5 resultados para implied volatility function models

em Universidad de Alicante


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This article uses data from the social survey Allbus 1998 to introduce a method of forecasting elections in a context of electoral volatility. The approach models the processes of change in electoral behaviour, exploring patterns in order to model the volatility expressed by voters. The forecast is based on the matrix of transition probabilities, following the logic of Markov chains. The power of the matrix, and the use of the mover-stayer model, is debated for alternative forecasts. As an example of high volatility, the model uses data from the German general election of 1998. The unification of two German states in 1990 caused the incorporation of around 15 million new voters from East Germany who had limited familiarity and no direct experience of the political culture in West Germany. Under these circumstances, voters were expected to show high volatility.

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13th Mediterranean Congress of Chemical Engineering (Sociedad Española de Química Industrial e Ingeniería Química, Fira Barcelona, Expoquimia), Barcelona, September 30-October 3, 2014

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ESAT 2014. 27th European Symposium on Applied Thermodynamics, Eindhoven University of Technology, July 6-9, 2014.

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In an open system, each disequilibrium causes a force. Each force causes a flow process, these being represented by a flow variable formally written as an equation called flow equation, and if each flow tends to equilibrate the system, these equations mathematically represent the tendency to that equilibrium. In this paper, the authors, based on the concepts of forces and conjugated fluxes and dissipation function developed by Onsager and Prigogine, they expose the following hypothesis: Is replaced in Prigogine’s Theorem the flow by its equation or by a flow orbital considering conjugate force as a gradient. This allows to obtain a dissipation function for each flow equation and a function of orbital dissipation.

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In this paper, the authors extend and generalize the methodology based on the dynamics of systems with the use of differential equations as equations of state, allowing that first order transformed functions not only apply to the primitive or original variables, but also doing so to more complex expressions derived from them, and extending the rules that determine the generation of transformed superior to zero order (variable or primitive). Also, it is demonstrated that for all models of complex reality, there exists a complex model from the syntactic and semantic point of view. The theory is exemplified with a concrete model: MARIOLA model.