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A new correlation coefficient for bivariate time-series data

Erdem, Orhan; Ceyhan, Elvan; Varli, Yusuf - In: Physica A: Statistical Mechanics and its Applications 414 (2014) C, pp. 274-284

The correlation in time series has received considerable attention in the literature. Its use has attained an important role in the social sciences and finance. For example, pair trading in finance is concerned with the correlation between stock prices, returns, etc. In general, Pearson’s...

Persistent link: https://www.econbiz.de/10010931520

Regional house price behaviour in the UK: application of a joint testing procedure

Cook, Steven - In: Physica A: Statistical Mechanics and its Applications 345 (2005) 3, pp. 611-621

The notion of a ripple effect in the UK housing market implies stationarity in regional:national house price ratios. In … test and a test of stationarity. In contrast to the previous studies which have failed to detect stationarity using the … Dickey–Fuller unit root test, the proposed method uncovers stationarity for a number of regions. Monte Carlo evidence is …

Persistent link: https://www.econbiz.de/10010590420

Towards a fractal approach to hadronization: evidence for stability, stationarity and scaling in hadron-production processes

Qin, Liu - In: Physica A: Statistical Mechanics and its Applications 338 (2004) 1, pp. 36-43

intervals are non-Gaussian stable random variables, which exhibit stationarity and scaling. The implications of the obtained …

Persistent link: https://www.econbiz.de/10010591153

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

Fractional calculus and continuous-time finance

Scalas, Enrico; Gorenflo, Rudolf; Mainardi, Francesco - In: Physica A: Statistical Mechanics and its Applications 284 (2000) 1, pp. 376-384

In this paper we present a rather general phenomenological theory of tick-by-tick dynamics in financial markets. Many well-known aspects, such as the Lévy scaling form, follow as particular cases of the theory. The theory fully takes into account the non-Markovian and non-local character of...

Persistent link: https://www.econbiz.de/10010872927

Multiple scale analysis of complex networks using the empirical mode decomposition method

Li, KePing; Gao, ZiYou; Zhao, XiaoMei - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 12, pp. 2981-2986

Empirical mode decomposition (EMD) method can decompose any complicated data into finite ‘intrinsic mode functions’ (IMFs). In this paper, we use EMD method to analyze and discuss the structural properties of complex networks. A random-walk method is used to collect the data series of...

Persistent link: https://www.econbiz.de/10010873009

On the metric, topological and functional structures of urban networks

Wagner, Roy - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 8, pp. 2120-2132

Axial Graphs are networks whose nodes are linear axes in urban space, and whose edges represent intersections of such axes. These graphs are used in urban planning and urban morphology studies. In this paper we analyse distance distributions between nodes in axial graphs, and show that these...

Persistent link: https://www.econbiz.de/10010873726

Random walk theory of jamming in a cellular automaton model for traffic flow

Barlovic, Robert; Schadschneider, Andreas; … - In: Physica A: Statistical Mechanics and its Applications 294 (2001) 3, pp. 525-538

The jamming behavior of a single lane traffic model based on a cellular automaton approach is studied. Our investigations concentrate on the so-called VDR model which is a simple generalization of the well-known Nagel–Schreckenberg model. In the VDR model one finds a separation between a free...

Persistent link: https://www.econbiz.de/10010873882

A stochastic theory for deep bed filtration accounting for dispersion and size distributions

Shapiro, A.A.; Bedrikovetsky, P.G. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 13, pp. 2473-2494

We develop a stochastic theory for filtration of suspensions in porous media. The theory takes into account particle and pore size distributions, as well as the random character of the particle motion, which is described in the framework of the theory of continuous-time random walks (CTRW). In...

Persistent link: https://www.econbiz.de/10010874289

Lattice covering by two random walkers in one dimension

Hemmer, P.C; Hemmer, S - In: Physica A: Statistical Mechanics and its Applications 251 (1998) 1, pp. 245-250

We study the average time necessary for two independent random walkers to cover a periodic one-dimensional lattice completely, as function of the lattice size and the starting positions of the walkers.

Persistent link: https://www.econbiz.de/10010874354

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