| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481503 | Physica A: Statistical Mechanics and its Applications | 2012 | 8 Pages |
Abstract
⺠Top-bottom approach based on a Gaussian kernel to characterize switching points. ⺠Characterizes the magnitude of the difference between successive extreme prices. ⺠Provides statistics of waiting time, i.e., time lag between events. ⺠Considers also return time, time lag between events with a minimal magnitude. ⺠Distribution probabilities have been accurately adjusted by q-Gaussians.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Miguel A. Rivera-Castro, José G.V. Miranda, Ernesto P. Borges, Daniel O. Cajueiro, Roberto F.S. Andrade,