2014
Autores
Ferreira, H; Goncalves, R; Pinto, AA;
Publicação
Springer Proceedings in Mathematics and Statistics
Abstract
2009
Autores
Almeida, L; Cruz, J; Ferreira, H; Pinto, AA; Maroulis, G; Simos, TE;
Publicação
COMPUTATIONAL METHODS IN SCIENCE AND ENGINEERING, VOL 2: ADVANCES IN COMPUTATIONAL SCIENCE
Abstract
Game theory and Decision Theory have been applied to many different areas such as Physics, Economics, Biology, etc. In its application to Psychology, we introduce, in the literature, a Game Theoretical Model of Planned Behavior or Reasoned Action by establishing an analogy between two specific theories. In this study we take in account that individual decision-making is an outcome of a process where group decisions can determine individual probabilistic behavior. Using Game Theory concepts, we describe how intentions can be transformed in behavior and according to the Nash Equilibrium, this process will correspond to the best individual decision/response taking in account the collective response. This analysis can be extended to several examples based in the Game Theoretical Model of Planned Behavior or Reasoned Action.
2010
Autores
Goncalves, R; Ferreira, H; Stollenwerk, N; Pinto, AA;
Publicação
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Abstract
We compute the analytic expression of the probability distributions F(AEX,+) and F(AEX,-) of the normalized positive and negative AEX (Netherlands) index daily returns r(t). Furthermore, we define the alpha re-scaled AEX daily index positive returns r(t)(alpha) and negative returns (-r(t))(alpha), which we call, after normalization, the alpha positive fluctuations and alpha negative fluctuations. We use the Kolmogorov-Smirnov statistical test as a method to find the values of alpha that optimize the data collapse of the histogram of the alpha fluctuations with the Bramwell-Holdsworth-Pinton (BHP) probability density function. The optimal parameters that we found are alpha(+) = 0.46 and alpha(-) = 0.43. Since the BHP probability density function appears in several other dissimilar phenomena, our result reveals a universal feature of stock exchange markets.
2009
Autores
Goncalves, R; Ferreira, H; Pinto, A; Stollenwerk, N;
Publicação
JOURNAL OF DIFFERENCE EQUATIONS AND APPLICATIONS
Abstract
We exploit ideas of nonlinear dynamics and statistical physics in a complex nondeterministic dynamical setting using the Ruelle-Takens embedding. We present some new insights on the quality of the prediction in the laminar regime and we exhibit the data collapse of the predicted relative first difference fluctuations to the universal Bramwell-Hodsworth-Pinton distribution. Hence, the nearest neighbour method of prediction acts as a filter that does not eliminate the randomness, but exhibits its universal character.
2011
Autores
Goncalves, R; Ferreira, H; Pinto, AA;
Publicação
JOURNAL OF DIFFERENCE EQUATIONS AND APPLICATIONS
Abstract
We consider the alpha re-scaled Standard & Poor's 100 (SP100) daily index positive returns r(t)(alpha) and negative returns (-r(t))(alpha) that we call, after normalization, the alpha positive fluctuations and alpha negative fluctuations, respectively. We use the Kolmogorov-Smirnov statistical test as a method to find the values of alpha that optimize the data collapse of the histogram of the alpha fluctuations with the truncated Bramwell-Holdsworth-Pinton (BHP) probability density function (pdf) and the truncated generalized log-normal pdf f(LN) that best approximates the truncated BHP pdf. The optimal parameters we found are alpha(+)(BHP) = 0.52, alpha(-)(BHP) = 0.48, alpha(+)(LN) = 0.52 and alpha(-)(LN) = 0.50. Using the optimal alpha's, we compute analytical approximations of the probability distributions of the normalized positive and negative SP100 index daily returns r(t). Since the BHP pdf appears in several other dissimilar phenomena, our result reveals a universal feature of the stock exchange markets.
2011
Autores
Almeida, L; Cruz, J; Ferreira, H; Pinto, AA;
Publicação
Springer Proceedings in Mathematics
Abstract
The Theory of Planned Behavior studies the decision-making mechanisms of individuals. We construct a game theoretical model to understand the role of leaders in decision-making of individuals or groups.We study the characteristics of the leaders that can have a positive or negative influence over others’ behavioral decisions. © Springer-Verlag Berlin Heidelberg 2011.
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