bulls bears and market sheep abstract a deterministic excess demand model of stock market behavior is presented that generates stochastically fluctuating prices and randomly switching bear and bull markets

a comparison of the information in the libor and cmt term structures of interest rates abstract we investigate the information contained in the london interbank offered rate libor and the u s constant maturity treasury cmt term structure of interest rates and report three novel findings first we document that the information contained in term structures are significantly different from one another second we provide evidence of a significant change in the nature of this difference as the financial crisis began third we find that the significant changes in the information content of cmt and libor are consistent with significant shocks to credit default swap rates and tenor swap rates

ants rationality and recruitment this paper offers an explanation of behavior that puzzled entomologists and economists ants faced with two identical food sources were observed to concentrate more on one of these but after a period they would turn their attention to the other the same phenomenon has been observed in humans choosing between restaurants after discussing the nature of foraging and recruitment behavior in ants a simple model of stochastic recruitment is suggested this explains the herding and epidemics described in the literature on financial markets as corresponding to the equilibrium distribution of a stochastic process rather than to switching between multiple equilibria

profitability of time series momentum abstract we propose a continuous time heterogeneous agent model consisting of fundamental momentum and contrarian traders to explain the significant time series momentum we show that the performance of momentum strategy is determined by both time horizon and the market dominance of momentum traders specifically when momentum traders are more active in the market momentum strategies with short long time horizons stabilize destabilize the market and meanwhile the market under reacts over reacts in short run long run this provides profit opportunity for time series momentum strategies with short horizons and reversal with long horizons when momentum traders are less active in the market they always lose the results provide an insight into the profitability of time series momentum documented in recent empirical studies

on the specification of noise in two agent based asset pricing models abstract the paper is concerned with two recent agent based models of speculative dynamics from the literature one by gaunersdorfer and hommes 2007 and the other by he and li 2007 at short as well as long lags both of them display an autocorrelation structure in absolute and squared returns that comes fairly close to that of real data at a daily frequency the note argues that these long memory effects are to be ascribed to the stochastic specification of the price equation which despite the wide fluctuations in these models fails to normalize the price shocks under an appropriate respecification the long memory completely disappears it is subsequently shown that an alternative introduction of randomness which may be called structural stochastic volatility can restore the original properties and even improves upon them

future inequality in co2 emissions and the impact of abatement proposals this paper analyzes future carbon emissions inequality using a group decomposition of the gini index business as usual projections to the year 2100 for 135 countries show inequality in per capita emissions declines slowly next the impact on emissions levels and inequality of the kyoto protocol and other abatement proposals for annex ii countries in 2010 are measured with a focus on the gap narrowing and reranking effects substantial reranking of per capita emissions between annex ii and non annex ii countries will not occur unless the former reduce their emissions by at least 50 versus 1990 levels and the latter continue growing unabated

international inequalities in per capita co2 emissions a decomposition methodology by kaya factors in this paper we provide a methodology for decomposing international inequalities in per capita co2 emissions into kaya multiplicative factors and two interaction terms we use the theil index of inequality and show that this decomposition methodology can be extended for analyzing between and within group inequality components we can thus analyze the factors behind inequalities in per capita co2 emissions across countries between groups of countries and within groups of countries the empirical illustration for international data suggests some points firstly international inequality in per capita co2 emissions is mainly attributable to inequalities in per capita income levels which helps to explain its recent reduction while differences in carbon intensity of energy and energy intensity have made a less significant contribution this result is strongly influenced by the performance of china and india secondly the between group inequality component which is the biggest component is also largely explained by the income factor thirdly the within group inequality component increased slightly during the period something mainly due to the change in the income factor and the interaction terms in a few regions

distributional aspects of emissions in climate change integrated assessment models the recent failure of copenhagen negotiations shows that concrete actions are needed to create the conditions for a consensus over global emission reduction policies a wide coalition of countries in international climate change agreements could be facilitated by the perceived fairness of rich and poor countries of the abatement sharing at international level in this paper i use two popular climate change integrated assessment models to investigate the path and decompose components and sources of future inequality in the emissions distribution results prove to be consistent with previous empirical studies and robust to model comparison and show that gaps in gdp across world regions will still play a crucial role in explaining different countries contributions to global warming

