Loading ...
Sorry, an error occurred while loading the content.

Welcome 'chaos friends'!

Expand Messages
  • Simone Caramel
    I am very glad to see that after only 3 days our list has got already 10 members. Thanks and welcome to everyone: Bruce Tedesco, Frederic Dupont, J.Melone,
    Message 1 of 1 , Aug 1 5:48 PM
    • 0 Attachment
      I am very glad to see that after only 3 days our list has got already 10
      Thanks and welcome to everyone: Bruce Tedesco, Frederic Dupont, J.Melone,
      John Starrett, Junling Ma, Kurma, Sebastiano Manzan, Luciano Zazzetti and
      Crespo. Thanks Jesus for your presentation.
      I think during this month and the next one to leave time to all people
      interested in
      this project to join our list, therefore it could be useful to spend this
      time presenting
      ourselves obviously refer to the subject of this ML (education, why the
      passion for chaos,
      chaos field of application, personal and general chaos studies and
      research in each field of application,
      expectations and suggestments for this ML organization, and so on).
      I present myself so you can know who is this misterious man who invited you
      to join this list. :)
      My name is Simone Caramel, born and living actually in Treviso (30km from
      Venice, Italy)
      december 18th, 1970.
      I was graduated in economics by the University of Venice presenting a
      thesis titled:
      'Consistency of Expectations in Economic Models with Complex Behavious'
      with the supervision
      of my chairman prof. PH.D. Alfredo Medio.
      So I knew chaos theory when I started to attend Medio's teaching, seen that
      he's is specialized in
      chaos, and expecially in chaotic dynamics and its applications to
      There are several models used in economic research which are good for a
      dynamical approach:
      for instance models of overlapping generation (e.g. Benhabib and Day,
      1982; Grandmont, 1985),
      macroeconomic models (e.g. Stutzer, 1980; Day, 1982), model of rational
      consumption (e.g. Benhabib and Day, 1981), models of optimal growth (e.g.
      Deneckere and Pelikan, 1986), models derived from economic problems using
      one-hump functions (e.g. Baumal and Benhabib, 1988; Lorenz, 1989; Boldrin
      Woodford, 1990 and Scheinkman, 1990), Cobweb models (e.g. Day and Hanson,
      1991), Hick's nonlinear
      trade cycle model (e.g. Hommes, 1995), Sunspots (e.g. Woodford, 1990),
      Keynesian macroeconomic models (e.g. B�hm, Lohmann and Lorenz, 1994),
      Models of complexity in finance (e.g. Brock and Hommes, 1996), Application
      to financial markets (e.g. Hsieh, 1991).
      Particularly in my thesis I pay attention to the similitudes, using linear
      tests (or in terms of linear statistics), between stochastic processes
      dynamics and a closed class of deterministic processes generating chaotic
      In a feedback expectations system, I show how it is possible to distinguish
      between linear (stochastic) expectations and non linear (deterministic)
      actual law of motion using some non linear tests: for instance, the
      expectational errors are not IID using the BDS test.
      I introduce some non linear beliefs, in a tipical model with chaotic
      dynamics, to verify its consistency, and after that, I compare this results
      with the outcome of an alternative use of simple linear expectations: I
      show how, in a consistent expectations equilibria, it could be produced
      selffulfilling mistakes, and no more selffulfilling expectations (as in the
      CEE by Hommes and Sorger).
      A final research was oriented to study the complex dynamics in an OLG model
      without production introducing omogeneous or heterogeneous beliefs. I show
      that, in case of heterogeneous beliefs, using 2 alternative predictors
      chosen considering some performance past measure, if the agents take the
      predictors fifty fifty
      (or, at the same time, there is a equal distribution of the beliefs between
      2 alternative
      predictors) then this is a welcome situation to semplify the dynamics of
      all the system.
      Key words of my thesis are: expectation's formation, agents belief,
      learning dynamics, consistency of expectations, neural network, nets of
      network, case-based decision theory, sensory order,
      nearest neighbour, bounded rationality, piecewise linear predictor, tent
      map, BDS test, selfulfilling mistakes,
      Markov chain, homogeneous and heterogeneous beliefs in a OLG model.
      Waiting for you now, I thank you again, and have a nice holiday if you are
      going to spend it in august.
