Determining The Value-at-risk In The Shadow Of The Power Law: The Case Of The SP-500 Index

In extant financial market models, including the Black-Scholes’ contruct, the dramatic events of October 1987 and August 2007 are totally unexpected, because these models are based on the assumptions of ‘independent price fluctuations’ and the existence of some ‘fixed-point equilibrium’. This paper argues that the convolution of a generalized fractional Brownian motion (into an array in frequency or time domain) and their corresponding amplitude spectra describes the surface of the attractor driving the evolution of prices. This more realistic approach shows that the SP-500 Index is characterized by a high long term Hurst exponent and hence by a ‘black noise’ with a power spectrum proportional to f-b (b > 2). In that set up, the above dramatic events are expected and their frequencies are determined. The paper also constructs an exhaustive frequency-variation relationship which can be used as practical guide to assess the ‘value at risk’.Market Collapse; Fractional Brownian Motion; Fractal Attractors; Maximum Hausdorff Dimension of Markets and Affine Profiles; Hurst Exponent; Power Spectrum Exponent; Value at Risk

Measuring distributional effects of fiscal reforms

The purpose of this paper is to provide an overview of how to analyse the distributional effects of fiscal reforms. Thereby, distributional e¤ects shall be differentiated by four subconcepts, i.e. 1.) the traditional concept of inequality, 2.) the rather novel concept of polarisation, 3.) the concept of progression in taxation, and 4.) the concepts of income poverty and richness. The concept of inequality and the concept of income poverty are the by far most widely applied concepts in empirical analyses, probably since they appear to be the most transparent ones in their structure as well as the most controversial ones in political affairs. However, the concepts of richness, polarisation and progression in taxation shall additionally be subject of this analysis, since they appear to be useful devices on the course of analysing cause and effect of the other two concepts. --Inequality,polarisation,progression,poverty,richness

Sometimes more equal than others : how health inequalities depend on the choice of welfare indicator

A large body of empirical work in recent years has focused on measuring and explaining socioeconomic inequalities in health outcomes and health service use. In any effort to address these questions, analysts must confront the issue of how to measure socioeconomic status. In developing countries, socioeconomic status has typically been measured by per capita consumption or an asset index. Currently, there is only limited information on how the choice of welfare indicators affects the analysis of health inequalities and the incidence of public spending. The purpose of this paper is to illustrate the potential sensitivity of the analysis of health-related inequalities to how socioeconomic status is measured. Using data from Mozambique, the paper focuses on five key health service indicators and tests whether measured inequality (concentration index) in the five health service variables is different depending on the choice of welfare indicator. The paper shows that, at least in some contexts, the choice of welfare indicator can have a large and significant impact on measured inequality in utilization of health service and on the perceived incidence of public spending. Consequently, we can reach very different conclusions about the"same"issue depending on how we define socioeconomic status. The results call for more clarity and care in the analysis of health-related inequalities and for explicit recognition of the potential sensitivity of findings to the choice of welfare measure. The results also point to the need for more careful research on how different dimensions of socioeconomic status are related, and on the pathways by which these dimensions affect health-related variables.Public Health Promotion,Economic Theory&Research,Health Systems Development&Reform,Housing&Human Habitats,Environmental Economics&Policies,Housing&Human Habitats,Environmental Economics&Policies,Inequality,Economic Theory&Research,Poverty Assessment

Entropy in Dynamic Systems

In order to measure and quantify the complex behavior of real-world systems, either novel mathematical approaches or modifications of classical ones are required to precisely predict, monitor, and control complicated chaotic and stochastic processes. Though the term of entropy comes from Greek and emphasizes its analogy to energy, today, it has wandered to different branches of pure and applied sciences and is understood in a rather rough way, with emphasis placed on the transition from regular to chaotic states, stochastic and deterministic disorder, and uniform and non-uniform distribution or decay of diversity. This collection of papers addresses the notion of entropy in a very broad sense. The presented manuscripts follow from different branches of mathematical/physical sciences, natural/social sciences, and engineering-oriented sciences with emphasis placed on the complexity of dynamical systems. Topics like timing chaos and spatiotemporal chaos, bifurcation, synchronization and anti-synchronization, stability, lumped mass and continuous mechanical systems modeling, novel nonlinear phenomena, and resonances are discussed

Constraining Aerosol Optical Models Using Ground-Based, Collocated Particle Size and Mass Measurements in Variable Air Mass Regimes During the 7-SEAS/Dongsha Experiment

