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Adaptive predictions of the euro/złoty currency exchange rate using state space wavelet networks and forecast combinations

Mietek A. Brdyś, Marcin T. Brdyś, Sebastian M. Maciejewski (2016)

International Journal of Applied Mathematics and Computer Science

The paper considers the forecasting of the euro/Polish złoty (EUR/PLN) spot exchange rate by applying state space wavelet network and econometric forecast combination models. Both prediction methods are applied to produce one-trading-dayahead forecasts of the EUR/PLN exchange rate. The paper presents the general state space wavelet network and forecast combination models as well as their underlying principles. The state space wavelet network model is, in contrast to econometric forecast combinations,...

Convergence model of interest rates of CKLS type

Zuzana Zíková, Beáta Stehlíková (2012)


This paper deals with convergence model of interest rates, which explains the evolution of interest rate in connection with the adoption of Euro currency. Its dynamics is described by two stochastic differential equations – the domestic and the European short rate. Bond prices are then solutions to partial differential equations. For the special case with constant volatilities closed form solutions for bond prices are known. Substituting its constant volatilities by instantaneous volatilities we...

El índice de poder de Banzhaf en la Unión Europea ampliada.

Encarnación Algaba Durán, Jesús Mario Bilbao Arrese, Julio Rodrigo Fernández García, Jorge Jesús López Vázquez (2001)


En este trabajo se definen algoritmos, basados en funciones generatrices, para calcular el índice de poder de Banzhaf en juegos simples de votación ponderada y en juegos de doble y triple mayoría. La utilización de funciones generatrices permite un cálculo exacto del índice de Banzhaf con una reducción sensible de la complejidad temporal. Además se calculan los índices de Banzhaf para las reglas de decisión, aprobadas en la cumbre de Niza, que se utilizarán en la Unión Europea ampliada a 27 países....

Exponential wealth distribution : a new approach from functional iteration theory*

Ricardo López-Ruiz, José-Luis López, Xavier Calbet (2012)

ESAIM: Proceedings

Different approaches are possible in order to derive the exponential regime in statistical systems. Here, a new functional equation is proposed in an economic context to explain the wealth exponential distribution. Concretely, the new iteration [1] given by f n + 1 ( x ) = u + v > x f n ( u ) f n ( v ) u + v d u d v . It is found that the exponential distribution is a stable fixed point of this functional iteration equation. From this point of view, it is easily understood why the exponential wealth distribution (or by extension, other kind of distributions)...

Feedback Nash equilibria in optimal taxation problems

Mikhail Krastanov, Rossen Rozenov (2009)

Open Mathematics

A well-known result in public economics is that capital income should not be taxed in the long run. This result has been derived using necessary optimality conditions for an appropriate dynamic Stackelberg game. In this paper we consider three models of dynamic taxation in continuous time and suggest a method for calculating their feedback Nash equilibria based on a sufficient condition for optimality. We show that the optimal tax on capital income is generally different from zero.

Information, inflation, and interest

Lane P. Hughston, Andrea Macrina (2008)

Banach Center Publications

We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a "risk-free" asset, and the second axiom determines the intertemporal pricing relations that hold for dividend-paying assets. The nominal and real pricing kernels, in terms of which the price index can be expressed, are then modelled by introducing a Sidrauski-type...

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