Publication detail

A METHODOLOGY FOR QUALITATIVE MODELLING OF ECONOMIC, FINANCIAL SYSTEMS WITH EMPHASIS TO CHAOS THEORY

VÍCHA, T. DOHNAL, M.

Original Title

A METHODOLOGY FOR QUALITATIVE MODELLING OF ECONOMIC, FINANCIAL SYSTEMS WITH EMPHASIS TO CHAOS THEORY

Type

conference paper

Language

English

Original Abstract

The article deals with qualitative modelling of a real quantitative system. An engineering interpretation of the basic concepts, such as qualitative variable, qualitative model, qualitative algebra, state graph, set of qualitative states, etc., is given. The reasoning why we can use this approach is explained. Common-sense models (naive physics, qualitative model) offer a very flexible formal tool to deal with realistic engineering tasks. A methodology for common-sense models are showed on practical models and discussed. The basic oscillation models, Predator-Prey chaotic model and Black-Scholes model have been chosen for demonstration. Lotka Volterra Predator - Prey system is a typical nonlinear model with wide application and multidisciplinary use. The Black-Scholes model is a well known model for computation / prediction of common investment instrument Options. Chaos theory is a theory of non-linear functions, such that small differences in the input of the function can result in large and unpredictable differences in the output. Basis of Chaos theory in financial markets was invented in early 90's of 20th century. Chaos theory gives us answer to questions as how we can model real economic or financial situation. The practical application of chaos theory is observation of behaviour of prices of stocks, bonds, futures contracts, options, and other financial instruments. Computation of qualitative models is presented by the expert system Q-SENECA - Qualitative SENsible Expert CAtalogue. Q-SENECA was developed by Professor Mirko Dohnal and his team.

Keywords

qualitative modelling, chaos theory, Lotka-Voltera Predator Prey model, Black-Scholes model, Dumped oscillation

Authors

VÍCHA, T.; DOHNAL, M.

Released

22. 6. 2006

Publisher

Luiss Guido Carli University

Location

LUISS, Řím, Itálie

Pages count

11

BibTex

@inproceedings{BUT19245,
  author="Tomáš {Vícha} and Mirko {Dohnal}",
  title="A METHODOLOGY FOR QUALITATIVE MODELLING OF ECONOMIC, FINANCIAL SYSTEMS WITH EMPHASIS TO CHAOS THEORY",
  booktitle="FUR XII 2006 - 12th International Conference on the Foundations and Applications of",
  year="2006",
  pages="11",
  publisher="Luiss Guido Carli University",
  address="LUISS, Řím, Itálie"
}