A simple asset pricing model with two types of adaptively learning traders, fundamentalists and technical analysts, is studied. Fractions of these trader types, which are both boundedly rational, change over time according to evolutionary learning, with technical analysts conditioning their forecasting rule upon deviations from a benchmark fundamental. Volatility clustering arises endogenously in this model. Two mechanisms are proposed as an explanation. The first is coexistence of a stable steady state and a stable limit cycle, which arise as a consequence of a so-called Chenciner bifurcation of the system. The second is intermittency and associated bifurcation routes to strange attractors. Both phenomena are persistent and occur generically in nonlinear multi-agent evolutionary systems. (author's abstract) / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

I present a simple model of an evolutionary financial market with heterogeneous agents, based on the concept of adaptive belief systems introduced by Brock and Hommes (1997a). Agents choose between different forecast rules based on past performance, resulting in an evolutionary dynamics across predictor choice coupled to the equilibrium dynamics. The model generates endogenous price fluctuations with similar statistical properties as those observed in real return data, such as fat tails and volatility clustering. These similarities are demonstrated for data from the British, German, and Austrian stock market. (author's abstract) / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Iterative rounding has been an increasingly popular approach to solving network design optimization problems ever since Jain introduced the concept in his revolutionary 2-approximation for the Survivable Network Design Problem (SNDP). This paper looks at several important iterative rounding approximation algorithms and makes improvements to some of their proofs. We generalize a matrix restatement of Nagarajan et al.'s token argument, which we can use to simplify the proofs of Jain's 2-approximation for SNDP and Fleischer et al.'s 2-approximation for the Element Connectivity (ELC) problem. Lau et al. show how one can construct a (2,2B + 3)-approximation for the degree bounded ELC problem, and this thesis provides the proof. We provide some structural results for basic feasible solutions of the Prize-Collecting Steiner Tree problem, and introduce a new problem that arises, which we call the Prize-Collecting Generalized Steiner Tree problem.

This thesis proposes a conceptual framework to analyze the choice of organizational form and assess the shifts in organizational behaviour and form. This thesis argues that the choice of organizational form is an outcome of an individuals or groups mode of identification within the dominant organizational form and property rights structure of society. The framework places/situates the investor-owned firm (IOF) in a position of identification with the dominant ideology and property rights structure of society. The state-owned enterprise (SOE) occupies a position of counter-identification with the dominant ideology and property rights structure of society. The co-operative, on the other hand, represents a dis-identification with both the IOF and the SOE as this form works on and against the ideologies and property rights structures associated with the two former organizational forms.<p>Further, the thesis argues that endogenous and exogenous pressures may cause some organizations to shift their organizational behaviour and form. The researcher examines how internal problems in co-operative organizations (i.e., horizon and principal-agent problems) can exacerbate exogenous pressures (i.e., increasing competition and/or government deregulation) from the market and/or state causing the co-op to imitate the strategies or property rights structure of the IOF in order to cope with these issues. <p>Profiles of the formation of the Saskatchewan Co-operative Wholesale Society and the Consumers Co-operative Refineries Limited and the conversion of the Saskatchewan Wheat Pool are used to illustrate the conceptual framework and support the arguments made in this thesis.

This thesis concerns stability analysis and robust H¡Û performance analysis for discrete-time systems with interval time-varying delay; moreover, the results are extended to the systems with norm-bounded uncertainties. By defining a novel Lyapunov functional and combining delay partition methods to improve the results in existing literature, we obtain a less conservative linear matrix inequality condition to guarantee the asymptotic stability for the discrete-time systems. There are examples to illustrate the advantage of our method in every chapter.

To quantify primary side aerosol retention, an Eulerian/Lagrangian approach was used to investigate aerosol transport in a compressible, turbulent, adiabatic, internal, wall-bounded flow. The ARTIST experimental project (Phase I) served as the physical model replicated for numerical simulation. Realizable k-ε and standard k-ω turbulence models were selected from the computational fluid dynamics (CFD) code, FLUENT, to provide the Eulerian description of the gaseous phase. Flow field simulation results exhibited: a) onset of weak secondary flow accelerated at bend entrance towards the inner wall; b) flow separation zone development on the convex wall that persisted from the point of onset; c) centrifugal force concentrated high velocity flow in the direction of the concave wall; d) formation of vortices throughout the flow domain resulted from rotational (Dean-type) flow; e) weakened secondary flow assisted the formation of twin vortices in the outflow cross section; and f) perturbations induced by the bend influenced flow recovery several pipe diameters upstream of the bend. These observations were consistent with those of previous investigators. The Lagrangian discrete random walk model, with and without turbulent dispersion, simulated the dispersed phase behavior, incorrectly. Accurate deposition predictions in wall-bounded flow require modification of the Eddy Impaction Model (EIM). Thus, to circumvent shortcomings of the EIM, the Lagrangian time scale was changed to a wall function and the root-mean-square (RMS) fluctuating velocities were modified to account for the strong anisotropic nature of flow in the immediate vicinity of the wall (boundary layer). Subsequent computed trajectories suggest a precision that ranges from 0.1% to 0.7%, statistical sampling error. The aerodynamic mass median diameter (AMMD) at the inlet (5.5 μm) was consistent with the ARTIST experimental findings. The geometric standard deviation (GSD) varied depending on the scenario evaluated but ranged from 1.61 to 3.2. At the outlet, the computed AMMD (1.9 μm) had GSD between 1.12 and 2.76. Decontamination factors (DF), computed based on deposition from trajectory calculations, were just over 3.5 for the bend and 4.4 at the outlet. Computed DFs were consistent with expert elicitation cited in NUREG-1150 for aerosol retention in steam generators.

