Search Results - subject:"Fractional spatial and temporal dynamic exponents"

Remarks on the possible universal mechanism of the non-linear long-term autocorrelations in financial time-series

Kutner, Ryszard; Świtała, Filip - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 244-251

The paper consists of two parts: (i) the empirical one where the non-linear, long-term autocorrelations present in high-frequency data extracting from the Warsaw Stock Exchange were analyzed and (ii) theoretical one where predictions of our model (Quantitative Finance 3 (2003) 201; Physica A...

Persistent link: https://www.econbiz.de/10011061723

Possible origin of the non-linear long-term autocorrelations within the Gaussian regime

Kutner, Ryszard; Świtała, Filip - In: Physica A: Statistical Mechanics and its Applications 330 (2003) 1, pp. 177-188

In this work we extend the recently considered toy model of Weierstrass or Lévy walks with varying velocity of the walker (Quantitative Finance 3 (2003) 201; Chem. Phys. 284 (2002) 481; Comp. Phys. Comm. 147 (2002) 565; Phys. A 264 (1999) 84; Phys. A 264 (1999) 107) by introducing a more realistic...

Persistent link: https://www.econbiz.de/10011060723