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Apparent multifractality in financial time series

Bouchaud, J.-P.; Potters, M.; Meyer, M. - In: The European Physical Journal B - Condensed Matter and … 13 (2000) 3, pp. 595-599

Persistent link: https://www.econbiz.de/10009325087

Role of noise in a market model with stochastic volatility

Bonanno, G.; Valenti, D.; Spagnolo, B. - In: The European Physical Journal B - Condensed Matter and … 53 (2006) 3, pp. 405-409

correlation between the two Wiener processes, which model the two white noise sources. This model can be useful to describe the … noise on the statistical properties of the escape time with reference to the noise enhanced stability (NES) phenomenon, that … is the noise induced enhancement of the lifetime of a metastable state. We observe NES effect in our model with …

Persistent link: https://www.econbiz.de/10009279971

The role of communication and imitation in limit order markets

Tedeschi, G.; Iori, G.; Gallegati, M. - In: The European Physical Journal B - Condensed Matter and … 71 (2009) 4, pp. 489-497

Persistent link: https://www.econbiz.de/10009280007

A random walker on a ratchet potential: effect of a non Gaussian noise

Mangioni, S. E.; Wio, H. S. - In: The European Physical Journal B - Condensed Matter and … 61 (2008) 1, pp. 67-73

We analyze the effect of a colored non Gaussian noise on a model of a random walker moving along a ratchet potential … correlated and non Gaussian. Among other aspects, in addition to a maximum in the current as the noise intensity is varied, we …

Persistent link: https://www.econbiz.de/10009280020

Stochastic resonance in an ion channel following the non-Arrhenius gating rate

Parc, Yong Woon; Koh, Duk-Su; Sung, Wokyung - In: The European Physical Journal B - Condensed Matter and … 69 (2009) 1, pp. 127-131

Persistent link: https://www.econbiz.de/10009280022

A wavelet-based method for multifractal image analysis. I. Methodology and test applications on isotropic and anisotropic random rough surfaces

Arnéodo, A.; Decoster, N.; Roux, S.G. - In: The European Physical Journal B - Condensed Matter and … 15 (2000) 3, pp. 567-600

Persistent link: https://www.econbiz.de/10009280026

Asymptotic regime in N random interacting species

Fiasconaro, A.; Valenti, D.; Spagnolo, B. - In: The European Physical Journal B - Condensed Matter and … 50 (2006) 1, pp. 189-194

multiplicative noise is analyzed. We find the role of the external noise on the long time probability distribution of the ith density …

Persistent link: https://www.econbiz.de/10009280043

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

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