Macroeconomic Relaxation: Adjustment Processes of Hierarchical Economic Structures

References

Agarwal, G. S. (1972). Fluctation-Dissipation Theorems for Systems in Non-Thermal Equilibrium and Applications. Zeitschrift für Physik A, 252 (1): 25–38.Search in Google Scholar

Aoki, M. (1993). Hierarchical Method, Unit Root and Aggregation. unpublished note. UCLA, Los Angeles, CA.Search in Google Scholar

Aoki, M. (1994). Group Dynamics When Agents Have a Finite Number of Alternatives: Dynamics of a Macrovariable with Mean-Field Approximation. Working Paper 13. UCLA Center for Computable Economics, Los Angeles, CA.Search in Google Scholar

Aoki, M. (1996). New Approaches to Macroeconomic Modeling: Evolutionary Stochastic Dynamics, Multiple Equilibria, and Externalities as Field Effects. New York: Cambridge University Press.10.1017/CBO9780511664670Search in Google Scholar

Aoki, M. (2000). Modeling Aggregate Fluctuations in Economics: Stochastic Views of Interacting Agents. New York: Cambridge University Press.Search in Google Scholar

Aoki, M. and Yoshikawa, H. (2005). A New Model of Labor Dynamics: Ultrametrics, Okun’s Law, and Transient Dynamics. In Lux, T., Samanidou, E., and Reitz, S., editors, Nonlinear Dynamics and Heterogeneous Interacting Agents, Lecture Notes in Economics and Mathematical Systems. Berlin-Heidelberg: Springer.Search in Google Scholar

Aoki, M. and Yoshikawa, H. (2007). Reconstructing Macroeconomics: A Perspective from Statistical Physics and Combinatorial Stochastic Processes. Japan-U.S. Center UFJ Bank Monographs on International Financial Markets. New York: Cambridge University Press.Search in Google Scholar

Axtel, R. L. (2006). Multi-Agent Systems Macro: A Prospectus. In Colander (2006), pages 203–220.10.1017/CBO9780511617751.012Search in Google Scholar

Bachas, C. P. and Huberman, B. A. (1986). Complexity and the Relaxation of Hierarchical Structures. Physical Review Letters, 57 (16): 1965–1969.Search in Google Scholar

Bachas, C. P. and Huberman, B. A. (1987). Complexity and Ultradiffusion. Journal of Physics A, 20 (14): 4995–5014.Search in Google Scholar

Balakrishnan, V. (1978). General Linear Response Analysis of Anelasticity. Pramana - Journal of Physics, 11 (4): 379–388.Search in Google Scholar

Balakrishnan, V., Dattagupta, S., and Venkataraman, G. (1978). A Stochastic Theory of Anelastic Creep. Philosophical Magazine A, 37 (1): 65–84.Search in Google Scholar

Bernaschi, M., Grilli, L., and Vergni, D. (2002). Statistical Analysis of Fixed Income Market. Physica A, 308 (1-4): 381–390.Search in Google Scholar

Blumen, A., Klafter, J., and Zumofen, G. (1986). Relaxation Behaviour in Ultra-metric Spaces. Journal of Physics A, 19 (2): L77–L84.Search in Google Scholar

Blundell, R. and Stoker, T. M. (2005). Heterogeneity and Aggregation. Journal of Economic Literature, 43 (2): 347–391.Search in Google Scholar

Bonanno, G., Caldarelli, G., Lillo, F., and Mantegna, R. N. (2003). Topology of Correlation-Based Minimal Spanning Trees in Real and Model Markets. Physical Review E, 68 (4): 046130.Search in Google Scholar

Bonanno, G., Caldarelli, G., Lillo, F., Miccichè, S., Vandewalle, N., and Mantegna, R. N. (2004). Networks of Equities in Financial Markets. European Physical Journal B, 38 (2): 363–371.Search in Google Scholar

Bonanno, G., Lillo, F., and Mantegna, R. N. (2001). High-Frequency Cross-Correlation in a Set of Stocks. Quantitative Finance, 1 (1): 96–104.Search in Google Scholar

Bonanno, G., Vanderwalle, N., and Mantegna, R. N. (2000). Taxonomy of Stock Market Indices. Physical Review E, 62(6):R7615–R7618.Search in Google Scholar

Bouchaud, J.-P. (2008). Anomalous Relaxation in Complex Systems: From Stretched to Compressed Exponentials. In Klages, R., Radons, G., and Sokolov, I. M., editors, Anomalous Transport: Foundations and Applications, pages 327–345. Berlin: Wiley-VCH.Search in Google Scholar

