Computing sunspot solutions to rational expectations models with timing restrictions

2020 ◽  
Vol 20 (2) ◽  
Author(s):  
Marco M. Sorge
Keyword(s):  
Rational Expectations ◽  
Sufficient Conditions ◽  
Decision Makers ◽  
Full Information ◽  
Exogenous Shocks ◽  
Information Sets ◽  
Path Stability ◽  
Equilibrium Indeterminacy ◽  
Necessary And Sufficient ◽  
Infinite Set

AbstractRational expectations (RE) frameworks featuring informational constraints are becoming increasingly popular in macroeconomic research. A recent strand of literature has explored the analytics of RE models with informational subperiods, in which the occurrence of exogenous shocks is period-specific and decision makers condition their own choices and expectations upon a sequence of nested information sets (timing restrictions). Assuming the unrestricted (full information) RE model satisfies saddle-path stability, this paper provides (i) necessary and sufficient conditions for existence of an uncountably infinite set of linearly perturbed solutions to its restricted (informationally constrained) counterpart, and (ii) an algorithm for computing the full set of sunspot solutions when equilibrium indeterminacy occurs.

Further Results on the Analysis of Factorial Experiments

1980 ◽  
Vol 29 (1-2) ◽  
pp. 1-26 ◽  
Author(s):  
Rahul Mukerjee
Keyword(s):  
Sufficient Conditions ◽  
Necessary And Sufficient Conditions ◽  
Sums Of Squares ◽  
Full Information ◽  
Factorial Experiments ◽  
Necessary And Sufficient

The concepts of intcr-effect-orthogonality and regularity in factorial experiments as introduced by Mukerjee (1979) have been generalised to the concepts of inter-effect-orthogonality and regularity of order t. and corresponding necessary and sufficient conditions have been given. The problems of balancing, retaining full information and calculation of sums of squares have also been considered.

scholarly journals PROBLEMS OF AXIOM APPLICATION OF AGENTS BELONGING TO MULTIPLE MULTIAGENT SYSTEMS IN RESEARCH OF ORGANIZATIONAL AND ORGANIZATIONALTECHNICAL SYSTEMS FUNCTIONING

2018 ◽  
pp. 56-63 ◽  
Author(s):  
M. Yu Babich
Keyword(s):  
Sufficient Conditions ◽  
Decision Makers ◽  
System Level ◽  
General Criterion ◽  
Multi Agent Systems ◽  
Rational Agents ◽  
Multi Agent ◽  
Definition Of ◽  
Necessary And Sufficient ◽  
Soft Management

The problems of functioning of organizational and organizational‑technical systems, which are proposed to be supposed as multi‑agent systems, are considered. One of the important subsystems is a control subsystem that performs soft management of rational agents that are locates simultaneously in the contour of several systems with different performance objectives. This property of agents is described by the presented axioms. Three levels of studied objects are distinguished: the level of the agent, the level of systems and the level of supersystems. The necessary and sufficient conditions under which the agent’s systems can exert significant influence on each other are analyzed. At the agent level, decision makers are considered, that is, agents belonging to the management subsystem that function in the real and virtual systems. It is shown that the goals of the virtual and real systems may not coincide. For the system level, statements are made about the use of system resources in the process of agent’s functioning, the definition of acceptable algorithms for achieving the goal is formulated and their properties, in which achieved two non‑coinciding goals are analyzed. The general algorithm of agent’s activity in relation to the system and the system in relation to agents is given. The criterion of the possible achievement of the goal for systems is given. At the level of supersystems, statements are given that are consequences of the assertions given at the system level, as well as a general criterion for achieving the goal for supersystems.

scholarly journals Optimal contracts in continuous-time models

2006 ◽  
Vol 2006 ◽  
pp. 1-27 ◽  
Author(s):  
Jakša Cvitanić ◽  
Xuhu Wan ◽  
Jianfeng Zhang
Keyword(s):  
Continuous Time ◽  
Sufficient Conditions ◽  
Optimal Contract ◽  
Full Information ◽  
Unified Approach ◽  
Optimal Contracts ◽  
Underlying Process ◽  
Portfolio Managers ◽  
The Difference ◽  
Necessary And Sufficient