During the spring of 2010, NASA Goddard's COMMIT ground-based mobile laboratory was stationed on Dongsha Island off the southwest coast of Taiwan, in preparation for the upcoming 2012 7-SEAS field campaign. The measurement period offered a unique opportunity for conducting detailed investigations of the optical properties of aerosols associated with different air mass regimes including background maritime and those contaminated by anthropogenic air pollution and mineral dust. What appears to be the first time for this region, a shortwave optical closure experiment for both scattering and absorption was attempted over a 12-day period during which aerosols exhibited the most change. Constraints to the optical model included combined SMPS and APS number concentration data for a continuum of fine and coarse-mode particle sizes up to PM2.5. We also take advantage of an IMPROVE chemical sampler to help constrain aerosol composition and mass partitioning of key elemental species including sea-salt, particulate organic matter, soil, non sea-salt sulphate, nitrate, and elemental carbon. Our results demonstrate that the observed aerosol scattering and absorption for these diverse air masses are reasonably captured by the model, where peak aerosol events and transitions between key aerosols types are evident. Signatures of heavy polluted aerosol composed mostly of ammonium and non sea-salt sulphate mixed with some dust with transitions to background sea-salt conditions are apparent in the absorption data, which is particularly reassuring owing to the large variability in the imaginary component of the refractive indices. Extinctive features at significantly smaller time scales than the one-day sample period of IMPROVE are more difficult to reproduce, as this requires further knowledge concerning the source apportionment of major chemical components in the model. Consistency between the measured and modeled optical parameters serves as an important link for advancing remote sensing and climate research studies in dynamic aerosol-rich environments like Dongsha

Sometimes More Equal than Others How the choice of welfare indicator can affect the measurement of health inequalities and the incidence of public spending

In recent years, a large body of empirical work has focused on measuring and explaining socioeconomic inequalities in health outcomes and health service use. In any effort to address these questions, analysts must confront the issue of how to measure socioeconomic status. In developing countries, socioeconomic status has typically been measured by per capita consumption or an asset index. Currently, there is only limited information on how the choice of welfare indicators affect the analysis of health inequalities and the incidence of public spending. The paper focuses on five key health service outcomes in Mozambique. It uses the concentration index approach to measures both socioeconomic inequality in the utilization of health services and the sensitivity of measured inequality to the choice of welfare indicator. The results illustrate that, at least in some contexts, the choice of welfare indicator can have a large and significant impact on socioeconomic inequalities in service use and on the “perceived” incidence of public spending. The findings point at the need to be cautious in measuring inequality, but also to extend and deepen the analysis of service use.

Trends in Individual Income Growth: Measurement Methods and British Evidence

Assessments of whose income growth is the greatest and whose is the smallest are typically based on comparisons of income changes for income groups (e.g. rich versus poor) or income values (e.g. quantiles). However, income group and quantile composition changes over time because of income mobility. To summarize patterns of income growth while also tracking the fortunes of the same individuals, a longitudinal perspective is required. For this case, we develop dominance conditions and summary indices for comparisons of distributions of individual income growth, together with associated methods of estimation and inference. Using these methods and data from the British Household Panel Survey, we study individual income growth for periods between 1991 and 2005. We show that income growth was significantly more pro-poor in the early years of the Labour government than in earlier Conservative years.individual income growth, pro-poor growth, progressive income growth, income mobility, mobility profile, British Household Panel Survey

Sometimes more equal than others: How the choice of welfare indicator can affect the measurement of health inequalities and the incidence of public spending

In recent years, a large body of empirical work has focused on measuring and explaining socioeconomic inequalities in health outcomes and health service use. In any effort to address these questions, analysts must confront the issue of how to measure socioeconomic status. In developing countries, socioeconomic status has typically been measured by per capita consumption or an asset index. Currently, there is only limited information on how the choice of welfare indicators affect the analysis of health inequalities and the incidence of public spending. The paper focuses on five key health service outcomes in Mozambique. It uses the concentration index approach to measures both socioeconomic inequality in the utilization of health services and the sensitivity of measured inequality to the choice of welfare indicator. The results illustrate that, at least in some contexts, the choice of welfare indicator can have a large and significant impact on socioeconomic inequalities in service use and on the “perceived” incidence of public spending. The findings point at the need to be cautious in measuring inequality, but also to extend and deepen the analysis of service use.