Bouchaud, J.-P. and Potters, M. (2003). Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management. 2^nd edition. Cambridge: Cambridge University Press.10.1017/CBO9780511753893Search in Google Scholar

Colander, D., editor (2006). Post Walrasian Macroeconomics, New York: Cambridge University Press.10.1017/CBO9780511617751Search in Google Scholar

Dattagupta, S. (1987). Relaxation Phenomena in Condensed Matter Physics. New York: Academic Press.Search in Google Scholar

Di Matteo, T., Aste, T., and Mantegna, R. N. (2004). An Interest Rates Cluster Analysis. Physica A, 339 (1-2): 181–188.Search in Google Scholar

Grossmann, S., Wegner, F., and Hoffmann, K. H. (1985). Anomalous Diffusion on a Selfsimilar Hierarchical Structure. Journal de Physique Lettres, 46 (13): 575–583.Search in Google Scholar

Hartley, J. E. (1996). The Origins of the Representative Agent. Journal of Economic Perspectives, 10 (2): 169–177.Search in Google Scholar

Hawkins, R. J. and Arnold, M. R. (2000). Relaxation Processes in Administered-Rate Pricing. Physical Review E, 62 (4): 4730–4736.Search in Google Scholar

Hoffmann, K. H. and Sibani, P. (1988). Diffusion in Hierarchies. Physical Review A, 38 (8): 4261–4270.Search in Google Scholar

Huberman, B. A. and Kerszberg, M. (1985). Ultradiffusion: The Relaxation of Hierarchical Systems. Journal of Physics A, 18 (6): L331–L336.Search in Google Scholar

Kirman, A. P. (1992). Whom or What Does the Representative Individual Represent? Journal of Economic Perspectives, 6 (2): 117–136.10.1257/jep.6.2.117Search in Google Scholar

Knotek, II, E. S. (2007). How Useful is Okun’s Law? In Economic Review: Fourth Quarter 2007. Federal Reserve Bank of Kansas City, Kansas City.Search in Google Scholar

Kohlrausch, F. (1863). Ueber die Elastische Nachwirkung bei der Torsion. Poggendorff’s Annalen der Physik und Chemie, 119 (7): 337–368.Search in Google Scholar

Kubo, R. (1966). The Fluctuation-Dissipation Theorem. Reports on Progress in Physics, 29 (I): 255–284.Search in Google Scholar

Kumar, D. and Shenoy, S. (1986a). Hierarchical Energy Barriers, Hierarchical Constraints and Nonexponential Decay in Glasses. Solid State Communications, 57 (12): 927–931.10.1016/0038-1098(86)90926-9Search in Google Scholar

Kumar, D. and Shenoy, S. (1986b). Relaxational Dynamics for a Class of Disordered Ultrametric Models. Physical Review B, 34 (5): 3547–3550.10.1103/PhysRevB.34.3547Search in Google Scholar

LeBaron, B. (2006). Agent-Based Financial Markets: Matching Stylized Facts with Style. In Colander (2006), pages 221–235.10.1017/CBO9780511617751.013Search in Google Scholar

Lee, J. (2000). The Robustness of Okun’s Law: Evidence from OECD Countries. Journal of Macroeconomics, 22 (2): 331–356.Search in Google Scholar

Lucarini, V. (2008). Response Theory for Equilibrium and Non-Equilibrium Statistical Mechanics: Causality and Generalized Kramers-Kronig Relations. Journal of Statistical Physics, 131 (3): 543–558.Search in Google Scholar

Lucas, R. (1976). Econometric Policy Evaluation: A Critique. Carnegie-Rochester Conference Series on Public Policy, 1: 19–46.Search in Google Scholar

Mantegna, R. N. (1998). Hierarchical Structure in Financial Markets. Università di Palermo, Palermo, Italy. arXiv:cond-mat/9802256v1.Search in Google Scholar

Mantegna, R. N. (1999). Hierarchical Structure in Financial Markets. European Physical Journal B, 11 (1): 193–197.Search in Google Scholar

McDonald, M., Suleman, O., Williams, S., Howison, S., and Johnson, N. F. (2005). Detecting a Currency’s Dominance or Dependence Using Foreign Exchange Network Trees. Physical Review E, 72 (4): 046106.Search in Google Scholar