      Cordially yours,
      Simone Caramel

      I leave here the bibliography of my thesis for who can be interested:

      [1] ABARBANEL H. D. I. � BROWN R. � KADTKE J. B. � Prediction in chaotic
      nonlinear system: methods for time series with broadband Fourier spectra,
      1990, Physical Review A, 41, pag. 1742 e ss.;
      The analysis of observed chaotic data in physical systems, 1993, Review of
      Modern Physics, 65, pag. 1331 e ss.;
      [3] AZARIADIS C. � GUESNIERE R. � Sunspots and cycles, 1986. Review of
      Economic Studies, 53, pag. 725 � 737;
      [4] BALASKO Y. � ROYER D. - Stability of Competitive Equilibrium with
      respect to recursive and learning processes, 1996, in Journal of Economic
      Theory, n. 68, pag. 319 � 348;
      [5] BALASKO Y. � SHELL K. - The Overlapping Generations Model, I & II,
      1980 � 1981, in Journal of Economic Theory, n. 23, pag. 281 � 306, n. 24,
      pag. 112 � 142;
      [6] BARNETT W. A. � GALLANT A. R. � HINICH M. J. � JENSEN M. J. �
      Robustness of nonlinearity and chaos tests to measurement error, inference
      method and sample size, 1992, working paper sumitted to workshop on
      nonlinear dynamics in economics in Florence;
      KAPLAN D. T. � JEMSEN M. J. � A single controlled competition among tests
      for nonlinearity and chaos, 1996, Journal of Econometrics, forthcoming;
      [8] BENHABIB J. � DAY R. H. � A characterisation of erratic dynamics in
      the olg � model, 1982, in Journal of Economic Dynamics and Control, n. 4,
      pag. 37 � 55;
      [9] BOEHM V. � Wie complex ist die Konjunktur? Chaosforschung und
      konjunkturtheorie, 1995, working paper, Universitaet of Bielefeld;
      [10] BOEHM V. � LOHMANN M. � LORENZ H. W. � Dynamic complexity in a
      keynesian macroeconomic model, 1994, discussion paper n. 288, University of
      Bielefeld, Department of Economics;
      [11] BOEHM V. � WENZELBURGER J. � Expectations, forecasting and perfect
      foresight: a dynamical systems approach, 1997, working paper, University of
      [12] BOX G. E. P. � JENKINS G. M. � REINSEL G. C. � Time series
      analysis. Forecasting and control, 1994, Third edition, Prentice Hall,
      Englewood Cliffs;
      [13] BRAY M. M. � Learning, estimations, and the stability of rational
      expectations, 1982, in Journal of Economic Theory, n. 26, pag. 318 � 339;
      [14] BRAY M. M. � SAVIN N. E. � Rational expectations equilibria,
      learning and model specification, 1986, in Econometrica, n. 54, pag. 1129 �
      [15] BROCK W. A. � DECHERT W. D. � SCHEINKMAN J. A. � A test for
      indipendence based on the correlation dimension, 1987, Technical Report
      8702, Social system Research Institute, University of Wisconsin, Madison;
      [16] BROCK W. A. � HSIEH D. A. � LE BARON B. � Nonlinear dynamics, chaos
      and instability: statistical theory and economic evidence, 1991, MIT Press,
      Cambridge, MA;
      [17] BROCK W. A. � HOMMES C. H. � Rational routes to randomness, 1995,
      working paper, University of Wisconsin, Madison WI 53706, USA;
      [18] BROCK W. A. � HOMMES C. H. � Models of complexity in economics and
      finance, 1996, working paper, University of Amsterdam, Department of
      Economics, Tinbergen Institute;
      [19] BROCK W. A. � SAYERS C. � Is the businnes cycle characterized by
      deterministic chaos?, 1988, Journal of Monetary Economics, 21, pag. 71 e
      [20] BLUME L. E. � EASLEY D. - Learning to be rational, 1982, in
      Journal of Economic Theory, n. 26, pag. 340 � 351;
      [21] BULLARD J. � Learning equilibria, 1994, Journal of Economic Theory,
      n. 64, pag. 468 � 485;
      [22] BULLARD J. � DUFFY J. � On learning and the stability of cycles,
      1995, working paper, Federal Reserve Bank of St. Louis;
      [23] CASDAGLI M. � Nonlinear predictions of chaotic time series, 1989,
