Inverse problems in Pareto's demand theory and their applications to analysis of stock market crises

DOI10.1515/JIIP-2017-0021MaRDI QIDQ682037zbMATH OpenOpenAlexFDO

Authors Nikolay I. Klemashev, Alexander A. Shananin, Shuhua Zhang

Publication date 13 February 2018

Published in Journal of Inverse and Ill-posed Problems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/jiip-2017-0021

zbMATH Keywords

forecastinginverse problemmathematical programmingrevealed preferencedemand theory

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Statistical methods; risk measures (91G70) Consumer behavior, demand theory (91B42)

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Cites work

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• Complexity results for the weak axiom of revealed preference for collective consumption models
• Continuous Auctions and Insider Trading
• Handbook of Volatility Models and Their Applications
• Inverse problems of demand analysis and their applications to computation of positively-homogeneous Konüs-Divisia indices and forecasting
• Non-Parametric Tests of Consumer Behaviour
• On a System of Inequalities in Demand Analysis: An Extension of the Classical Method
• Private versus public consumption within groups: testing the nature of goods from aggregate data
• Reduced cost functions and their applications
• Sharing rule identification for general collective consumption models
• The Construction of Utility Functions from Expenditure Data
• The Nonparametric Approach to Demand Analysis
• The economics and mathematics of aggregation: formal models of efficient group behavior
• The housing problem and revealed preference theory: duality and an application
• The revealed preference approach to collective consumption behaviour: testing and sharing rule recovery

Cited in

(4)

• The group behavior analysis of the high-frequency traders based on mean field games approach
• Nonparametric method and its application for the analysis of changes in consumer behavior
• Numerical study of the stock market crises based on mean field games approach
• Analysis of the stock market crisis based on mean field games concept

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