Predicting returns and dividend growth - the role of non-Gaussian innovations

This paper describes the need for understanding the role of financial markets in successful product development in the global context. Agent-based models distinguish themselves by their ability to generate many real world phenomena endogenously, rather than as a result of ad-hoc assumptions. We report on a model of global financial markets employing the following agents: countries, firms, stock traders, country banks, and a global bank. These agents interact with goods, credit, currency, and stock markets. The model endogenously generated quantitative and qualitative features of real economies, including skewed firm sizes, skewed country GNP’s, skewed stock trader portfolio values, and heavy-tailed non-Gaussian firm growth rate, exchange rate fluctuation, and stock return distributions. Multiple runs were performed with different random number generator seeds to investigate the stability or instability of the economies grown by the model. Both stable and unstable country economies were detected. The multiple runs also verified conclusions drawn from analyzing individual runs showing how small countries could be buffeted by fluctuations in larger countries. Such a model can be used by product development organizations to understand the impacts of their product development decisions in the context of dynamic and unpredictable financial markets.

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Linear dynamic errors-in-variables models

Journal of Applied Probability ◽

10.1017/s002190020011695x ◽

1986 ◽

Vol 23 (A) ◽

pp. 23-39 ◽

Cited By ~ 1

Author(s):

M. Deistler

Keyword(s):

Dynamical Systems ◽

Transfer Functions ◽

Errors In Variables ◽

Linear Dynamical Systems ◽

Linear Dynamic ◽

Dynamic Errors ◽

Non Gaussian ◽

Inputs And Outputs

Linear dynamical systems where both inputs and outputs are contaminated by errors are considered. A characterization of the sets of all observationally equivalent transfer functions is given, the role of the causality assumption is investigated and conditions for identifiability in the case of Gaussian as well as non-Gaussian observations are derived.

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SMOOTH PROBABILITY MEASURES AND ASSOCIATED DIFFERENTIAL OPERATORS

Infinite Dimensional Analysis Quantum Probability and Related Topics ◽

10.1142/s0219025799000047 ◽

1999 ◽

Vol 02 (01) ◽

pp. 51-78 ◽

Cited By ~ 22

Author(s):

O. G. SMOLYANOV ◽

H. v. WEIZSÄCKER

Keyword(s):

Differential Operators ◽

Finite Dimensional ◽

Differentiable Measure ◽

Chaos Decomposition ◽

Gaussian Case ◽

Non Gaussian ◽

Associated Differential Operators ◽

Locally Convex ◽

Nonsmooth Mappings

We compare different notions of differentiability of a measure along a vector field on a locally convex space. We consider in the L2-space of a differentiable measure the analog of the classical concepts of gradient, divergence and Laplacian (which coincides with the Ornstein–Uhlenbeck operator in the Gaussian case). We use these operators for the extension of the basic results of Malliavin and Stroock on the smoothness of finite dimensional image measures under certain nonsmooth mappings to the case of non-Gaussian measures. The proof of this extension is quite straight forward and does not use any Chaos-decomposition. Finally, the role of this Laplacian in the procedure of quantization of anharmonic oscillators is discussed.

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The role of electron–phonon interaction and non-Gaussian transport in spectral changes of trapped electrons in glasses

Canadian Journal of Chemistry ◽

10.1139/v79-032 ◽

1979 ◽

Vol 57 (2) ◽

pp. 197-206 ◽

Cited By ~ 19

Author(s):

Koichi Funabashi ◽

William H. Hamill

Keyword(s):

Electron Phonon Interaction ◽

Transfer Processes ◽

Spectral Changes ◽

Radiative Transitions ◽

Electron Phonon Coupling ◽

Spectral Relaxation ◽

Non Gaussian ◽

Electron Transfer Processes ◽

Shallow Traps

The continuous-time-random-walk (CTRW) model which was developed for electron scavenging reactions in polar glasses is extended to the phenomenon of spectral relaxation of electrons in shallow traps et− in a wider range of systems. The central role of electron-phonon coupling in understanding the initial electron localization, the "pre-existing trap", and electron transfer processes are emphasized. The reactivity of et− with scavengers, including protons, is discussed in terms of the theory of multi-phonon non-radiative transitions.

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Non-Gaussian states produced by close-to-threshold optical parametric oscillators: Role of classical and quantum fluctuations

Physical Review A ◽

10.1103/physreva.81.033846 ◽

2010 ◽

Vol 81 (3) ◽

Cited By ~ 21

Author(s):

V. D’Auria ◽

C. de Lisio ◽

A. Porzio ◽

S. Solimeno ◽

Javaid Anwar ◽

...