international inequality in energy intensity levels and the role of production composition and energy efficiency an analysis of oecd countries abstract this paper analyses the inequality of energy intensity levels between oecd countries its causes and evolution the paper develops a methodology which allows the inequality in energy consumption per capita to be decomposed into explanatory factors it also analyses the contribution of different groups of countries to this inequality the results show that although differences in affluence are the most significant factor in explaining inequality in energy consumption per capita the inequality in energy intensity levels plays a prominent role in reducing the inequality in energy consumption per capita over the analysed period the paper also develops a methodology which determines the importance of different production structures and energy efficiency of productive sectors in the differences in energy use per unit of gdp between the countries analysed the results show that sector specialisation becomes increasingly important in explaining the inequality of energy intensity while there is a significant trend towards the convergence of energy efficiency between countries sector by sector this trend would explain the decreasing weight of energy intensity as an explanatory factor of the inequalities in energy consumption per capita

macroeconomics and the term structure this paper provides an overview of the analysis of the term structure of interest rates with a special emphasis on recent developments at the intersection of macroeconomics and finance the topic is important to investors and also to policymakers who wish to extract macroeconomic expectations from longer term interest rates and take actions to influence those rates the simplest model of the term structure is the expectations hypothesis which posits that long term interest rates are expectations of future aver age short term rates in this paper we show that many features of the configuration of interest rates are puzzling from the perspective of the expectations hypothesis we review models that explain these anomalies using time varying risk premia although the quest for the fundamental macroeconomic explanations of these risk premia is ongoing inflation uncertainty seems to play a large role finally while modern finance theory prices bonds and other assets in a single unified framework we also consider an earlier approach based on segmented markets market segmentation seems important to understand the term structure of interest rates during the recent financial crisis jel e31 e43 e52 e58

financial crises and regime dependent dynamics abstract generalized with the regime dependent beliefs and regime switching dynamics the simple market maker framework established by day and huang 1990 is capable to model all types of crises that is sudden crisis disturbing crisis and smooth crisis and to offer economic and dynamic justifications on how and why these crises appear moreover the model simulations verify the salient qualitative and statistical properties commonly observed in the real financial data such as fat tails volatility clustering long range dependence leverage effect and other stylized facts additionally the model replicates the various chart patterns widely applied in the technical analysis

decomposing inequality in co2 emissions the role of primary energy carriers and economic sectors emission inequality across countries and the contribution of the energy mix and the sectoral composition of a country s energy use are of central importance to the climate debate we analyze the evolution of inequality in global co2 per capita emissions using both historical data on energy related co2 emissions and future emission scenarios generated with the integrated assessment model remind within our sample of 90 countries the results indicate that the gini index declined from about 0 6 in 1971 to slightly above 0 4 in 2008 a decomposition of the gini index of total emissions into primary energy carriers indicates that this reduction is mainly attributed to declining shares of emissions from coal peat and oil in total emissions and decreasing emission inequality within all fossil primary energy sources from the perspective of economic sectors the decline in overall inequality is almost entirely due to a decline of the contribution of emissions from manufacturing construction our analysis also suggests that an equally spread emission reduction from any one source would not have a major impact on overall emission inequality the analysis of future scenario data indicates that climate policy reduces absolute emission inequality while inducing drastic progressive emission reductions in all regions

non hbox co _2 co 2 generating energy shares in the world cross country differences and polarization the aim of this paper is to examine the spatial distribution of non hbox co 2 generating energy sources in the world for the period 1990 2009 paying special attention to the evolution of cross country disparities to this end after carrying out a classical convergence analysis a more thorough investigation of the entire distribution is presented by examining its external shape the intra distribution dynamics and the long run equilibrium distribution this analysis reveals the existence of a weak rather insignificant convergence process and that large cross country differences are likely to persist in the long run next as polarization indicators are a proper way of appraising potential conflict in international environmental negotiations we test whether or not the distribution dynamics concurs with the presence of polarization our results indicate that two poles can be clearly differentiated one with high and other with low non hbox co 2 generating energy shares in view of these findings and to ensure a fair transition to a sustainable energy system the paper calls for the development of an ambitious clean energy agenda especially in countries with low non hbox co 2 generating energy shares