      Physica D, 35, pag. 335 e ss.;
      [24] CASDAGLI M. � Nonlinear forecasting, chaos and statistics,
      1991, working paper, SFI;
      [25] CASDAGLI M. � Chaos and deterministic versus stochastic
      non-linear modelling, 1992, J. R. Stat. Soc. B, 54(2), pag. 427 e ss.;
      [26] CHATTERJI S. - Temporary equilibrium dynamics with bayesian
      learning, 1995, in Journal of Economic Theory, n.67, pag. 590 � 598;
      [27] CHATTERJI S. � CHATTOPADHYAY S. � Global stability in spite
      of local instability with learning in general equilibrium models, 1996,
      Working paper, Universidad de Alicante;
      [28] CHIARELLA C. - The cobweb model. Its instability and the oneset of
      chaos, 1988, Economic Modelling, 5, pag. 377 - 384;
      [29] CLEVELAND W. S. � Research in statistical graphics, 1987, Journal
      of the American Statistical Association, 82, pag. 419 e ss.;
      [30] CLEVELAND W. S. � Robust locally weighted regression and
      smoothing scatterplots, 1979, Journal of the American Statistical
      Association, 74, pag. 829 e ss.;
      [31] CLEVELAND W. S. � DEVLIN S. J. � Locally weighted regression: an
      approach to regression analysis by local fitting, 1988, , Journal of the
      American Statistical Association, 83, pag. 596 e ss.;
      [32] CRAMER F. - Caos e ordine: la complessa struttura del vivente, 1994,
      casa editrice Bollati Boringhieri;
      [33] CREANE A.� Jamming a rival's learning, 1995, in Journal of
      Economic Theory, n. 65, pag. 585 � 599;
      [34] CREMERS J. � HUBLER A. � Costruction of differential equations from
      experimental data, 1987, Z. Naturforsch, 42a, pag. 797 e ss.;
      [35] CRUTCHFIELD J.P. � MC NAMARA B. S. � Equations of motion from a data
      series, 1987, Complex Systems, 1, pag. 417 e ss.;
      [36] DAY R. H. - HANSON K. A. - Cobweb chaos, 1991, In: T. K. KAUL - J. K.
      SENGUPTA (eds.) Economic models, estimation and socioeconomic systems.
      Essay in honor of Karl A. Fox, North Holland, Amsterdam;
      [37] DUFOUR A. � Time series analysis development: new contributions from
      chaos theory, 1994, gruppo di ricerca prof. Medio, Dipartimento di Scienze
      Economiche, Universit� di Venezia;
      [38] DIEBOLD F. X. � NASON J. A. � Nonparametric exchange rate
      prediction?, 1990, Journal of International Economics, 28, pag. 315 e ss.;
      [39] EIGEN M. - SCHUSTER P. - L'iperciclo. Un principio di
      auto-organizzazione naturale, trad. it. Pegaso, Rovigo s. a.;
      [40] EVANS G. W. � HONKAPOHJA S. � On the local stability of sunspot
      equilibria under adaptive learning rules, 1994, Journal of Economic Theory,
      n. 64, pag. 142 � 161;
      [41] EVANS G. W. � HONKAPOHJA S. � Local convergence of recursive
      learning to steady states and cycles in stochastic nonlinear models, 1995,
      Econometrica, vol. n. 63, pag. 195 � 206;
      [42] EZEKIEL M. � The cobweb theorem, 1938, Quarterly Journal of
      Economics, 52, pag. 255 � 280;
      [43] FARMER J. D. � SIDOROWICH J. J. � Predicting chaos time series,
      1987, Phys. Rev. Lett., 59, pag. 845 e ss.;
      [44] FARMER J. D. � SIDOROWICH J. J. � Exploiting chaos to predict the
      future and reduce noise, 1988, in Evolution, Learning and Cognition, ed.
      Lee Y. C., World Scientific;
      [45] FRASER A. M. � SWINNEY H. L. - Indipendent coordinates for strange
      attractors from mutual information, 1986, Phys. Rew. A, 33, pag. 1134 e
      [46] FUCHS G. � Asymptotic stability of stationary temporary equilibria
      and changer in expectations, 1976, in Journal of Economic Theory, n.13,
      pag. 201 � 216;
      [47] FUCHS G. � Formation of expectations. A model in temporary general
      equilibrium theory, 1977, in Journal of Mathematical Economics, n.4, pag.
