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...

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...

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...

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...

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...

In this paper, we apply the principles of information theory that relate to the definition of nonlinear predictability, which is a measure that describes both the linear and nonlinear components of a system. By comparing this measure to a measure of linear predictability, one can assess whether...

The heartbeat rate signal provides an invaluable means of assessing the sympathetic–parasympathetic balance of the human autonomic nervous system and thus represents an ideal diagnostic mechanism for detecting a variety of disorders such as epilepsy, cardiac disease and so forth. The current...

A time series can be decomposed into two sub-series: a magnitude series and a sign series. Here we analyze separately the scaling properties of the magnitude series and the sign series using the increment time series of cardiac interbeat intervals as an example. We find that time series having...