new evidence on the forward premium puzzle the forward premium anomaly exchange rate changes are negatively related to interest rate differentials is one of the most robust puzzles in financial economics we recast the underlying parity relation in terms of lagged forward interest rate differentials documenting a reversal of the anomalous sign on the coefficient in the traditional specification we show that this novel evidence is consistent with recent empirical models of exchange rates that imply exchange rate changes depend on two key variables the interest rate differential and the magnitude of the deviation of the current exchange rate from that implied by purchasing power parity

trading heterogeneity under information uncertainty abstract instead of heuristical heterogeneity assumption in the current heterogeneous agent models hams we derive the trading heterogeneity by introducing information uncertainty about the fundamental value to a ham conditional on their private information about the fundamental value agents choose different trading strategies when optimizing their expected utilities this provides a micro foundation to heterogeneity and switching behavior of agents we show that the ham with trading heterogeneity originating from the incomplete information performs equally well if not better than existing hams in generating bubbles crashes and mean reverting prices the simulated time series matches with the s p 500 in terms of power law distribution in returns volatility clustering and long memory in volatility

heterogeneous expectations and bond markets this paper presents a dynamic equilibrium model of bond markets in which two groups of agents hold heterogeneous expectations about future economic conditions the heterogeneous expectations cause agents to take on speculative positions against each other and therefore generate endogenous relative wealth fluctuation the relative wealth fluctuation amplifies asset price volatility and contributes to the time variation in bond premia our model shows that a modest amount of heterogeneous expectations can help explain several puzzling phenomena including the excessive volatility of bond yields the failure of the expectations hypothesis and the ability of a tent shaped linear combination of forward rates to predict bond returns the author 2009 published by oxford university press on behalf of the society for financial studies all rights reserved for permissions please email journals permissions oxfordjournals org oxford university press

on the bimodality of the distribution of the s p 500 s distortion empirical evidence and theoretical explanations abstract after showing that the distribution of the s p 500 s distortion i e the log difference between its real stock market index and its real fundamental value is bimodal we demonstrate that agent based financial market models may explain this puzzling observation within these models speculators apply technical and fundamental analysis to predict asset prices since destabilizing technical trading dominates the market near the fundamental value asset prices tend to be either overvalued or undervalued interestingly the bimodality of the distribution of the s p 500 s distortion confirms an implicit prediction of a number of seminal agent based financial market models

the behavior of interest rates the evidence in fama and bliss 1987 that forward interest rates forecast future spot interest rates for horizons beyond a year repeats in the out of sample 1986 2004 period but the inference that this forecast power is due to mean reversion of the spot rate toward a constant expected value no longer seems valid instead the predictability of the spot rate captured by forward rates seems to be due to mean reversion toward a time varying expected value that is subject to a sequence of apparently permanent shocks that are on balance positive to mid 1981 and on balance negative thereafter copyright 2006 oxford university press

structural stochastic volatility in asset pricing dynamics estimation and model contest abstract in the framework of small scale agent based financial market models the paper starts out from the concept of structural stochastic volatility which derives from different noise levels in the demand of fundamentalists and chartists and the time varying market shares of the two groups it advances several different specifications of the endogenous switching between the trading strategies and then estimates these models by the method of simulated moments msms where the choice of the moments reflects the basic stylized facts of the daily returns of a stock market index in addition to the standard version of msm with a quadratic loss function we also take into account how often a great number of monte carlo simulation runs happen to yield moments that are all contained within their empirical confidence intervals the model contest along these lines reveals a strong role for a tamed herding component the quantitative performance of the winner model is so good that it may provide a standard for future research