      167 � 187;
      [48] FUCHS G. - Dynamics of expectations in temporary general equilibrium
      theory, 1979, in Journal of Mathematical Economics, n.6, pag. 229 � 251;
      [49] FUCHS G. � Is error learning behaviour stabilizing?, 1979, in
      Journal of Economic Theory, n. 20, pag. 300 � 317;
      [50] FUCHS G. � LAROQUE G. � Dynamics of temporary equilibria and
      expectations, 1976, in Econometrica, n. 44, pag. 1157 � 1178;
      [51] GALE D. - Pure Exchange Equilibrium of Dynamic Economic Models,
      1973, Journal of Economic Theory, n. 6, pag. 12 - 36;
      [52] GRANDMONT J. M. � On endogenous competitive businnes cycles, 1985,
      in Econometrica, n. 53, pag. 995 � 1045;
      [53] GRANDMONT J. M. � Expectations formation and stability in large
      socioeconomic systems, 1994, CEPREMAP working paper n. 9424;
      [54] GRANDMONT J. M. � HILDEBRAND W. � Stochastic processes of temporary
      equilibria, 1974, in Journal of Mathematical Economics, n. 1, pag. 247 �
      [55] GRANDMONT J. M. � LAROQUE G. � Money in the pure consumption loan
      model, 1973, in Journal of Economic Theory, n. 6, pag. 382 � 395;
      [56] GRANDMONT J. M. � LAROQUE G. - Stability of cycles and expectations,
      1986, in Journal of Economic Theory, n. 40, pag. 138 � 151;
      [57] GRANDMONT J. M. � LAROQUE G. � Economic dynamics with learning: some
      instability examples, 1991, in: Barnett et. al. (eds.) Equilibrium theory
      and applications, Proceedings of the sixth International Symposium in
      Economic Theory and Econometrics, Cambridge University Press, Cambridge;
      [58] GRASSBERGER P. � SCHREIBER T. � SCHAFFRATH C. � Nonlinear time
      sequence analysis, 1991, Int. J. Of Bifurcation and Chaos, 1(3), pag. 521 e
      On noise reduction methods for chaotic data, 1993, Chaos, 3(2), pag. 127 e
      [60] HARRINGTON J. E. - Experimentation and learning in a differentiated
      products duopoly, 1995, Journal of Economic Theory, n. 66, pag. 275-288;
      [61] HOLMES J. M.- MANNING R. � Memory and market stability. The case of
      cobweb, 1988, Economic Letters, pag. 1-7;
      [62] HOMMES C. H. � Adaptive learning and road to chaos. The case of
      cobweb, 1991, Economic Letters, n. 36, pag.127-132;
      [63] HOMMES C. H. � A riconsideration of Hick's non-linear trade cycle
      model � Structural Change and Economic Dynamics, 1995, n.6, pag. 435-459;
      [64] HOMMES C. H. � Dynamics of the cobweb model with adaptive expectations
      and non-linear supply and demand, 1994, Journal of Economic Behavior and
      Organisation, n. 24, pag. 315-335;
      [65] HOMMES C. H. � On the consistency of backward looking expectations:
      the case of cobweb, 1995, Working paper 5� Viennese workshop on advances in
      nonlinear economic dynamics, 24-26 maggio 1995;
      [66] HOMMES C. H. � SORGER G. � Consistent expectations equilibria, 1997,
      Working paper, Conference Expectations, Forecasting and Learning, May
      29-30, 1997, University of Bielefeld;
      [67] HOMMES C. H. � VAN EEKELEN A. � Partial equilibrium analysis in a
      noisy chaotic market, 1996, Economic Letters, n.53, pag. 275-282;
      [68] HSIEH D. A. � Testing for nonlinear dependence in daily foreign
      exchange rates, 1989, Journal of Businnes, 62, pag. 339 e ss.;
      [69] HSIEH D. A. � Chaos and nonlinear dynamics: Application to financial
      markets, 1991, Journal of Finance, XLVI, pag. 1839 e ss.;
      [70] KENNEL M. B. � ISABELLE S. � A method to distinguish possible chaos
      from colored noise and determine embedding parameters, 1992, Phys. Rew. A,
      46(6), pag. 3111 e ss.;
      [71] KURZ M. - On Rational Belief Equilibria, 1994, Economic Theory 4, pag.
