STABILITY ANALYSIS WITH APPLICATIONS OF A TWO-DIMENSIONAL DYNAMICAL SYSTEM ARISING FROM A STOCHASTIC MODEL FOR AN ASSET MARKET

We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of the system is grounded upon a heterogeneous interacting agent model for a single risky asset market. An advantage of this construction procedure is that the resulting dynamical system becomes a macroscopic market model which mirrors the market quantities and qualities that would typically be taken into account solely at the microscopic level of modeling. The system`s parameters correspond to: (a) the proportion of speculators in a market; (b) the traders` speculative trend; (c) the degree of heterogeneity of idiosyncratic evaluations of the market agents with respect to the asset`s fundamental value; and (d) the strength of the feedback of the population excess demand on the asset price update increment. This correspondence allows us to employ our results in order to infer plausible causes for the emergence of price and demand fluctuations in a real asset market. The employment of dynamical systems for studying evolution of stochastic models of socio-economic phenomena is quite usual in the area of heterogeneous interacting agent models. However, in the vast majority of the cases present in the literature, these dynamical systems are one-dimensional. Our work is among the few in the area that construct and study analytically a two-dimensional dynamical system and apply it for explanation of socio-economic phenomena.

Systematic risk estimation in symmetric models

The aim of this article is to discuss the estimation of the systematic risk in capital asset pricing models with heavy-tailed error distributions to explain the asset returns. Diagnostic methods for assessing departures from the model assumptions as well as the influence of observations on the parameter estimates are also presented. It may be shown that outlying observations are down weighted in the maximum likelihood equations of linear models with heavy-tailed error distributions, such as Student-t, power exponential, logistic II, so on. This robustness aspect may also be extended to influential observations. An application in which the systematic risk estimate of Microsoft is compared under normal and heavy-tailed errors is presented for illustration.

Dielectric Dispersion of Water in the Frequency Range from 10 mHz to 30 MHz

We investigate the dielectric dispersion of water, specially in the low-frequency range, by using the impedance spectroscopy technique. The frequency dependencies of the real R and imaginary Z parts of the impedance Could not be explained by means of the Usual description of the dielectric properties of the water as all insulating liquid containing ions. This is due to the incomplete knowledge of the parameters entering in the fundamental equations describing the evolution of the system, and oil the mechanisms regulating the exchange of charge of the cell with the external circuit. We propose a simple description of our experimental data based on the model of Debye, by invoking a dc conductivity of the cell, related to the nonblocking character of the electrodes. A discussion on the electric Circuits able to simulate the cell under investigation, based oil bulk and Surface elements, is also reported. We find that the simple circuit formed by a series of two parallels of resistance and capacitance is able to reproduce the experimental data concerning the real and imaginary part of the electrical impedance of the cell for frequency larger than 1 Hz. According to this description, one of the parallels takes into account the electrical properties of interface between the electrode and water, and the other of the bulk. For frequency lower than 1 Hz, a good agreement with the experimental data is obtained by simulating the electrical properties of the interface by means of the constant phase element.

MAGNETO-OPTICAL ABSORPTION AND PHOTOMAGNETISM IN EUROPIUM CHALCOGENIDES

The absorption threshold in EuTe and EuSe was investigated as a function of applied magnetic field in the Faraday geometry. A well-resolved doublet of sharp dichroic lines was observed when the magnetic field induced ferromagnetic alignment of the spins in the crystal lattice. In contrast, at zero magnetic field only a broad and featureless absorption onset is seen. These results are fully explained in terms of a model of electronic transitions between localized states at the Eu lattice site and a tight-binding conduction band, which incorporates the formation of spin domains. Based on this model, predictions are made concerning the possibility of inducing magnetization of the spin lattices by illuminating the material with circularly polarized light.