inequality of energy intensities across oecd countries a note abstract this paper proposes the use of theil s second measure to analyze international energy intensity differences this index allows differences to be broken down within and between groups of countries in a consistent manner an analysis of oecd countries for the period 1971 1999 shows some basic points first the fall in energy intensities differences is attributable both to within group and between group inequality components second between group inequalities are currently the main contributor to the whole inequality value finally a detailed exploration on within group inequalities reveals the significant explanatory role played by eu countries

convergence of per capita carbon dioxide emissions in the eu legend or reality abstract designing appropriate environmental and energy policies in order to meet the kyoto protocol s carbon dioxide co 2 reduction targets in the european union eu requires a detailed examination and thorough understanding of co 2 emission trends across the eu member states this paper investigates whether co 2 emissions have converged across 22 european countries over the 1971 to 2006 period the bayesian shrinkage estimation method is employed to do this work and the results reveal the following first the hypothesis of absolute convergence in per capita co 2 emissions is supported and a slight upward convergence is observed second the fact that countries differ considerably in both their speed of convergence and volatility in emissions makes it possible to identify different groups of countries third the results with respect to convergence do not vary much once the share of industry in gdp is accounted for in a conditional convergence analysis however a decreasing share of industry in gdp seems to contribute to a decline in per capita emissions these findings may carry important implications for both national and eu environmental policies

an analysis of the effect of noise in a heterogeneous agent financial market model abstract heterogeneous agent models hams in finance and economics are often characterised by high dimensional nonlinear stochastic differential or difference systems because of the complexity of the interaction between the nonlinearities and noise a commonly used often called indirect approach to the study of hams combines theoretical analysis of the underlying deterministic skeleton with numerical analysis of the stochastic model however it is well known that this indirect approach may not properly characterise the nature of the stochastic model this paper aims to tackle this issue by developing a direct and analytical approach to the analysis of a stochastic model of speculative price dynamics involving two types of agents fundamentalists and chartists and the market price equilibria of which can be characterised by the stationary measures of a stochastic dynamical system using the stochastic method of averaging and stochastic bifurcation theory we show that the stochastic model displays behaviour consistent with that of the underlying deterministic model when the time lag in the formation of price trends used by the chartists is far away from zero however when this lag approaches zero such consistency breaks down

can a stochastic cusp catastrophe model explain stock market crashes this paper is the first attempt to fit a stochastic cusp catastrophe model to stock market data we show that the cusp catastrophe model explains the crash of stock exchanges much better than other models using the data of u s stock markets we demonstrate that the crash of october 19 1987 may be better explained by cusp catastrophe theory which is not true for the crash of september 11 2001 with the help of sentiment measures such as the index put call options ratio and trading volume the former models the chartists the latter the fundamentalists we have found that the 1987 returns are bimodal and the cusp catastrophe model fits these data better than alternative models therefore we may say that the crash has been led by internal forces however the causes for the crash of 2001 are external which is also evident in much weaker presence of bifurcations in the data in this case alternative models explain the crash of stock exchanges better than the cusp catastrophe model

inequality in co2 emissions across countries and its relationship with income inequality a distributive approach this paper analyses the inequality in co2 emissions across countries and groups of countries and the relationship of this inequality with income inequality across countries for the period 1971 1999 the research employs the tools that are usually applied in income distribution analysis the methodology used here gives qualitative and quantitative information on some of the features of the inequalities across countries that are considered most relevant for the design and discussion of policies aimed at mitigating climate change the paper studies the relationship between co2 emissions and gdp and shows that income inequality across countries has been followed by an important inequality in the distribution of emissions this inequality has diminished mildly although the inequality in emissions across countries ordered in the increasing value of income inequality between rich and poor countries has diminished less than the simple inequality in emissions lastly the paper shows that the inequality in co2 emissions is mostly explained by the inequality between groups with different per capita income level the importance of the inequality within groups of similar per capita income is much lower and has diminished during the period especially in the low middle income group

the bull and bear market model of huang and day some extensions and new results abstract we develop a financial market model with interacting chartists and fundamentalists that embeds the famous bull and bear market model of huang and day as a special case their model is given by a one dimensional continuous piecewise linear map our model on the other hand is more flexible and is represented by a one dimensional discontinuous piecewise linear map nevertheless we are able to provide a more or less complete analytical treatment of the model dynamics by characterizing its possible outcomes in parameter space in addition we show that quite different scenarios can trigger real world phenomena such as bull and bear market dynamics and excess volatility