Keyword(s):

Quantum Fluctuations ◽

Optical Parametric Oscillators ◽

Gaussian States ◽

Parametric Oscillators ◽

Optical Parametric ◽

Non Gaussian

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NON-GAUSSIAN NOISE-INDUCED COHERENCE RESONANCE OF CALCIUM OSCILLATIONS IN BIDIRECTIONALLY COUPLED CELLS

International Journal of Bifurcation and Chaos ◽

10.1142/s0218127410027994 ◽

2010 ◽

Vol 20 (11) ◽

pp. 3709-3715 ◽

Cited By ~ 2

Author(s):

YUBING GONG ◽

XIU LIN ◽

YINGHANG HAO ◽

XIAOGUANG MA

Keyword(s):

Gaussian Noise ◽

Calcium Oscillations ◽

Q Value ◽

Coherence Resonance ◽

Coupled Cells ◽

Non Gaussian ◽

Insight Into

We have studied the effect of a particular kind of non-Gaussian noise (NGN), mainly of its deviation q from Gaussian noise, on the intercellular calcium (Ca2+) oscillations in an array of bidirectionally coupled cells. It is found that as q is increased, the Ca2+ oscillation becomes the most regular at an intermediate optimal q value, representing the occurrence of coherence resonance (CR). This deviation-induced CR behavior shows that the intercellular Ca2+ oscillations of the coupled cells can be enhanced and even optimized by the appropriate NGN. This result provides a new insight into the constructive role of the NGN on the transmission of Ca2+ signaling in coupled cells.

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Extreme Events and the General Circulation: Observations and Stochastic Model Dynamics

Journal of the Atmospheric Sciences ◽

10.1175/2010jas3369.1 ◽

2010 ◽

Vol 67 (9) ◽

pp. 2785-2804 ◽

Cited By ~ 8

Author(s):

Philip Sura ◽

Maxime Perron

Keyword(s):

Stochastic Model ◽

Extreme Events ◽

Potential Vorticity ◽

General Circulation ◽

Storm Track ◽

Gaussian Potential ◽

Relative Potential ◽

Non Gaussian ◽

Potential Enstrophy

Abstract This study explores the dynamical role of non-Gaussian potential vorticity variability (extreme events) in the zonally averaged circulation of the atmosphere within a stochastic framework. First the zonally averaged skewness and kurtosis patterns of relative and potential vorticity anomalies from NCEP–NCAR reanalysis data are presented. In the troposphere, midlatitude regions of near-zero skewness coincide with regions of maximum variability. Equatorward of the Northern Hemisphere storm track positive relative/potential vorticity skewness is observed. Poleward of the same storm track the vorticity skewness is negative. In the Southern Hemisphere the relation is reversed, resulting in negative relative/potential vorticity skewness equatorward, and positive skewness poleward of the storm track. The dynamical role of extreme events in the zonally averaged general circulation is then explored in terms of the potential enstrophy budget by linking eddy enstrophy fluxes to a stochastic representation of non-Gaussian potential vorticity anomalies. The stochastic model assumes that potential vorticity anomalies are advected by a random velocity field. The assumption of stochastic advection allows for a closed expression of the meridional enstrophy flux: the potential enstrophy flux is proportional to the potential vorticity skewness. There is some evidence of this relationship in the observations. That is, potential enstrophy fluxes might be linked to non-Gaussian potential vorticity variability. Thus, extreme events may presumably play an important role in the potential enstrophy budget and the related general circulation of the atmosphere.

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The Role of Non-Gaussian Models of Diffusion Weighted MRI in Hepatocellular Carcinoma: A Systematic Review

Journal of Clinical Medicine ◽

10.3390/jcm10122641 ◽

2021 ◽

Vol 10 (12) ◽

pp. 2641

Author(s):

Liberatore Tramontano ◽

Carlo Cavaliere ◽

Marco Salvatore ◽

Valentina Brancato

Keyword(s):

Hepatocellular Carcinoma ◽

Systematic Review ◽

Current Knowledge ◽

Exponential Model ◽

Response To Treatment ◽

Diffusion Kurtosis Imaging ◽

Diffusion Weighted ◽

Non Gaussian ◽

Diffusion Kurtosis

The importance of Diffusion Weighted Imaging (DWI) in hepatocellular carcinoma (HCC) has been widely handled in the literature. Due to the mono-exponential model limitations, several studies recently investigated the role of non-Gaussian DWI models in HCC. However, their results are variable and inconsistent. Therefore, the aim of this systematic review is to summarize current knowledge on non-Gaussian DWI techniques in HCC. A systematic search of the literature, including PubMed, Google Scholar, MEDLINE, and ScienceDirect databases, was performed to identify original articles since 2010 that evaluated the role of non-Gaussian DWI models for HCC diagnosis, grading, response to treatment, and prognosis. Studies were grouped and summarized according to the non-Gaussian DWI models investigated. We focused on the most used non-Gaussian DWI models (Intravoxel Incoherent Motion (IVIM), Diffusion Kurtosis Imaging (DKI), and Stretched Exponential—SE). The quality of included studies was evaluated by using QUADAS-2 and QUIPS tools. Forty-three articles were included, with IVIM and DKI being the most investigated models. Although the role of non-Gaussian DWI models in clinical settings has not fully been established, our findings showed that their parameters may potentially play a role in HCC. Further studies are required to identify a standardized DWI acquisition protocol for HCC diagnosis, grading, response to treatment, and prognosis.

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