Similar Search Results

Size matters: some stylized facts of the stock market revisited

Eisler, Z.; Kertész, J. - In: The European Physical Journal B - Condensed Matter and … 51 (2006) 1, pp. 145-154

We reanalyze high resolution data from the New York Stock Exchange and find a monotonic (but not power law) variation of the mean value per trade, the mean number of trades per minute and the mean trading activity with company capitalization. We show that the second moment of the traded value...

Persistent link: https://www.econbiz.de/10009281939

Interacting gaps model, dynamics of order book, and stock-market fluctuations

Svorenčík, A.; Slanina, F. - In: The European Physical Journal B - Condensed Matter and … 57 (2007) 4, pp. 453-462

Inspired by order-book models of financial fluctuations, we investigate the Interacting gaps model, which is the schematic one-dimensional system mimicking the order-book dynamics. We find by simulations the power-law tail in return distribution, power-law decay of volatility autocorrelation...

Persistent link: https://www.econbiz.de/10009281946

From short to fat tails in financial markets: a unified description

Cortines, A. A.G.; Riera, R.; Anteneodo, C. - In: The European Physical Journal B - Condensed Matter and … 60 (2007) 3, pp. 385-389

In complex systems such as turbulent flows and financial markets, the dynamics in long and short time-lags, signaled by Gaussian and fat-tailed statistics, respectively, calls for a unified description. To address this issue we analyze a real dataset, namely, price fluctuations, in a wide range...

Persistent link: https://www.econbiz.de/10009281948

Generalized Fokker-Planck equation: Derivation and exact solutions

Denisov, S. I.; Horsthemke, W.; Hänggi, P. - In: The European Physical Journal B - Condensed Matter and … 68 (2009) 4, pp. 567-575

Persistent link: https://www.econbiz.de/10009281960

Hamilton-like statistics in onedimensional driven dissipative many-particle systems

Treiber, M.; Helbing, D. - In: The European Physical Journal B - Condensed Matter and … 68 (2009) 4, pp. 607-618

Persistent link: https://www.econbiz.de/10009281980

The underdamped Josephson junction subjected to colored noises

Nie, L. R.; Mei, D. C. - In: The European Physical Journal B - Condensed Matter and … 58 (2007) 4, pp. 475-481

exhibits monostability → bistability → monostability transitions as the autocorrelation rate (λ) of a colored noise increases …; (ii) in the bistability region the multiplicative noise drives the phase difference to turn over periodically; (iii) the … presence of a dichotomous noise, we found nonmonotonic behavior of 〈V 〉<Subscript>max</Subscript> and the slope K as a function …

Persistent link: https://www.econbiz.de/10009282001

Stochastic storage models and noise-induced phase transitions

Shpyrko, S.; Ryazanov, V. V. - In: The European Physical Journal B - Condensed Matter and … 54 (2006) 3, pp. 345-354

and output into a system. It reproduces statistical distributions typical for noise-induced phase transitions (e …

Persistent link: https://www.econbiz.de/10009282121

Heat and fluctuations from order to chaos

Gallavotti, G. - In: The European Physical Journal B - Condensed Matter and … 61 (2008) 1, pp. 1-24

The Heat theorem reveals the second law of equilibrium Thermodynamics (i.e. existence of Entropy) as a manifestation of a general property of Hamiltonian Mechanics and of the Ergodic Hypothesis, valid for 1 as well as 10<Superscript>23</Superscript> degrees of freedom systems, i.e. for simple as well as very complex...</superscript>

Persistent link: https://www.econbiz.de/10009282125

Stochastic resonance in bistable confining potentials

Heinsalu, E.; Patriarca, M.; Marchesoni, F. - In: The European Physical Journal B - Condensed Matter and … 69 (2009) 1, pp. 19-22

Persistent link: https://www.econbiz.de/10009282174

Domino effect for world market fluctuations

Vandewalle, N.; Boveroux, Ph.; Brisbois, F. - In: The European Physical Journal B - Condensed Matter and … 15 (2000) 3, pp. 547-549

Persistent link: https://www.econbiz.de/10009282181