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Geometrization of Econophysics : An Alternative Approach for Measuring Elements of Risk Management of an Economic System

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  • M. E. Kahil

Abstract

The relationship between micro-structure and macro-structure of complex systems using information geometry has been dealt by several authors. From this perspective, we are going to apply it as a geometrical structure connecting both microeconomics and macroeconomics . The results lead us to introduce new modified quantities into both micro-macro economics that enable us to describe the link between them. The importance of such a scheme is to find out -with some accuracy- a new method can be introduced for examining the stability of an economic system. This type of requirement is expressed by examining the stability of the equations of path deviations for some economic systems as described in a statistical manifold. Such a geometization scheme of economic systems is an important step toward identifying risk management factors and so contributes to the growing literature of econophysics.

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  • M. E. Kahil, 2013. "Geometrization of Econophysics : An Alternative Approach for Measuring Elements of Risk Management of an Economic System," Papers 1310.2220, arXiv.org, revised Oct 2013.
  • Handle: RePEc:arx:papers:1310.2220
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    File URL: http://arxiv.org/pdf/1310.2220
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    References listed on IDEAS

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    1. Bowsher, Clive G., 2007. "Modelling security market events in continuous time: Intensity based, multivariate point process models," Journal of Econometrics, Elsevier, vol. 141(2), pages 876-912, December.
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    3. Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2008. "Relation between bid-ask spread, impact and volatility in order-driven markets," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 41-57.
    4. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
    5. E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2013. "Modelling microstructure noise with mutually exciting point processes," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 65-77, January.
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