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Black–Scholes’ model and Bollinger bands

Liu, Wei; Huang, Xudong; Zheng, Weian - In: Physica A: Statistical Mechanics and its Applications 371 (2006) 2, pp. 565-571

Bollinger bands are well-known in stock market as a popular technical analysis tool. We found that Black–Scholes stock price model had this Bollinger bands property also. In this paper, we give the proof of this phenomenon, and give a new distribution of a statistics generated by the Bollinger...

Persistent link: https://www.econbiz.de/10010589233

A note on the sum of the sample autocorrelation function

Hassani, Hossein - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 8, pp. 1601-1606

It is shown that the sum of the sample autocorrelation function at lag h≥1 is always −12 for any stationary time series with arbitrary length T≥2 (Hassani, 2009 [1]). In this paper, the distribution of a set of the sample autocorrelation function using the properties of this quantity is...

Persistent link: https://www.econbiz.de/10011063467

Ergodicity properties of energy conserving single spin flip dynamics in the XY model

Dhar, Abishek - In: Physica A: Statistical Mechanics and its Applications 259 (1998) 1, pp. 119-137

A single spin flip stochastic energy conserving dynamics for the XY model is considered. We study the ergodicity …

Persistent link: https://www.econbiz.de/10010872211

Mixing, ergodicity and slow relaxation phenomena

Costa, I.V.L.; Vainstein, M.H.; Lapas, L.C.; Batista, A.A. - In: Physica A: Statistical Mechanics and its Applications 371 (2006) 1, pp. 130-134

. Lett. 63 (2003) 173] have established a hierarchical connection between mixing, ergodicity, and the fluctuation …–dissipation theorem (FDT). This hierarchy means that ergodicity is a necessary condition for the validity of the FDT, and mixing is a … necessary condition for ergodicity. In this work, we compare those results with recent investigations using the Lee recurrence …

Persistent link: https://www.econbiz.de/10010588727

Supersymmetry approach in the field theory of ergodicity breaking transitions

Kiselev, Alexei D. - In: Physica A: Statistical Mechanics and its Applications 285 (2000) 3, pp. 413-432

critical point is governed by fluctuations violating fluctuation–dissipation theorem (FDT). The temperature of ergodicity …

Persistent link: https://www.econbiz.de/10010588829

On the estimation of the power-law exponent in the mean-field Bouchaud–Mézard model

Hu, Feng-Rung - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 18, pp. 4605-4614

In this article, our primary objective is to develop an estimator of the power-law exponent based on the observable individual wealth in the mean-field Bouchaud–Mézard model. As a result, a simple and strongly consistent estimator of the power-law exponent in the mean-field Bouchaud–Mézard...

Persistent link: https://www.econbiz.de/10010589001

Distinguishability of particles in glass-forming systems

Mauro, John C.; Smedskjaer, Morten M. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 22, pp. 5392-5403

restoration of ergodicity. We discuss some of the general implications of our work, including the direct connection to topological …

Persistent link: https://www.econbiz.de/10010589692

Why does Boltzmann's ergodic hypothesis work and when does it fail

Howard Lee, M. - In: Physica A: Statistical Mechanics and its Applications 365 (2006) 1, pp. 150-154

According to a recently given ergodic condition for Hermitian many-body models the thermodynamic limit and irreversibility are necessary but by themselves not sufficient. The sufficient condition turns out to be the existence of a zero-frequency mode. It is measured by an infinite product of the...

Persistent link: https://www.econbiz.de/10010590211

Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes

Lopes, Sílvia R.C.; Prass, Taiane S. - In: Physica A: Statistical Mechanics and its Applications 401 (2014) C, pp. 278-307

stationarity and the ergodicity of these processes. We prove that, if {Xt}t∈Z is a FIEGARCH(p,d,q) process then, under mild …

Persistent link: https://www.econbiz.de/10011058849

Quantum statistical relaxation in a classically chaotic system

Xie, Rui-hua; Tao, Rui-bao; Xu, Gong-ou - In: Physica A: Statistical Mechanics and its Applications 240 (1997) 3, pp. 503-525

Classical statistical relaxation is quantitatively characterized by the ergodicity, an important relation connecting … relaxation should be characterized correspondingly by the quantum ergodicity. In this paper, we have theoretically shown that … quantum ergodicity can only be realized under the condition M ⪢ ΔN ⪢ 1, and this condition can be readily satisfied as the …

Persistent link: https://www.econbiz.de/10011060034