IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/46231.html
   My bibliography  Save this paper

Estimating investors' behavior and errorsin probabilistic forecasts by the Kolmogorov entropy and noise colors of multifractal attractors

Author

Listed:
  • Dominique, C-Rene

Abstract

This paper investigates the impact of the Kolmogorov-Sinai entropy on both the accuracy of probabilistic forecasts and the sluggishness of economic growth. It first posits the Gaussian process Zt (indexed by the Hurst exponent H) as the output of a reflexive dynamic input/output system governed by some type of attractor. It next indexes families of attractors by the Hausdorff measure (D0) and assesses the uncertainty level plaguing probabilistic forecast in each family. The D0 signature of attractors is next applied to the S&P-500 Index The result allows the construction of the dynamic history of the index and establishes robust links between the Hausdorff dimension, investors’ behavior, and economic growth

Suggested Citation

  • Dominique, C-Rene, 2013. "Estimating investors' behavior and errorsin probabilistic forecasts by the Kolmogorov entropy and noise colors of multifractal attractors," MPRA Paper 46231, University Library of Munich, Germany, revised 16 Apr 2013.
  • Handle: RePEc:pra:mprapa:46231
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/46231/1/MPRA_paper_46231.pdf
    File Function: original version
    Download Restriction: no

    References listed on IDEAS

    as
    1. Dominique, C-Rene & Rivera-Solis, Luis Eduardo, 2012. "Short-term Dependence in Time Series as an Index of Complexity: Example from the S&P-500 Index," MPRA Paper 41408, University Library of Munich, Germany.
    2. Dominique, C-Rene & Rivera-Solis, Luis Eduardo, 2012. "The dynamics of market share’s growth and competition in quadratic mappings," MPRA Paper 43652, University Library of Munich, Germany.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Stochastic processes; Housdorff dimension; forecasts; entrupy; attractors (strange; complex; low dimensional; chaotic); investors’ behavior; economic growth.;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:46231. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.