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Price clustering and discreteness: is there chaos behind the noise?
Antoniou, Antonios; Vorlow, Constantinos E. - In: Physica A: Statistical Mechanics and its Applications 348 (2005) C, pp. 389-403
We investigate the “compass rose” patterns introduced by Crack and Ledoit (J. Finance 51(2)(1996) 751) as revealed in phase portraits (delay plots) of stock returns. The structures observed in these diagrams have been attributed mainly to price clustering and discreteness and the tick size....
Persistent link: https://www.econbiz.de/10011063370
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Time series analysis for minority game simulations of financial markets
Ferreira, Fernando F; Francisco, Gerson; Machado, Birajara S - In: Physica A: Statistical Mechanics and its Applications 321 (2003) 3, pp. 619-632
The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and...
Persistent link: https://www.econbiz.de/10010591728
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Effects of degree correlation on the controllability of networks
Miao, Qingying; Rong, Zhihai; Tang, Yang; Fang, Jianan - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 24, pp. 6225-6230
In this paper, we investigate the effects of degree correlation on the controllability of undirected networks with …-degree pinning, some relevance factors on controllability such as the control gain and the number of pinned nodes are discussed in … detail. It is found that disassortative mixing enhances the network controllability contrast to assortative mixing, to which …
Persistent link: https://www.econbiz.de/10010588421
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A controllable model of a random multiplicative process for the entire distribution of population
Tomita, Shinji; Hayashi, Yukio - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 5, pp. 1345-1351
in Japan from 1980 to 2006. This controllability of RMP can be applied to a power law distribution in various other …
Persistent link: https://www.econbiz.de/10010590467
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On the integration of financial markets: How strong is the evidence from five international stock markets?
Bentes, Sónia R. - In: Physica A: Statistical Mechanics and its Applications 429 (2015) C, pp. 205-214
This paper examines the integration of financial markets using data from five international stock markets in the context of globalization. The theoretical basis of this study relies on the price theory and the Law of One Price, which was adjusted to the framework of financial markets. When price...
Persistent link: https://www.econbiz.de/10011264578
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Nonlinear joint dynamics between prices of crude oil and refined products
Zhang, Tao; Ma, Guofeng; Liu, Guangsheng - In: Physica A: Statistical Mechanics and its Applications 419 (2015) C, pp. 444-456
role in the adjustment process of the long-term equilibrium. However, refined product prices dominated crude oil prices …
Persistent link: https://www.econbiz.de/10011117860
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Nonlinear GARCH model and 1/f noise
Kononovicius, A.; Ruseckas, J. - In: Physica A: Statistical Mechanics and its Applications 427 (2015) C, pp. 74-81
Auto-regressive conditionally heteroskedastic (ARCH) family models are still used, by practitioners in business and economic policy making, as a conditional volatility forecasting models. Furthermore ARCH models still are attracting an interest of the researchers. In this contribution we...
Persistent link: https://www.econbiz.de/10011209648
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Nonlinearity in high-frequency stock returns: Evidence from the Athens Stock Exchange
Anagnostidis, Panagiotis; Emmanouilides, Christos J. - In: Physica A: Statistical Mechanics and its Applications 421 (2015) C, pp. 473-487
higher-order stochastic nonlinearity. Rather, it is reminiscent of a random process. We conclude that the ACSPI data are … nonlinear; however, nonlinearity is attributed to persistent ARCH effects. …
Persistent link: https://www.econbiz.de/10011194068
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Analysis of heartbeat asymmetry based on multi-scale time irreversibility test
Hou, Fengzhen; Zhuang, Jianjun; Bian, Chunhua; Tong, Tangji - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 4, pp. 754-760
We investigate the asymmetry of heart rate control system and suggest a simple index to quantify this asymmetry by performing high-dimensional time irreversibility tests to heartbeat interval time series over multiple scales. The results provide strong evidence to the concept that the asymmetry...
Persistent link: https://www.econbiz.de/10010871804
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About nonlinear drift velocity at random walk by Levy flight: analytical solution and numerical simulations
Arkhincheev, V.E; Nomoev, A.V - In: Physica A: Statistical Mechanics and its Applications 269 (1999) 2, pp. 293-298
The relation between diffusion and conductivity is established for a case of diffusing particle moved by means of Levy hops. It is shown that due to an unusual character of the Levy flight a particle velocity depends on electrical field in nonlinear way in arbitrary weak fields. A nonlinear...
Persistent link: https://www.econbiz.de/10010872033