pl/articles/1812219.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
05.10.Gg
Opis:
In this paper the bivariate stochastic volatility models (with stochastic volatility and stochastic interest rate) and the univariate fat-tailed and correlated stochastic volatility model (with stochastic volatility and constant interest rate) are used in the Bayesian forecasting of the payoff of European call options. The basic instrument is the WIG20 index. The predictive distribution of the discounted payoff is induced by the predictive distribution of the growth rate of the WIG20 index and the WIBOR1m interest rate. The Bayesian inference about the volatilities and the predictive distribution of the discounted payoff function is based on the joint posterior distribution of the latent variables, the parameters, and the predictive distribution of future observations, which we simulate via Markov chain Monte Carlo methods (the Metropolis-Hastings algorithm is used within the Gibbs sampler). The results show that allowing interest rate to be stochastic does not significantly improve forecasting performance of the discounted payoff. The predictive distributions of the discounted payoff are characterised by huge dispersion and thick tails, thus uncertainty about the future value of the payoff was ex-ante very big.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 507-516
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
On the Empirical Importance of the Conditional Skewness Assumption in Modelling the Relationship between Risk and Return
Autorzy:
Pipień, M.
Powiązania:
https://bibliotekanauki.pl/articles/1812220.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
05.10.Gg
Opis:
We present the results of an application of Bayesian inference in testing the relation between risk and return on the financial instruments. On the basis of the Intertemporal Capital Asset Pricing Model, proposed by Merton we built a general sampling distribution suitable in analysing this relationship. The most important feature of our assumptions is that the skewness of the conditional distribution of returns is used as an alternative source of relation between risk and return. This general specification relates to Skewed Generalized Autoregressive Conditionally Heteroscedastic-in-Mean model. In order to make conditional distribution of financial returns skewed we considered the unified approach based on the inverse probability integral transformation. In particular, we applied hidden truncation mechanism, inverse scale factors, order statistics concept, Beta and Bernstein distribution transformations and also a constructive method. Based on the daily excess returns on the Warsaw Stock Exchange Index we checked the empirical importance of the conditional skewness assumption on the relation between risk and return on the Warsaw Stock Market. We present posterior probabilities of all competing specifications as well as the posterior analysis of the positive sign of the tested relationship.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 517-524
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Financial Data Analysis by means of Coupled Continuous-Time Random Walk in Rachev-Rűschendorf Model
Autorzy:
Jurlewicz, A.
Wyłomańska, A.
Żebrowski, P.
Powiązania:
https://bibliotekanauki.pl/articles/1812236.pdf
Data publikacji:
2008-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
05.40.Fb
Opis:
We adapt the continuous-time random walk formalism to describe asset price evolution. We expand the idea proposed by Rachev and Rűschendorf who analyzed the binomial pricing model in the discrete time with randomization of the number of price changes. As a result, in the framework of the proposed model we obtain a mixture of the Gaussian and a generalized arcsine laws as the limiting distribution of log-returns. Moreover, we derive an European-call-option price that is an extension of the Black-Scholes formula. We apply the obtained theoretical results to model actual financial data and try to show that the continuous-time random walk offers alternative tools to deal with several complex issues of financial markets.
Źródło:
Acta Physica Polonica A; 2008, 114, 3; 629-635
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Prosumption in the Public Administration Sector
Autorzy:
Jakimowicz, A.
Rzeczkowski, D.
Powiązania:
https://bibliotekanauki.pl/articles/1398890.pdf
Data publikacji:
2016-05
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
89.65.-s
89.75.Fb
Opis:
The aim of this article is to examine the possibility of implementing the rules of prosumption in the public administration sector in Poland. The level of development of the Polish e-Government system is far from satisfactory, taking into consideration comparatively narrow (regarding both type and range) set of public services provided on-line. A comprehensive method of public administration sector evaluation has not been worked out yet on the level of communes, though it is very useful because of the greatest innovative potential which has not been used so far. An assessment of a relatively deteriorating indicator of innovation in the public administration sector in Poland is impossible without going to the local level and analysing the situation in certain voivodeships, especially in the communes which are the main units of the local government. Prosumption is the main idea of a new economic school called wikinomics, it means blurring the difference between the producer or a service provider and the customer by including the latter to the processes of production of goods or supplying services. According to the article, prosumption in the public administration sector can be used in two ways. Firstly, it should be known to what extent internet sites of commune offices can be transformed into social innovative platforms which could show natural creativity of customers. Secondly, it is important to determine whether the main principles of prosumption, such as getting rid of control, peering and sharing the results, can be used in practical work of commune offices. This article is focused on the research of web pages issued by the local authorities. The possibility to use web pages as platforms to provide public service on-line is evaluated. Besides, the correspondence analysis was introduced, which helped to identify the innovative potential in the public administration sector and evaluate it paying special attention to the processes of prosumption. A rational expectations hypothesis allowed to explain the process of the appearance of systematic errors in interaction between a citizen and an official. It appeared that systematic errors result in perception gaps. Prosumption is the most successful mechanism for reduction of perception gaps.
Źródło:
Acta Physica Polonica A; 2016, 129, 5; 1011-1017
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
First Evidence of Interdependences between Incomes of Family Members
Autorzy:
Łukasiewicz, P.
Karpio, K.
Orłowski, A.
Powiązania:
https://bibliotekanauki.pl/articles/1029572.pdf
Data publikacji:
2018-06
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
88.05.Lg
Opis:
In this paper we study the relations between personal incomes and incomes of families with two adults in USA. We describe family income distributions using the simple two-parametric model. Assuming incomes of spouses are statistically independent of each other we obtain theoretical exponential income distributions for males and females. We show that these distributions are not coincident with distributions constructed based on the personal data. Obtained results indicate on statistical dependence between incomes of males and females in the families. We track changes and trends in data for years from 2001 to 2016.
Źródło:
Acta Physica Polonica A; 2018, 133, 6; 1441-1444
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
Performance Evaluation of Small-Medium Enterprises Based on Management and Organization
Autorzy:
Cengiz Toklu, M.
Taşkin, H.
Powiązania:
https://bibliotekanauki.pl/articles/1031410.pdf
Data publikacji:
2017-09
Wydawca:
Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:
89.65.Gh
07.05.Mh
Opis:
Companies need to constantly evaluate their activities in strategic planning process. These activities include all processes in the company, such as management and organization, research and development, production planning, manufacturing, post-sales services, accounting and finance. The aim of this study is to propose an evaluation model that can be used to evaluate management and organization performance for small and medium enterprises. In the proposed model, fuzzy multi-criteria decision-making approaches consisting of fuzzy analytic network process and fuzzy decision making trial and evaluation laboratory methods are used to determine the weights of performance criteria. A case study has been conducted in a small and medium enterprise for empirical evidence. From the outcome of our investigation, it is possible to conclude that "corporate communication" and "process management" are more important criteria. The most important sub-criteria are listed as, "senior management in harmony with each other", "employee requests and demands are collected periodically" and "pocket reference that includes procedures and fixed rules are available".
Źródło:
Acta Physica Polonica A; 2017, 132, 3; 994-998
0587-4246
1898-794X
Pojawia się w:
Acta Physica Polonica A
Dostawca treści:
Biblioteka Nauki
Artykuł
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