McDonald, M., Suleman, O., Williams, S., Howison, S., and Johnson, N. F. (2008). Impact of Unexpected Events, Shocking News, and Rumors on Foreign Exchange Market Dynamics. Physical Review E, 77 (4): 046110.Search in Google Scholar

Miccichè, S., Bonanno, G., Lillo, F.,, and Mantegna, R. N. (2003). Degree Stability of a Minimum Spanning Tree of Price Return and Volatility. Physica A, 324 (1-2): 66–73.Search in Google Scholar

Moosa, I. A. (1997). A Cross-Country Comparison of Okun’s Coefficient. Journal of Comparative Economics, 24 (3): 335–356.Search in Google Scholar

Naylor, M. J., Rose, L. C., and Moyle, B. J. (2007). Topology of Foreign Exchange Markets Using Hierarchical Structure Methods. Physica A, 382 (1): 199–208.Search in Google Scholar

Nowick, A. S. and Berry, B. S. (1972). Anelastic Relaxation in Crystalline Solids. New York: Academic Press.Search in Google Scholar

Ogielski, A. T. and Stein, D. L. (1985). Dynamics on Ultrametric Spaces. Physical Review Letters, 55 (15): 1634–1637.Search in Google Scholar

Okun, A. M. (1962). Potential GNP: Its Measurement and Significance. In Proceedings of the Business and Economics Statistics Section, American Statistical Association, pages 98–103. American Statistical Association.Search in Google Scholar

Onnela, J.-P., Chakraborti, A., Kaski, K., and Kertész, J. (2002). Dynamic Asset Trees and Portfolio Analysis. European Physical Journal B, 30 (3): 285–288.Search in Google Scholar

Onnela, J.-P., Chakraborti, A., Kaski, K., and Kertész, J. (2003a). Dynamic Asset Trees and Black Monday. Physica A, 324 (1-2): 247–252.10.1016/S0378-4371(02)01882-4Search in Google Scholar

Onnela, J.-P., Chakraborti, A., Kaski, K., Kertész, J., and Kanto, A. (2003b). Dynamics of Market Correlations: Taxonomy and Portfolio Analysis. Physical Review E, 68 (5): 056110.10.1103/PhysRevE.68.056110Search in Google Scholar

Paladin, G., Mézard, M., and de Dominicis, C. (1985). Diffusion in an Ultrametric Space: A Simple Case. Journal de Physique Lettres, 46 (21): 985–989.Search in Google Scholar

Palmer, R. G., Stein, D. L., Abrahams, E., and Anderson, P. W. (1984). Models of Hierarchically Constrained Dynamics for Glassy Relaxation. Physical Review Letters, 53 (10): 958–961.Search in Google Scholar

Samanidou, E., Zschischang, E., Stauffer, D., and Lux, T. (2007). Agent-Based Models of Financial Markets. Reports on Progress in Physics, 70: 409–450.Search in Google Scholar

Schnabel, G. (2002). Output Trends and Okun’s Law. BIS Working Papers No. 111. Bank for International Settlements, Basel.10.2139/ssrn.846324Search in Google Scholar

Schreckenberg, M. (1985). Long Range Diffusion in Ultrametric Spaces. Zeitschrift für Physik B, 60 (2-4): 483–488.Search in Google Scholar

Tesfatsion, L. (2006). Agent-Based Computational Modeling and Macroeconomics. In Colander (2006), pages 175–202.10.1017/CBO9780511617751.011Search in Google Scholar

Tesfatsion, L. and Judd, K. L., editors (2006). Handbook of Computational Economics: Agent-Based Computational Economics, volume 2. Handbooks in Economics 13. Amsterdam: Elsevier B.V.Search in Google Scholar

Uhlig, C., Hoffmann, K. H., and Sibani, P. (1995). Relaxation in Self-Similar Hierarchies. Zeitschrift für Physik B, 96 (3): 409–416.Search in Google Scholar

Voit, J. (2005). The Statistical Mechanics of Financial Markets. 3^rd edition. Berlin: Springer-Verlag.Search in Google Scholar

Williams, G. and Watts, D. C. (1970). Non-symmetrical Dielectric Relaxation Behaviour Arising from a Simple Empirical Decay Function. Transactions of the Faraday Society, 66: 80–85.Search in Google Scholar

Yang, J.-M. (1994). Interaction, Hierarchy and Economic Phenomena. PhD thesis, University of California at Los Angeles, Department of Economics.Search in Google Scholar