      859 - 876;
      [72] LAPEDES A. � FARBER R. � Nonlinear signal processing using neural
      networks: prediction and system modelling, 1987, Los Alamos technical
      report LA-UR 2662;
      [73] LE BARON B. - Empirical evidence for nonlinearities and chaos in
      economic time series: a summary of recent results, 1991, SSRI 9117,
      University of Wisconsin, Madison;
      [74] LE BARON B. � Forecast improvements using a volatility index, 1992,
      Journal of Applied Econometrics, 7, pag. 137 e ss.;
      [75] LINSAY P. S. - An efficient method of forecasting chaotic time
      series using linear interpolation, 1991, Physical Letters A, 153, pag. 353
      e ss.;
      [76] LORENZ H. W. - On the role of expectations in a dynamic Keynesian
      macroeconomic model, 1995, paper presented at the 5th Viennese Workshop on
      Advances in Nonlinear Economic Dynamics, May 24 - 26, 1995;
      [77] LIU T. � GRANGER C. W. J. � HELLER W. P. � Using the correlation
      exponent to decide wheter an economic series is chaotic, 1992, Journal of
      Applied Econometrics, 7, pag. 25 e ss.;
      [78] LUNGHINI G. � RAMPA G. � Conoscenza, equilibrio ed incertezza
      endogena, 1995, working paper, Universit� di Genova ed Universit� di Pavia;
      [79] LUNGHINI G. � RAMPA G. � Il falso problema dei microfondamenti, 1996,
      working paper, Istituto di scienze economiche e finanziarie, Universit� di
      [80] MARCENT A. � SARGENT T. J. � The fate of Systems with 'Adaptive'
      Expectations, 1988, American economic review � Papers and Proceedings, 78,
      pag. 168 � 172;
      [81] MARCENT A. � SARGENT T. J. � Convergence of least squares learning
      in mechanisms in self referential linear stochastic models, 1989, Journal
      of Economic Theory, 48, pag. 337 � 368;
      [82] MARCET A. - NICOLINI J. P. - Recurrent hyperinflations and learning,
      1995, Working Paper, Universidad Pompeu Fabra;
      [83] MARIMON R. � Learning from learning in economics, 1996, European
      University Institute, Working paper ECO n. 96/12;
      [84] MAY R. M. � Simple mathematical models with very compicated
      dynamics, 1976, Nature, 261, pag. 459 e ss.;
      [85] MEDIO A. � Chaotic dynamics � Theory and applications to economics,
      1992, Cambridge University Press;
      [86] MEDIO A. � Ergodicity, predictability and chaos, working paper, April
      1995, Department of Economics, University of Venice;
      [87] MEDIO A. - LINES M. - DUFOUR A. - Chaotic theory and prediction
      with applications to economics, 1993, paper submitted to the Wageningen
      conference on 'Predictability and nonlinear modelling in natural Sciences
      and Economics';
      [88] MEDIO A. � NEGRONI G. � Chaotic dynamics in OLG models with
      productions, 1993, �nota di lavoro� n. 93.08, Universit� degli studi di
      [89] MIZRACH B. � Multivariate nearest-neighbour forecasts of EMS
      exchange rates, 1992, Journal of Applied Econometrics, 7, pag. 151 e ss.;
      [90] MURRAY D. B. � Forecasting a chaotic time series using an improved
      metric for embedding space, 1993, Physica D, 68, pag. 318 e ss.;
      [91] MUTH J. F. � Rational expectations and the theory of price
      movement, 1961, Econometrica, vol. n. 29, pag. 315 � 335;
      [92] NERLOVE M. � Adaptive expectations and cobweb phenomena, 1958,
      Quarterly Journal of Economics, 72, pag. 227 � 240;
      [93] NERLOVE M. - GRETHER D. M. - CARVALHO J. L. - Analysis of economic
      time series. A systhesis, 1979, Academic Press, New York;
      [94] NYARKO Y. � Learning in mis-specified models and the possibility of
      cycles, 1991, Journal of economic theory, 55, pag. 416 � 427;
      [95] PRIESTLEY M. B. � Nonlinear and non stationary time series
      analysis, 1988, Academic Press;
      [96] RAMPA G. � Informazione, ordine individuale, ordine sociale, 1996,
      working paper preparato per il volume �Decisioni, informazioni,
      aspettative: nuovi orientamenti dell'analisi economica� a cura di A.
