A Generalization of the Grey Lotka–Volterra Model and Application to GDP, Export, Import and Investment for the European Union

Sterpu, Mihaela; Rocșoreanu, Carmen; Soava, Georgeta; Mehedintu, Anca

doi:10.3390/math11153351

Mathematics

2023

DOI: 10.3390/math11153351

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A Generalization of the Grey Lotka–Volterra Model and Application to GDP, Export, Import and Investment for the European Union

Mihaela Sterpu,

Carmen Rocșoreanu,

Georgeta Soava

et al.

Abstract: This study proposes a generalized grey Lotka–Volterra model with a finite number of variables. The model is obtained by applying the grey modelling method to estimate the parameters of a finite dimensional quadratic Lotka–Volterra system. Subsequently, the model is used to analyze the competition and cooperation relationship between four macroeconomic indicators, namely Gross Domestic Product, Export, Import and Investment, and to obtain short-time forecasting for them. The data used in the empirical investiga… Show more

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Cited by 2 publications

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Early warning signals of complex critical transitions in deterministic dynamics

Evers,

Borsboom,

Fried

et al. 2024

Nonlinear Dyn

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Early Warning Signals (EWS) have generated much excitement for their potential to anticipate transitions in various systems, ranging from climate change in ecology to disease staging in medicine. EWS hold particular promise for bifurcations, a transition mechanism in which a smooth, gradual change in a control parameter of the system results in a rapid change in system dynamics. The predominant reason to expect EWS is because many bifurcations are preceded by Critical Slowing Down (CSD): if assuming the system is subject to continuous, small, Gaussian noise, the system is slower to recover from perturbations closer to the transition. However, this focus on warning signs generated by stochasticity has overshadowed warning signs which may already be found in deterministic dynamics. This is especially true for higher-dimensional systems, where more complex attractors with intrinsic dynamics such as oscillations not only become possible—they are increasingly more likely. The present study focuses on univariate and multivariate EWS in deterministic dynamics to anticipate complex critical transitions, including the period-doubling cascade to chaos, chaos-chaos transitions, and the extinction of a chaotic attractor. In a four-dimensional continuous-time Lotka–Volterra model, EWS perform well for most bifurcations, even with lower data quality. The present study highlights three reasons why EWS may still work in the absence of CSD: changing attractor morphology (size, shape, and location in phase space), shifting power spectra (amplitude and frequency), and chaotic transitional characteristics (density across attractor). More complex attractors call for different warning detection methods to utilise warning signs already contained within purely deterministic dynamics.

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Early warning signals of complex critical transitions in deterministic dynamics

Evers,

Borsboom,

Fried

et al. 2024

Nonlinear Dyn

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Forecasting in Stock Markets Using the Formalism of Statistical Mechanics

Bibik

2023

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The possibility and expediency of forecasting in the stock markets are analyzed analytically using the methods and approaches of statistical mechanics. The apparatus of statistical mechanics is used to analyze and forecast one of the most important indicators of the market – the distribution of its logarithmic profitability. The Lotka-Volterra model used in ecology to describe systems of the "predator-prey" type was used as the initial model. It approximates market dynamics adequately. In the article, its Hamiltonian property is used, which makes it possible to apply the apparatus of statistical mechanics. The apparatus of statistical mechanics (using the principle of maximum entropy) makes it possible to implement a probabilistic approach that is adapted to the conditions of stock market uncertainty. The canonical variables of the Hamiltonian are presented as logarithms of stock and bond prices, the joint probability distribution function of stock and bond prices is obtained as a Gibbs distribution. The Boltzmann factor, included in the Gibbs distribution, allows us to estimate the probability of the occurrence of certain stock and bond prices and obtain an analytical expression for calculating the logarithmic return, which gives more accurate results than the widely used normal (Gaussian) distribution. According to its characteristics, the resulting distribution resembles the Laplace distribution. The main characteristics of the resulting distribution are calculated – the mean value, variance, asymmetry, and kurtosis. Mathematical results are presented graphically. An explanation is given of the cause-and-effect mechanism that causes a change in the profitability of the market. For this, the idea of Theodore Modis about the competition between stocks and bonds for the attention and money of investors is developed (by analogy with the turnover of biomass in models of the "predator-prey" type in biology). The results of the study are of interest to investors, theorists, and practitioners of the stock market. They allow us to make thoughtful and balanced investment decisions due to a more realistic idea of the expected return and a more adequate assessment of investment risk.

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A Generalization of the Grey Lotka–Volterra Model and Application to GDP, Export, Import and Investment for the European Union

Cited by 2 publications

References 53 publications

Early warning signals of complex critical transitions in deterministic dynamics

Early warning signals of complex critical transitions in deterministic dynamics

Forecasting in Stock Markets Using the Formalism of Statistical Mechanics

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