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On the probability distribution of stock returns in the Mike-Farmer model

Gu, G.-F.; Zhou, W.-X. - In: The European Physical Journal B - Condensed Matter and … 67 (2009) 4, pp. 585-592

Persistent link: https://www.econbiz.de/10009280046

Nonequilibrium work relations: foundations and applications

Jarzynskia, C. - In: The European Physical Journal B - Condensed Matter and … 64 (2008) 3, pp. 331-340

Persistent link: https://www.econbiz.de/10009280061

Divergent estimation error in portfolio optimization and in linear regression

Kondor, I.; Varga-Haszonits, I. - In: The European Physical Journal B - Condensed Matter and … 64 (2008) 3, pp. 601-605

Persistent link: https://www.econbiz.de/10009280112

Detecting and quantifying temporal correlations in stochastic resonance via information theory measures

Rosso, O. A.; Masoller, C. - In: The European Physical Journal B - Condensed Matter and … 69 (2009) 1, pp. 37-43

Persistent link: https://www.econbiz.de/10009280145

Distribution of return intervals of extreme events

Pennetta, C. - In: The European Physical Journal B - Condensed Matter and … 50 (2006) 1, pp. 95-98

The distribution of return intervals of extreme events is studied in time series characterized by finite-term correlations with non-exponential decay. Precisely, it has been analyzed the statistics of the return intervals of extreme values of the resistance fluctuations displayed by resistors...

Persistent link: https://www.econbiz.de/10009280186

Eroding market stability by proliferation of financial instruments

Caccioli, F.; Marsili, M.; Vivo, P. - In: The European Physical Journal B - Condensed Matter and … 71 (2009) 4, pp. 467-479

Persistent link: https://www.econbiz.de/10009280228

Constructive influence of noise-flatness in correlation ratchets

Martila, D.; Mankin, R.; Tammelo, R.; Sauga, A.; Reiter, E. - In: The European Physical Journal B - Condensed Matter and … 54 (2006) 3, pp. 375-383

The influence of noise-flatness on overdamped motion of Brownian particles in a 1D periodic system with a simple … sawtooth potential subjected to both unbiased thermal noise and three-level telegraph noise is considered. The exact formula … phase diagrams. The conditions for the existence of four current reversals versus the switching rate of nonequilibrium noise …

Persistent link: https://www.econbiz.de/10009280239

Frequency and phase synchronization of two coupled neurons with channel noise

Yu, L. C.; Chen, Y.; Zhang, Pan - In: The European Physical Journal B - Condensed Matter and … 59 (2007) 2, pp. 249-257

We study the frequency and phase synchronization in two coupled identical and nonidentical neurons with channel noise … strength of channel noise is represented by ion channel cluster size of neurons. It is shown that channel noise allows the two … and channel noise. Those regimes are characterized by the distribution of the cyclic relative phase corresponding to …

Persistent link: https://www.econbiz.de/10009280322

Study of the non-linear autocorrelations within the Gaussian regime

Kutner, R.; Świtała, F. - In: The European Physical Journal B - Condensed Matter and … 33 (2003) 4, pp. 495-503

In this work we extend the recently considered toy model of Weierstrass or Lévy walks with varying velocity of the walker [1] by introducing a more realistic possibility that the walk can be occasionally intermitted by its momentary localization; the localizations themselves are again described...

Persistent link: https://www.econbiz.de/10009280327

Inefficiency in Latin-American market indices

Zunino, L.; Tabak, B. M.; Pérez, D. G.; Garavaglia, M.; … - In: The European Physical Journal B - Condensed Matter and … 60 (2007) 1, pp. 111-121

We explore the deviations from efficiency in the returns and volatility returns of Latin-American market indices. Two different approaches are considered. The dynamics of the Hurst exponent is obtained via a wavelet rolling sample approach, quantifying the degree of long memory exhibited by the...

Persistent link: https://www.econbiz.de/10009280335