There are much economic and financial data which are restricted by some bounds, such as expenditure shares, unemployment, norminal interest rate, or target zone exchange rate. How to interpret and analyze time series whose behaviors can be well approximated by means of integrated processes, I(1), but are ¡§limited¡¨ in the sense that their range is constrained by fixed bounded is what this thesis develops. One method to analyze bounded variable of this paper is ¡§The Bounded Unit Root¡¨ which provided by Cavaliere (2005), and the other is using Gibbs sampling simulation and trying to recover the part of hidden variables. We would examin some empirical problems that has often been tackled in the literature and we give three time series which include Danish kron/Deutshe mark, Belgium Franc/ Deutshe mark, and Japan 1 mouth interbank interest rate for examples. We conclude that these three time series data are I(0) in classical unit root test framework, but are all I(1) in The Bounded Unit Root test framework. And the results of Gibbs sampling simulation are that Danish kron/Deutshe mark and Belgium Franc/ Deutshe mark are I(0), but Japan 1 mouth interbank interest rate is I(1).

Empirical autocorrelation functions of returns of stochastic price processes show phenomena of correlation on small intervals of time, which decay to zero after a short time. The paper deals with the concept of weakly correlated random processes to describe a mathematical model which takes into account this behaviour of statistical data. Weakly correlated functions have been applied to model numerous problems of physics and engineering. The main idea is, that the values of the functions at two points are uncorrelated if the distance between the points exceeds a certain quantity epsilon > 0. In contrast to the white noise model, for distances smaller than epsilon a correlation between the values is permitted.

This dissertation consists of three essays on reputation and repeated games. Reputation models typically assume players have full memory of past events, yet in many applications this assumption does not hold. In the first chapter, I explore two different relaxations of the assumption that history is perfectly observed in the context of Ely and Välimäki's (2003) mechanic game, where reputation (with full history observation) is clearly bad for all players. First I consider "limited history," where short-run players see only the most recent T periods. For large T, the full history equilibrium behavior always holds due to an "echo" effect (for high discount factors); for small T, the repeated static equilibrium exists. Second I consider "fading history," where short-run players randomly sample past periods with probabilities that "fade" toward zero for older periods. When fading is faster than a fairly lax threshold, the long-run player always acts myopically, a result that holds more generally for reputation games where the long-run player has a strictly dominant stage game action. This finding suggests that reputational incentives may be too weak to affect long-run player behavior in some realistic word-of-mouth environments. The second chapter develops general theoretical tools to study incomplete information games where players observe only finitely many recent periods. I derive a recursive characterization of the set of equilibrium payoffs, which allows analysis of both stationary and (previously unexplored) non-stationary equilibria. I also introduce "quasi-Markov perfection," an equilibrium refinement which is a necessary condition of any equilibrium that is "non-fragile" (purifiable), i.e., robust to small, additively separable and independent perturbations of payoffs. These tools are applied to two examples. The first is a product choice game with 1-period memory of the firm's actions, obtaining a complete characterization of the exact minimum and maximum purifiable equilibrium payoffs for almost all discount factors and prior beliefs on an "honest" Stackelberg commitment type, which shows that non-stationary equilibria expand the equilibrium set. The second is the same game with long memory: in all stationary and purifiable equilibria, the long-run player obtains exactly the Stackelberg payoff so long as the memory is longer than a threshold dependent on the prior. These results show that the presence of the honest type (even for arbitrarily small prior beliefs) qualitatively changes the equilibrium set for any fixed discount factor above a threshold independent of the prior, thereby not requiring extreme patience. The third chapter studies the question of why drug trafficking organizations inflict violence on each other, and why conflict breaks out under some government crackdowns and not others, in a repeated games context. Violence between Mexican drug cartels soared following the government's anti-cartel offensive starting in 2006, but not under previous crackdowns. I construct a theoretical explanation for these observations and previous empirical research. I develop a duopoly model where the firms have the capacity to make costly attacks on each other. The firms use the threat of violence to incentivize inter-cartel cooperation, and under imperfect monitoring, violence occurs on the equilibrium path of a high payoff equilibrium. When a "corrupt" government uses the threat of law enforcement as a punishment for uncooperative behavior, violence is not needed as frequently to achieve high payoffs. When government cracks down indiscriminately, the firms may return to frequent violence as a way of ensuring cooperation and high payoffs, even if the crackdown makes drug trafficking otherwise less profitable. / text

In this thesis, we examine quasiconformal mappings in Rn. We begin by proving basic properties of the modulus of curve families. We then give the geometric, analytic,and metric space definitions of quasiconformal maps and show their equivalence. We conclude with several computational examples.