英文标题：
《Cycling in stochastic general equilibrium》
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作者：
Zhijian Wang and Bin Xu
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最新提交年份：
2014
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英文摘要：
By generalizing the measurements on the game experiments of mixed strategy Nash equilibrium, we study the dynamical pattern in a representative dynamic stochastic general equilibrium (DSGE). The DSGE model describes the entanglements of the three variables (output gap [$y$], inflation [$\\pi$] and nominal interest rate [$r$]) which can be presented in 3D phase space. We find that, even though the trajectory of $\\pi\\!-\\!y\\!-\\!r$ in phase space appears highly stochastic, it can be visualized and quantified. It exhibits as clockwise cycles, counterclockwise cycles and weak cycles, respectively, when projected onto $\\pi\\!-\\!y$, $y\\!-\\!r$ and $r\\!-\\!\\pi$ phase planes. We find also that empirical data of United State (1960-2013) significantly exhibit same cycles. The resemblance between the cycles in general equilibrium and the cycles in mixed strategy Nash equilibrium suggest that, there generally exists dynamical fine structures accompanying with equilibrium. The fine structure, describing the entanglement of the non-equilibrium (the constantly deviating from the equilibrium), displays as endless cycles.
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中文摘要：
通过推广混合策略纳什均衡博弈实验的度量，我们研究了一个具有代表性的动态随机一般均衡（DSGE）的动态模式。DSGE模型描述了三个变量（产出缺口[$y$]、通货膨胀[$\\pi$]和名义利率[$r$]）的纠缠，这三个变量可以在三维相空间中呈现。我们发现，即使$\\pi\\！-\\！y\\！-\\！相空间中的r$具有高度的随机性，可以可视化和量化。当投射到$\\pi\\！-\\！上时，它分别表现为顺时针循环、逆时针循环和弱循环！y$，$y\\！-\\！r$和r\\！-\\！\\π$相位平面。我们还发现，美国（1960-2013年）的经验数据显著呈现出相同的周期。一般均衡中的循环与混合策略纳什均衡中的循环之间的相似性表明，通常存在伴随着均衡的动态精细结构。精细结构描述了非平衡态（不断偏离平衡态）的纠缠，表现为无止境的循环。
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分类信息：

一级分类：Physics 物理学
二级分类：Adaptation and Self-Organizing Systems 自适应和自组织系统
分类描述：Adaptation, self-organizing systems, statistical physics, fluctuating systems, stochastic processes, interacting particle systems, machine learning
自适应，自组织系统，统计物理，波动系统，随机过程，相互作用粒子系统，机器学习
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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