The mathematical-economics tag has no usage guidance.

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### Kalman filters and stock price prediction

Could someone be so kind as to direct me to a good source that would explain time series (more specifically) stock price prediction using Kalman filters, Extended kalman filters or particle filters. ...

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**4**answers

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### What are Reinert's reproaches to the Ricardo theory?

Economists accuse me in vulgarization of their science, so I'll edit the text from the very beginning to remove the inaccuracies.
Main question
I have just read the book by a norwegian economist, ...

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**0**answers

129 views

### Maximizing Expected Utility

I am currently trying to solve a maximization problem given by
$\max_{f(x)} \int_0^1 \int_\mathbb{R} (c-y\cdot f(x)-d\cdot (x+f(x)-b)^2) \ h(x) \ dx \ dy$.
Or in other words, I have a utility ...

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**2**answers

334 views

### Consistent price index

This question came out of a discussion with a colleague from economics about price indices. Here is MattF's formulation of the question which differs somehow from the original problem.
Let $Y=({\...

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**2**answers

394 views

### Simple yet interesting applications of Calculus or Linear Algebra to Economics [closed]

This is essentially a vast generalization of my previous question: Examples of separable ordinary differential equations in economics
I'm giving a talk to college-level math teachers on some ...

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**0**answers

109 views

### A categorical analogue of Debreu's independent factors theorem

Background
A major question in Decision Theory is that of the cardinal meaning of a utility function. That is, given a set $X$, a utility function $u:X\rightarrow \mathbb{R}$ represents the choices ...

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**2**answers

376 views

### What does Arrow's theorem say about Kaldor-Hicks social welfare functions with von Neumann-Morgenstern utility? [closed]

Let $A$ be the set of all possible states of the world, let $G(A)$ be the set of all "lotteries" or "gambles", i.e. the set of all probability distributions over $A$. Now consider an individual with ...

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**1**answer

167 views

### To what equal constant in the Gibbs lemma

The Gibbs lemma is broadly used in games theory and in mathematical economics (optimal distributions of resourses, Cournot competition e.t.c.). Here it is:
Lemma (Gibbs). $f_1,f_2,\ldots,f_n$ be ...

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**2**answers

1k views

### Is there an equivalent of Heisenberg's uncertainty principle in the decision sciences ?

From memories of a quantum mechanics class and Wikipedia:
In quantum mechanics, the uncertainty principle is any of a variety of mathematical inequalities asserting a fundamental limit to the ...

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vote

**1**answer

90 views

### Young transform reference

The Young transform of nonnegative function $f(x)$, $x \in \mathbb R^n_+$ is defined to be
$$
(\mathscr Yf)(y) = \inf \left[ \left. \frac{x_1 y_1 + \ldots + x_n y_n}{f(x)} \; \right|\; x \colon f(...

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votes

**1**answer

296 views

### Market-clearing price vector in an “aggregate demand system”

I suppose this is really an economics question, but I'm posting here for want of a more appropriate forum. My question concerns an aggregate demand system in which we have $n$ variants of a product, ...

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**7**answers

1k views

### Concise model of modern fiat money and its non-conservation

A confession: I have never really understood the basic model of fiat money and central banking, by which a central bank controls the money supply. By the standards of someone trained in mathematics, ...

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votes

**1**answer

2k views

### Examples of separable ordinary differential equations in economics

I'm currently teaching an integral calculus course for business students, and we're just about to discuss differential equations. They've worked hard, and I'd like to reward them with some economic ...

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votes

**2**answers

219 views

### Equitable division of a contiguous resource

I have come across the following result regarding equitable division of a resource, which is a simple and immediate consequence of linear programming complementarity (in the infinite-dimensional case)....

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votes

**1**answer

1k views

### Algebra - Decomposition of a matrix polynomial

Dear All,
This is related with a problem that I'm trying to solve on my PhD dissertation in econometrics, and I thought that some mathmatician can know the answer.
What is known about a possible ...

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**0**answers

136 views

### Why does the OLS estimator simplify as follows for the single regressor case?

I was reading in "A Guide to Econometrics" that given $Y = X \beta + \epsilon$, the variance covariance matrix of $\beta^\text{OLS}$ is given by $\sigma^2 (X' X)^{-1}$ where $\sigma^2$ is the variance ...

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votes

**2**answers

771 views

### Optimal tax Rate

Assume you have two countries A and B, with a tax rates $T_A$ and $T_B$. The tax is redistributed to each people equally. Hence if you live in A and you make $I$ as income then you will finally ...

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**6**answers

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### Reference for Mathematical Economics

I'm looking for a good introduction to basic economics from a mathematically solid(or, even better, rigorous) perspective. I know just about nothing about economics, but I've picked up bits and pieces ...

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**4**answers

1k views

### Fairest way to choose gifts

Suppose that a parent brings home from a trip $2n$ gifts of roughly
equal value for his/her two children. The children get to choose one
at a time which gifts they want. What is the fairest way to do ...

**-1**

votes

**2**answers

373 views

### Continuous optimization

I'm interested in the solution to the following problem:
I have initial capital $C$ which I can invest into $M$ classes of
resources, each unit of a class $m_i$ matures at time $t_i$, has a
return of ...

**2**

votes

**1**answer

418 views

### Is the max of two supermodular functions supermodular?

The supermodularity means for every $x'>x$ and $y'>y$,
$$f(x',y') + f(x,y) > f(x',y) + f(x,y').$$
Suppose $f$ and $g$ are supermodular, non-negative and increasing in both arguments.
Is the ...

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votes

**3**answers

1k views

### Weighted Regular Graphs

The following graph theoretic notion appeared in an economics paper entitled: "Prize competition under limited comparability, by Michele Piccione and Ran Spiegler which studies models of economics ...

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votes

**17**answers

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### Math Vs Social Science

What is the impact of Mathematics in social science today?. That is to say, what are the mathematics that a social scientist is using and, from the point of view of a mathematician, what are the ...