Financial Lie groups

Carfì, David (2011): Financial Lie groups.

Abstract

In this paper we see the evolution of a capitalized financial event e, with respect to a capitalization factor f, as the exponential map of a suitably defined Lie group G(f,e), supported by the half-space of capitalized financial events having the same sign of e. The Lie group G(f,e) depends on the capitalization factor f and on the event e itself. After the extension of the definition of exponential map of a Lie group, we shall eliminate the dependence on the financial event e, recognizing the presence of essentially one unique financial Lie semigroup, supported by the entire space of capitalized financial events, determined by the capitalization factor f.

• Item Type: MPRA Paper
• Language: English
• Keywords: Financial evolutions; Lie groups; exponential map; capitalization; financial event
• Subjects: F - International Economics > F3 - International Finance > F37 - International Finance Forecasting and Simulation: Models and Applications; D - Microeconomics > D1 - Household Behavior and Family Economics > D14 - Household Saving; Personal Finance; G - Financial Economics > G2 - Financial Institutions and Services > G21 - Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages

References

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