We present a unified approach to solving contracting problems with full information in models driven by Brownian motion. We apply the stochastic maximum principle to give necessary and sufficient conditions for contracts that implement the so-called first-best solution. The optimal contract is proportional to the difference between the underlying process controlled by the agent and a stochastic, state-contingent benchmark. Our methodology covers a number of frameworks considered in the existing literature. The main finance applications of this theory are optimal compensation of company executives and of portfolio managers.

scholarly journals Group closures of one-to-one transformations

2001 ◽  
Vol 64 (2) ◽  
pp. 177-188 ◽  
Author(s):  
Inessa Levi
Keyword(s):  
Normal Subgroup ◽  
Symmetric Group ◽  
Permutation Group ◽  
Sufficient Conditions ◽  
Necessary And Sufficient Conditions ◽  
Alternating Group ◽  
One To One ◽  
Necessary And Sufficient ◽  
Infinite Set

For a semigroup S of transformations of an infinite set X let Gs be the group of all the permutations of X that preserve S under conjugation. Fix a permutation group H on X and a transformation f of X, and let 〈f: H〉 = 〈{hfh−1: h ∈ H}〉 be the H-closure of f. We find necessary and sufficient conditions on a one-to-one transformation f and a normal subgroup H of the symmetric group on X to satisfy G〈f:H〉 = H. We also show that if S is a semigroup of one-to-one transformations of X and GS contains the alternating group on X then Aut(S) = Inn(S) ≅ GS.

scholarly journals On properties of group closures of one-to-one transformations

2005 ◽  
Vol 79 (2) ◽  
pp. 213-229
Author(s):  
Inessa Levi
Keyword(s):  
Congruence Lattice ◽  
Sufficient Conditions ◽  
Distinct Group ◽  
Normal Subgroups ◽  
Free Semigroups ◽  
One To One ◽  
A Chain ◽  
Necessary And Sufficient ◽  
Infinite Set ◽  
Left Simple

AbstractFor a permutation group H on an infinite set X and a transformation f of X, let 〈f: H〉 = 〈{hfh-1:h є; H}〉 be a group closure of f. We find necessary and sufficient conditions for distinct normal subgroups of the symmetric group on X and a one-to-one transformation f of X to generate distinct group closures of f. Amongst these group closures we characterize those that are left simple, left cancellative, idempotent-free semigroups, whose congruence lattice forms a chain and whose congruences are preserved under automorphisms.

Necessary and Sufficient Conditions for the Occurrence of Bisecting Bifurcations in the General 2D Piecewise-Linear Mapping

2017 ◽  
Vol 27 (05) ◽  
pp. 1750079
Author(s):  
Hannachi Fareh ◽  
Zeraoulia Elhadj
Keyword(s):  
Periodic Orbits ◽  
Piecewise Linear ◽  
Sufficient Conditions ◽  
Linear Mapping ◽  
Necessary And Sufficient Conditions ◽  
Stable Periodic ◽  
Definition Of ◽  
Necessary And Sufficient ◽  
Infinite Set

In this work, we focus on the conditions for the occurrence of a special type of bifurcations in the general 2D piecewise-linear mapping called bisecting bifurcations. This kind of bifurcation is mediated by an infinite set of neutrally stable periodic orbits, i.e. cycles with multiplier unity. We used the definition of the rank of both coefficient and augmented matrices based on minors to find the necessary and sufficient conditions in which the bisecting bifurcation occurs.