estimates of trends in global income and resource inequalities it is often argued that the inequality in the world is increasing we study the global income and resource inequality between 1960 and late 1990s income is measured in gdp capita in terms of both current market exchange rate and purchasing power parity ppp consumption of paper energy electricity food animal food as well as emissions of carbon dioxide is also studied changes in the absolute and relative gap between the top and bottom 20 consumers as well as the atkinson measure are used as inequality indicators some remarks are made on how to compare income across countries and how inequality should be measured we find that the inequality in terms of gdp capita measured in ppp terms is rather stable in relative terms but increasing in absolute terms we conclude that inequality as measured by the atkinson index is decreasing for all resources but that the gap in resource consumption in absolute terms is increasing for paper and electricity consumption

the expectations hypothesis new hope or illusory support abstract recent studies of the expectations hypothesis of the term structure ehts find evidence in favor of the ehts using post 1980s us data this has been attributed to the relative macro stability of this period and greater market efficiency using a panel of forecasts for 3 month interest rates for ten countries we test separately for ehts and rational expectations assuming rational expectations holds we find support for the ehts is illusory due to an off setting time varying term premia and non rational expectations previous forecast based studies suggest biased expectations tend to reinforce the effect of a time varying term premium this change can be understood in the context of fama s 2006 argument that markets tend to underestimate future spot rates during periods of long run increases and overestimate during declines

heterogeneous expectations and speculative behavior in a dynamic multi asset framework abstract this paper develops a dynamic model of a financial market where heterogeneous agents invest among multiple risky assets and a risk free asset under a market maker scenario particular attention is paid to the case of two risky assets and two agent types fundamentalists and trend chasers whose beliefs on both first and second moments of the conditional distribution of returns are based on past observations conditions for the stability of the fundamental equilibrium are established and the effect of the correlation between the risky assets is examined it turns out that investors anticipated correlation and dynamic portfolio diversification do not always have a stabilizing role but rather may act as a source of complexity in the financial market

speculative behavior and the dynamics of interacting stock markets abstract we develop a simple agent based financial market model in which heterogeneous speculators apply technical and fundamental analysis to trade in two different stock markets speculators strategy market selections are repeated at each time step and depend on predisposition effects herding behavior and market circumstances simulations reveal that our model is able to explain a number of nontrivial statistical properties of and between international stock markets including bubbles and crashes fat tailed return distributions volatility clustering persistent trading volume coevolving stock prices and cross correlated volatilities against this background our model may be deemed to have been validated

rational expectations econometric analysis of changes in regime an investigation of the term structure of interest rates abstract this paper is of interest both for its methodological contribution of new tools for analyzing rational expectations models and for its substantive conclusions concerning the term structure of interest rates during the monetary experiment of october 1979 the paper studies systems subject to changes in regime interpreted here as occasional discrete shifts in the parameters governing the time series behavior of exogenous economic variables the specification is shown to be quite tractable both theoretically and empirically the technique is used to analyze yields on three month treasury bills and ten year treasury bonds during 1962 to 1987 a constant parameter linear model for short term rates is shown to be inconsistent both with the univariate time series properties of short rates and with the observed bivariate relation between long and short rates under the expectations hypothesis of the term structure an alternative nonlinear model that admits the possibility of changes in regime affords a much better description of the univariate process for short rates moreover the cross equation restrictions implied by the expectations hypothesis of the term structure are consistent with the nonlinear specification indeed the residuals of the restricted relation have a standard error of only 0 8 basis points this is a third less than that of a completely unrestricted linear regression of long rates on short rates and compares with an unconditional standard deviation of long rates of 142 basis points i conclude that once the recognition by bond traders of changes in regime is taken into account the expectations hypothesis of the term structure of interest rates holds up fairly well for these data

