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Financial Lie groups

Author

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  • Carfì, David

Abstract

In this paper we see the evolution of a capitalized financial event e, with respect to a capitalization factor f, as the exponential map of a suitably defined Lie group G(f,e), supported by the half-space of capitalized financial events having the same sign of e. The Lie group G(f,e) depends on the capitalization factor f and on the event e itself. After the extension of the definition of exponential map of a Lie group, we shall eliminate the dependence on the financial event e, recognizing the presence of essentially one unique financial Lie semigroup, supported by the entire space of capitalized financial events, determined by the capitalization factor f.

Suggested Citation

  • Carfì, David, 2011. "Financial Lie groups," MPRA Paper 31303, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:31303
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    File URL: https://mpra.ub.uni-muenchen.de/31303/1/MPRA_paper_31303.pdf
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    References listed on IDEAS

    as
    1. Carfì, David, 2009. "Fibrations of financial events," MPRA Paper 31307, University Library of Munich, Germany.
    2. Carfì, David & Ricciardello, Angela & Agreste, Santa, 2011. "An Algorithm for payoff space in C1 parametric games," MPRA Paper 32099, University Library of Munich, Germany.
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    Cited by:

    1. Carfì, David & Fici, Caterina, 2012. "The government-taxpayer game," MPRA Paper 38506, University Library of Munich, Germany.

    More about this item

    Keywords

    Financial evolutions; Lie groups; exponential map; capitalization; financial event;

    JEL classification:

    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • D14 - Microeconomics - - Household Behavior - - - Household Saving; Personal Finance
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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