      Vercelli, Il Mulino;
      [97] RAMPA G. � Modelli individuali ed esiti complessivi: premesse ad uno
      studio delle fluttuazioni economiche, 1988, casa editrice CLUEB, Bologna;
      [98] RAMPA G. � Social system as net of networks and the problem of
      information transmission, 1996, working paper, Universit� di Genova;
      [99] RAMPA G. � Trovare in ordine, mettere in ordine: il difficile
      rapporto tra Hayek e gli economisti, 1995, working paper, Universit� di
      [100] SAKAI H. � TOKUMARU H. � Autocorrelations of certain chaos, 1980,
      IEEE Transactions on acoustic, speech and signal processing, Vol. ASSP-28,
      pag. 588 � 590;
      [101] SARGENT T. J. � Bounded rationality in macroeconomics, 1993,
      Clarendon Press, Oxford;
      [102] SCHOENHOFER M. � Chaotic learning equilibria, 1996, discussion
      paper n. 317, Department of Economics, University of Bielefeld;
      [103] SCHULTZ C. � The impossibility of involuntary unemployment in OLG
      model with rational expectations, 1992, Journal of economic theory, 58,
      pag. 61 � 76;
      [104] SILVERMAN B. W. � Densities estimation for statistics and data
      analysis, 1986, Chapman & Hall, Londra;
      [105] SORGER G. � Imperfect foresight and chaos: an example of a
      self-fulfilling mistake, 1994, Journal of economic Behavior & Organisation,
      [106] SUGIHARA G. � MAY R. M. � Nonlinear forecasting as a way of
      distinguishing chaos from measurement errors in time series, 1990, Nature,
      pag. 734 e ss.;
      [107] TAKENS F. - Detecting strange attractors in turbulence, 1981, In
      Rand, D. A. and Young, L. S. (eds.), Dynamical Systems and Turbulence, pag.
      366 - 381, New York: Springer Verlag;
      [108] TAYLOR T. J. - On stochastic and chaotic motion, 1992, Working
      paper, Workshop on Nonlinear dynamics in economics, Firenze;
      [109] TILLMAN G. � Stability in a simple pure consumption loan model,
      1983, Journal of economic theory, 30, pag. 315 � 329;
      [110] TONG H. � Nonlinear time series. A dynamical system approach, 1990,
      Oxford Science Pubblications;
      [111] TONG H. - Some comments on a bridge between nonlinear dynamicists
      and statisticians, 1992, Physica D, 58, pag. 299 � 303;
      [112] TONG H. � Threshold models in nonlinear time series analysis, 1983,
      Spinger-Verlag, New York;
      [113] TONG H. � LIM K. � Threshold autoregression, limit cycles and
      cyclical data, 1980, J. R. Stat. Soc. B, 42, pag. 245 e ss.;
      [114] TONG H. - SMITH R. L. - Royal Statistical Society on Chaos, 1992, J.
      R. Stat. Soc. B, 54(2), pag. 301 e ss.;
      [115] WOODFORD M. - Imperfect financial intermediation and complex
      dynamics, 1993, Nonlinear dynamics in economic theory, a cura di M.
      Jarsulic, casa editrice Elgar;
      [116] WOODFORD M. - Learning to believe in sunspots, 1990, Econometrica,
      n. 58, vol. 2, pag. 277 - 306;
      [117] HAYEK VON F. - Individualism of Economic Order, 1945, Chicago, The
      University of Chicago press;
      [118] HAYEK VON F. - The sensory order. An Inquiry into the Foundation of
      Theoretical Psychology, 1952, Chicago, The University of Chicago press;
      [119] HAHN F.H. - On the notion of equilibrium in economics. An inaugural
      lecture, 1973, Cambridge, CUP.

      Caramel Simone
      via Doberd� 3
      31020 - Fontane di Villorba
      Treviso - Italy
      tel. +39 0422 420564 home
      +39 0338 8129030 mobile
      +39 0422 300792 work
    Your message has been successfully submitted and would be delivered to recipients shortly.