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Clusters or networks of economies? A macroeconomy study through Gross Domestic Product

Ausloos, M.; Lambiotte, R. - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 1, pp. 16-21

We study correlations between web-downloaded gross domestic product (GDP)'s of rich countries. GDP is used as wealth … correlations between such fluctuations. The correlation measure is based on the Theil index. The system is represented by an …

Persistent link: https://www.econbiz.de/10010873163

Martingales, detrending data, and the efficient market hypothesis

McCauley, Joseph L.; Bassler, Kevin E.; Gunaratne, Gemunu H. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 1, pp. 202-216

look Markovian at the level of both simple averages and 2-point correlations. And while a Markovian market has no memory to … 3-point or higher correlations to beat the market. We generalize our Markov scaling solutions presented earlier, and … analysis of this paper to correct a misstatement of the ‘fair game’ condition in terms of serial correlations in Fama's paper …

Persistent link: https://www.econbiz.de/10010874048

Scaling and correlations in foreign exchange market

Jiang, J.; Ma, K.; Cai, X. - In: Physica A: Statistical Mechanics and its Applications 375 (2007) 1, pp. 274-280

We observe that the distribution of the relative return, describing the variation of a certain currency, of 74 global currencies obeys a power-law. By using the random matrix theory we find that the distribution of eigenvalues of correlation matrix of relative return also follows a power-law....

Persistent link: https://www.econbiz.de/10010874418

Entropy analysis of natural language written texts

Papadimitriou, C.; Karamanos, K.; Diakonos, F.K.; … - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 16, pp. 3260-3266

entropies are compared with those of stochastically generated symbolic sequences and the nature of correlations present in this …

Persistent link: https://www.econbiz.de/10010874885

Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?

Kristoufek, Ladislav - In: Physica A: Statistical Mechanics and its Applications 431 (2015) C, pp. 124-127

In this note, we investigate possible relationships between the bivariate Hurst exponent Hxy and an average of the separate Hurst exponents 12(Hx+Hy). We show that two cases are well theoretically founded. These are the cases when Hxy=12(Hx+Hy) and Hxy<12(Hx+Hy). However, we show that the case of Hxy>12(Hx+Hy) is not possible regardless of...</12(hx+hy).>

Persistent link: https://www.econbiz.de/10011264526

Correlations, risk and crisis: From physiology to finance

Gorban, Alexander N.; Smirnova, Elena V.; Tyukina, … - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 16, pp. 3193-3217

We study the dynamics of correlation and variance in systems under the load of environmental factors. A universal effect in ensembles of similar systems under the load of similar factors is described: in crisis, typically, even before obvious symptoms of crisis appear, correlation increases,...

Persistent link: https://www.econbiz.de/10010871731

Multiscaling and clustering of volatility

Pasquini, Michele; Serva, Maurizio - In: Physica A: Statistical Mechanics and its Applications 269 (1999) 1, pp. 140-147

Lévy, the behaviour of volatility correlations is still poorly understood. What is well known is that absolute returns have … show that volatility correlations are power laws with a non-unique scaling exponent. This kind of multiscale phenomenology …

Persistent link: https://www.econbiz.de/10010872277

Anomalous diffusion for a correlated process with long jumps

Srokowski, Tomasz - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 18, pp. 3077-3085

correlations. The particle velocity has the stable Lévy distribution; it is assumed as a jumping process (the kangaroo process … the case of power-law correlations decays with time, but a simple modification of the process makes the tails stable. The …

Persistent link: https://www.econbiz.de/10010872328

A model of relativistic one-component plasma with Darwin interactions

Alastuey, Angel; Appel, Walter - In: Physica A: Statistical Mechanics and its Applications 238 (1997) 1, pp. 369-404

We study a classical (non-quantum) model of relativistic one-component plasma described by the restricted Darwin-Breit Hamiltonian. In this model, two mobile charges interact via the familiar Coulomb potential plus a retarded electromagnetic potential of order 1/c2 which mixes their positions...

Persistent link: https://www.econbiz.de/10010587609

Modified detrended fluctuation analysis based on empirical mode decomposition for the characterization of anti-persistent processes

Qian, Xi-Yuan; Gu, Gao-Feng; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 23, pp. 4388-4395

-term correlations of non-stationary time series, in which a detrending step is necessary to obtain the local fluctuations at different …

Persistent link: https://www.econbiz.de/10010588818