Determining delay times for phase space reconstruction with application to the FF/DM exchange rate

Article Abstract:

Delay time is a key judgmental input that needs to be determined when using the Grassberger and Procaccia correlation integral to determine a nonlinear dynamical system's dimension. A simple nonparametric test (SNT) is used to determine the appropriate delay time for dimension estimation and reconstruction. When used to estimate the Lorenz attractor, the SNT proved relatively reliable. The method is used to reveal the French franc/German mark exchange rate's nonlinear structure.

Exchange Rates, Prices and rates, Foreign exchange, Foreign exchange rates

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Sargent versus Simon: bounded rationality unbound

Article Abstract:

Sargent's and Simon's different interests resulted in different interpretations of bounded rationality and artificial intelligence. Sargent was interested in the conceptual integrity of theory and method while, formal foundations of rationality and finding how people made decisions were the interests of Simon. Acknowledging these complexities would help us in obtaining a good perspective on the history of economic thought.

Analysis, Artificial intelligence, Rational expectations (Economics)

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Can book-to-market, size and momentum be risk factors that predict economic growth?

Article Abstract:

A new study investigates whether the profitability of small-minus-big, high-minus-low and winners-minus-losers are risk factors that predict gross domestic product growth.

Economic aspects, Gross domestic product

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