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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

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

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

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

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

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

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

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

Exploring nonlinear effects in a plasma-filled diode

Terra, M.O.; Barroso, J.J.; Macau, E.E.N. - In: Physica A: Statistical Mechanics and its Applications 283 (2000) 1, pp. 119-124

The complex and chaotic dynamics of a one-dimensional plasma-filled diode is numerically explored by a particle-in-cell simulation. The system has just one control parameter, namely, the electron transit angle, and presents a complex behavior as a function of such a parameter. We report here the...

Persistent link: https://www.econbiz.de/10010588538

Universal scaling behaviors of meteorological variables’ volatility and relations with original records

Lu, Feiyu; Yuan, Naiming; Fu, Zuntao; Mao, Jiangyu - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 20, pp. 4953-4962

standard deviations. To reconfirm the relation between long-range correlations in volatility and nonlinearity in original … clearly indicate that the nonlinearity of the original series is more pronounced in the magnitude series. …

Persistent link: https://www.econbiz.de/10010588761

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