Dominique, CRene (2013): Estimating investors' behavior and errors in probabilistic forecasts by the Kolmogorov entropy and noise colors of nonhyperbolic attractors.

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Abstract
This paper investigates the impact of the KolmogorovSinai 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 nonhyperbolic 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&P500 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
Item Type:  MPRA Paper 

Original Title:  Estimating investors' behavior and errors in probabilistic forecasts by the Kolmogorov entropy and noise colors of nonhyperbolic attractors 
Language:  English 
Keywords:  Stochastic processes, Hausdorff dimension, forecasts, entrupy, attractors (strange, complex, low dimensional, chaotic), investors’ behavior, economic growth 
Subjects:  C  Mathematical and Quantitative Methods > C8  Data Collection and Data Estimation Methodology ; Computer Programs G  Financial Economics > G1  General Financial Markets G  Financial Economics > G1  General Financial Markets > G11  Portfolio Choice ; Investment Decisions G  Financial Economics > G3  Corporate Finance and Governance 
Item ID:  46451 
Depositing User:  CRene Dominique 
Date Deposited:  22 Apr 2013 15:19 
Last Modified:  02 Oct 2019 22:13 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/46451 