stochastic volatility in a macro finance model of the u s term structure of interest rates 1961 2004 this paper generalizes the standard homoscedastic macro finance model by allowing for stochastic volatility using the square root specification of the mainstream finance literature empirically this specification dominates the standard model because it is consistent with the square root volatility found in macroeconomic time series thus it establishes an important connection between the stochastic volatility of the mainstream finance model and macro economic volatility of the okun friedman type this research opens the way to a richer specification of both macro economic and term structure models incorporating the best features of both macro finance and mainstream finance models

expectation puzzles time varying risk premia and dynamic models of the term structure abstract linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional expectations theory this paper shows that these findings are not puzzling relative to a large class of richer dynamic term structure models specifically we match all the key empirical findings reported by fama and bliss 1987 american economic review 77 4 680 692 and campbell and shiller 1991 review of economic studies 58 495 514 among others within large subclasses of affine and quadratic gaussian term structure models additionally we show that certain risk premium adjusted projections of changes in yields on the slope of the yield curve recover the coefficients of unity predicted by the models key to this matching are parameterizations of the market prices of risk that let the risk factors affect the market prices of risk directly and not only through factor volatilities the risk premiums have a simple form consistent with fama s findings on the predictability of forward rates and are also shown to be consistent with interest rate feedback rules used by a monetary authority in setting monetary policy

explanatory factors of co2 per capita emission inequality in the european union the design of european mitigation policies requires a detailed examination of the factors explaining the unequal emissions in the different countries this research analyzes the evolution of inequality in co2 emissions per capita in the european union eu 27 in the period 1990 2009 and its explanatory factors for this purpose we decompose the theil index of inequality into the contributions of the different kaya factors the decomposition is also applied to the inequality between and within groups of countries north europe south europe and east europe the analysis shows an important reduction in inequality to a large extent due to the smaller differences between groups and because of the lower contribution of the energy intensity factor the importance of the gdp per capita factor increases and becomes the main explanatory factor however within the different groups of countries the carbonization index appears to be the most relevant factor in explaining inequalities the policy implications of the results are discussed

can a stochastic cusp catastrophe model explain housing market crashes abstract like stock market prices housing prices often exhibit temporary booms and busts a possible explanation for the observed abrupt changes is offered by the stochastic catastrophe model this paper addresses the question whether the catastrophe model can describe and predict the dynamics of housing markets we fit a stochastic cusp catastrophe model to empirical housing market data for six oecd countries us jp uk nl se and be two different estimation approaches are considered cobb s method and euler discretization the analysis shows that while cobb s approach describes the long run stationary density better euler discretization is more tailored for time series as it provides better one step ahead predictions proceeding using the euler discretization method we discuss the dynamics of housing markets in terms of the multiple equilibria cusp catastrophe model by considering the long term interest rate as an exogenous variable we obtain new insights into the policy implications of interest rate levels in particular concerning the stability of housing markets

revisiting the expectations hypothesis of the term structure of interest rates the expectations hypothesis of the term structure has been decisively rejected in a large empirical literature that spans several decades in this paper using a newly constructed dataset of synthetic zero coupon bond yields we show that evidence against the expectations hypothesis is substantially weaker in data generated after the widespread publicity of its failure these results are consistent with the idea that asset pricing anomalies tend to disappear once they are widely recognized

monetary policy regimes implications for the yield curve and bond pricing abstract we develop a multivariate dynamic term structure model which takes into account the nonlinear time varying relation between interest rates and the state of the economy in contrast to the classical term structure literature in which nonlinearities are captured by increasing the number of latent state variables or by latent regime shifts in our no arbitrage framework the regimes are governed by thresholds and are directly linked to economic fundamentals specifically starting from a simple monetary policy model for the short rate we introduce a parsimonious and tractable model for the yield curve which takes into account the possibility of regime shifts in the behavior of the federal reserve in our empirical analysis we show the merit of our approach three dimensions interpretable bond dynamics accurate short end yield curve pricing and yield curve implications

