Similar Search Results

Multifractal behavior of the Korean stock-market index KOSPI

Lee, Jae Woo; Eun Lee, Kyoung; Arne Rikvold, Per - In: Physica A: Statistical Mechanics and its Applications 364 (2006) C, pp. 355-361

–height correlation function shows multiscaling properties. There are two scaling regimes with a crossover time around tc=40min. We …

Persistent link: https://www.econbiz.de/10010591816

Dynamics of ordering of isotropic magnets

Das, Jayajit; Rao, Madan - In: Physica A: Statistical Mechanics and its Applications 270 (1999) 1, pp. 253-262

We study the dynamics of ordering of the nonconserved and conserved Heisenberg magnet. The dynamics consists of two parts — an irreversible dissipation into a heat bath and a reversible precession induced by a torque due to the local molecular field. For quenches both to T=0 and Tc, we show...

Persistent link: https://www.econbiz.de/10011057815

Complex multifractal measures and a generalized multifractal formalism

Jeżewski, W. - In: Physica A: Statistical Mechanics and its Applications 298 (2001) 3, pp. 419-430

Strongly inhomogeneous multifractal measures involving extremely diverse local probability scales and exhibiting left-sided multifractal spectra are considered. The standard multifractal formalism is extended to such drastically inhomogeneous multifractal measures by introducing additional...

Persistent link: https://www.econbiz.de/10011061294

Exponentially damped Lévy flights, multiscaling, and exchange rates

Matsushita, Raul; Gleria, Iram; Figueiredo, Annibal; … - In: Physica A: Statistical Mechanics and its Applications 333 (2004) C, pp. 353-369

multiscaling properties of 30 daily exchange rates against the US dollar together with a fictitious euro-dollar rate (Physica A 286 … (2000) 353). Though multiscaling is not theoretically seen in either stable Lévy processes or abruptly truncated Lévy … multiscaling is concerned. Our novel findings incidentally reinforce the case for real-world relevance of the Lévy flights for …

Persistent link: https://www.econbiz.de/10011061713

Multiscaling in discrete models of epitaxial growth

Kundagrami, Arindam; Dasgupta, Chandan - In: Physica A: Statistical Mechanics and its Applications 270 (1999) 1, pp. 135-142

-mobility atomistic models of epitaxial growth is investigated numerically. A recently proposed connection between this multiscaling …

Persistent link: https://www.econbiz.de/10011062189

Multiscaling and Stock Market Efficiency in China

Thiele, Thomas A. - In: Review of Pacific Basin Financial Markets and Policies … 17 (2014) 04, pp. 1450023-1

-normal distribution and random walk hypothesis. The measured Hurst exponents revealed a multiscaling property of fractal Brownian motion …

Persistent link: https://www.econbiz.de/10011084770

An Elementary Model of Price Dynamics in a Financial Market Distribution, Multiscaling & Entropy

Reimann, Stefan - Institut für Volkswirtschaftslehre, … - 2006

Stylized facts of empirical assets log-returns include the existence of semi heavy tailed distributions and a non-linear spectrum of Hurst exponents. Empirical data considered are daily prices from 10 large indices from 01/01/1990 to 12/31/2004. We propose a stylized model of price dynamics...

Persistent link: https://www.econbiz.de/10005760917