Abnormal Profit Opportunities and the Informational Advantage of High Frequency Trading

2013 ◽  
Vol 03 (02) ◽  
pp. 1350012 ◽  
Author(s):  
Robert Jarrow ◽  
Hao Li
Keyword(s):  
High Frequency ◽  
Sufficient Conditions ◽  
Abnormal Returns ◽  
Future Price ◽  
Short Term ◽  
Price Momentum ◽  
Trading Profits ◽  
Information Sets ◽  
Necessary And Sufficient ◽  
Competitive Economy

In a frictionless and competitive economy, where high frequency (HF) traders possess no market power, this paper characterizes necessary and sufficient conditions on the price process and information sets for HF traders to earn abnormal trading profits. Two sufficient conditions shown to generate abnormal returns are that HF trading enables the observation of short-term price momentum/reversals, not otherwise visible, or it enables the observation of signals correlated to future price movements. The welfare considerations of the existence of such abnormal trading profits are also discussed.

scholarly journals Best Diophantine approximations to a set of linear forms

1983 ◽  
Vol 34 (1) ◽  
pp. 114-122 ◽  
Author(s):  
J. C. Lagarias
Keyword(s):  
Diophantine Approximation ◽  
Linear Form ◽  
Best Approximation ◽  
Sufficient Conditions ◽  
Necessary And Sufficient Conditions ◽  
Linear Forms ◽  
Simultaneous Diophantine Approximation ◽  
Diophantine Approximations ◽  
Necessary And Sufficient ◽  
Infinite Set

AbstractWe define the notion of a best Diophantine approximation vector to a set of linear forms. This generalizes definitions of a best approximation vector to a single linear form and of a best simultaneous Diophantine approximation vector. We derive necessary and sufficient conditions for the existence of an infinite set of best Diophantine approximation vectors. Finally, we prove that such approximation vectors are spaced far apart in an appropriate sense.

Coalition Termination and the Strategic Timing of Parliamentary Elections

1995 ◽  
Vol 89 (3) ◽  
pp. 648-665 ◽  
Author(s):  
Arthur Lupia ◽  
Kaare Strøm
Keyword(s):  
Sufficient Conditions ◽  
Electoral Institutions ◽  
Parliamentary Elections ◽  
Party Leaders ◽  
Political Consequences ◽  
Parliamentary Democracies ◽  
Exogenous Shocks ◽  
Necessary And Sufficient ◽  
Coalition Bargaining ◽  
At Will

Cabinet coalitions in multiparty parliamentary democracies lead a precarious existence. Legislative majorities can typically dismiss the cabinet at will and can sometimes force early elections through parliamentary dissolution. Since coalition termination can have substantial political consequences, it is important to understand when and why such decisions are made. To this end, we develop a model of coalition bargaining in a legislature with dismissal and dissolution powers. We use the model to identify necessary and sufficient conditions for both coalition termination and parliamentary dissolution. In contrast to several widely held maxims, we find that coalition terminations need not be the automatic consequence of exogenous shocks. Nor do opportunistic parties with favorable electoral prospects always dissolve parliament to enhance their power. Instead, decisions to terminate coalitions or call new elections result from party leaders' rational responses to the constraints of legislative and electoral institutions and the anticipated feelings of the electorate.

The extinction time of a general birth and death process with catastrophes

1986 ◽  
Vol 23 (04) ◽  
pp. 851-858 ◽  
Author(s):  
P. J. Brockwell
Keyword(s):  
Laplace Transform ◽  
Size Distribution ◽  
Sufficient Conditions ◽  
Necessary And Sufficient Conditions ◽  
Death Process ◽  
Extinction Time ◽  
Birth And Death Process ◽  
Different Types ◽  
The Laplace Transform ◽  
Necessary And Sufficient

The Laplace transform of the extinction time is determined for a general birth and death process with arbitrary catastrophe rate and catastrophe size distribution. It is assumed only that the birth rates satisfyλ0= 0,λj> 0 for eachj> 0, and. Necessary and sufficient conditions for certain extinction of the population are derived. The results are applied to the linear birth and death process (λj=jλ, µj=jμ) with catastrophes of several different types.

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