We use the Conditionally Exponential Decay (CED) model to explain the scaling behavior in currency exchange (FX) rates. This approach enables us not only to show that FX returns satisfy scaling with an exponent qualitatively different from that of a random walk, but also to identify the...

We demonstrate how the basic ideas of the fractal and the heterogeneous market hypotheses lead to a rigorous mathematical model, which can be used to solve the problem of characterizing the distribution of price changes corresponding to the empirical scaling law of volatility for high-frequency...

CONTENTS: 1.Introduction; 2.Financial market; 3.Electricity market; 4.Power exchange; 5.Forwards, futures and options; 6.Risk management; 7.Software (SPIS TRESCI: 1.Wprowadzenie; 2.Rynek finansowy; 3.Rynek energii elektrycznej; 4.Gielda energii elektrycznej; 5.Kontrakty terminowe; 6.Zarzadzanie...

The question, what information about the system can be derived from short time series of potassium current signal recorded at various voltages, has been posed. The statistical analysis of 4000-point data samples of ionic current in a single channel of the biological membrane is presented. The...

The time series of successive closed- and open-states durations determined for a voltage-dependent big conductance locust potassium channel (BK channel) have been analyzed. The problem of correlation between the states have been discussed by means of the autocorrelation function, Hurst and...

In this paper we consider the forward/futures contracts and Asian-type call options for power delivery as important components of the bidding strategies of the players’ profits on the electricity market. We show how these derivatives can affect their profit. We use linear asymmetric supply...

The aim of this paper is to apply the appropriate numerical, statistical and computer techniques to the construction of approximate solutions to 2nd order stochastic differential equations, subject to large random external disturbances with infinite variance, described by α-stable Lévy motion...

We demonstrate that continuous-time FARIMA processes with α-stable noise provide a new stochastic tool for studying the solar flare phenomenon in the framework of fractional Langevin equation. Simple computer tests to check the origins of α-stability and self-similarity are implemented for...