کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
979591 | 933371 | 2007 | 6 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Medium and small-scale analysis of financial data
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
A stochastic analysis of financial data is presented. In particular we investigate how the statistics of log returns change with different time delays ττ. The scale-dependent behaviour of financial data can be divided into two regions. The first time range, the small-timescale region (in the range of seconds) seems to be characterised by universal features. The second time range, the medium-timescale range from several minutes upwards can be characterised by a cascade process, which is given by a stochastic Markov process in the scale ττ. A corresponding Fokker–Planck equation can be extracted from given data and provides a non-equilibrium thermodynamical description of the complexity of financial data.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 382, Issue 1, 1 August 2007, Pages 193–198
Journal: Physica A: Statistical Mechanics and its Applications - Volume 382, Issue 1, 1 August 2007, Pages 193–198
نویسندگان
Andreas P. Nawroth, Joachim Peinke,