the gini coefficient structure and its application for the evaluation of regional balance development in china abstract the evaluation of balanced regional development should consider not only the economic and ecological benefits but also regional differences a nongrouped gini index is constructed based on a continuous distribution function to evaluate the regionally balanced development of the economy and the environment and the applicability of the method is analyzed given the data characteristics combining the difference in the regional economic base and ecological carrying capacity a multigroup overall gini index mgo gini with regional spatial heterogeneity is further developed along with its decomposition structure this work evaluates and analyses the regional balance in china s development with regard to regional industrial output energy consumption and pollution emissions from 2000 to 2015 using both the nongrouped and the mgo gini the results show that the gini index constructed in this paper can be well adapted to fat tailed data which is a typical feature of china s regional economic and ecological benefits data the regionally balanced development of china does not obviously promote industrial output whereas the regional balance of energy consumption shows the same upward trend when evaluated with both the nongrouped and the mgo gini from 2000 to 2015 in recent years after a period of improvement the regional balance of pollution emissions has experienced a downward trend there is disparity in cleaner production efficiency between regions of china as well as an upward trend in this disparity in recent years china s interregional balance has been enhanced in terms of energy consumption and pollution emissions considering regional spatial heterogeneity whereas the balance of economic output has been further reduced the balance in regional energy consumption plays a supporting role in balanced development among regions the imbalance within developed areas is the main source of regional economic output and energy consumption imbalances and the imbalance in developing areas is the main source of the regional pollution imbalance in china

the price dynamics of common trading strategies a deterministic trading strategy can be regarded as a signal processing element that uses external information and past prices as inputs and incorporates them into future prices this paper uses a market maker based method of price formation to study the price dynamics induced by several commonly used financial trading strategies showing how they amplify noise induce structure in prices and cause phenomena such as excess and clustered volatility

analysis of the international distribution of per capita co2 emissions using the polarization concept abstract the concept of polarization is linked to the extent that a given distribution leads to the formation of homogeneous groups with opposing interests this concept which is basically different from the traditional one of inequality is related to the level of inherent potential conflict in a distribution the polarization approach has been widely applied in the analysis of income distribution the extension of this approach to the analysis of international distribution of co 2 emissions is quite useful as it gives a potent informative instrument for characterizing the state and evolution of the international distribution of emissions and its possible political consequences in terms of tensions and the probability of achieving agreements in this paper we analyze the international distribution of per capita co 2 emissions between 1971 and 2001 through the adaptation of the polarization concept and measures we find that the most interesting grouped description deriving from the analysis is a two groups one which broadly coincide with annex b and non annex b countries of the kyoto protocol which shows the power of polarization analysis for explaining the generation of groups in the real world the analysis also shows a significant reduction in international polarization in per capita co 2 emissions between 1971 and 1995 but not much change since 1995 which might indicate that polarized distribution of emission is still one of the important factors leading to difficulties in achieving agreements for reducing global emissions

cross country polarisation in co2 emissions per capita in the european union changes and explanatory factors we analyse the degree of polarisation in the international distribution of co2 emissions per capita in the european union it is analytically relevant to examine the degree of instability inherent to a distribution and in the analysed case the likelihood that the distribution and its evolution will increase or decrease the chances of reaching an agreement on climate policy two approaches were used to measure polarisation the endogenous approach in which countries are grouped according to their similarity in terms of emissions and the exogenous approach in which countries are grouped geographically our findings indicate a clear decrease in polarisation since the mid 1990s which can essentially be explained by the fact that the different groups have converged i e antagonism among the co2 emitters has decreased as the contribution of energy intensity to between group differences has decreased this lower degree of polarisation in co2 distribution suggests a situation more conducive to the possibility of reaching eu wide agreements on the mitigation of co2 emissions

financial crises and interacting heterogeneous agents in this paper we examine various types of financial crises and conjecture their underlying mechanisms using a deterministic heterogeneous agent model ham in a market maker framework forward looking investors update their price expectations according to psychological trading windows and cluster themselves strategically to optimize their expected profits the switches between trading strategies lead to price dynamics in market that subsequently move price up and down and in the extreme case cause financial crises the model suggests that both fundamentalists and chartists could potentially contribute to the financial crises