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Estimating investors' behavior and errors in probabilistic forecasts by the Kolmogorov entropy and noise colors of non-hyperbolic attractors

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  • 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 a non-hyperbolic 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 errors in probabilistic forecasts by the Kolmogorov entropy and noise colors of non-hyperbolic attractors," MPRA Paper 46451, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:46451
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    References listed on IDEAS

    as
    1. Michael P. Clements & Nick Taylor, 2003. "Evaluating interval forecasts of high-frequency financial data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 445-456.
    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.
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    More about this item

    Keywords

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

    JEL classification:

    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
    • G1 - Financial Economics - - General Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G3 - Financial Economics - - Corporate Finance and Governance

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