Antoniou, I.; Akritas, P.; Burak, D.A.; Ivanov, V.V.; … - In: Physica A: Statistical Mechanics and its Applications 336 (2004) 3, pp. 538-548
We consider the problem of extraction of trend and chaotic components from irregular stock market time series. The proposed methods also permit to extract a part of chaotic component, the so-called anomalous term, caused by the transient short-time surges with high amplitudes. This provides more...