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Characterizing abrupt changes in the stock prices using a wavelet decomposition method

Caetano, Marco Antonio Leonel; Yoneyama, Takashi - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 2, pp. 519-526

be satisfied, so that the linear and cyclic trends are eliminated by standard least squares techniques. The coefficients …

Persistent link: https://www.econbiz.de/10010589765

Scaling and long range dependence in option pricing, IV: Pricing European options with transaction costs under the multifractional Black–Scholes model

Wang, Xiao-Tian - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 4, pp. 789-796

This paper deals with the problem of discrete time option pricing using the multifractional Black–Scholes model with transaction costs. Using a mean self-financing delta hedging argument in a discrete time setting, a European call option pricing formula is obtained. The minimal price of an...

Persistent link: https://www.econbiz.de/10010588492

Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black–Scholes model with transaction costs

Wang, Xiao-Tian - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 9, pp. 1623-1634

This paper deals with the problem of discrete time option pricing using the fractional Black–Scholes model with transaction costs. Through the ‘anchoring and adjustment’ argument in a discrete time setting, a European call option pricing formula is obtained. The minimal price of an option...

Persistent link: https://www.econbiz.de/10010589482

Dynamics of a stochastic Holling II one-predator two-prey system with jumps

Zhang, Xinhong; Li, Wenxue; Liu, Meng; Wang, Ke - In: Physica A: Statistical Mechanics and its Applications 421 (2015) C, pp. 571-582

In this paper, a stochastic Holling II one-predator two-prey system with jumps is investigated. Firstly, the properties …

Persistent link: https://www.econbiz.de/10011194094

Model for domain wall avalanches in ferromagnetic thin films

Buceta, R.C.; Muraca, D. - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 23, pp. 4192-4197

The Barkhausen jumps or avalanches in magnetic domain-walls motion between successive pinned configurations, due the … numerically distributions of sizes and durations of the jumps and find power-law critical behavior. The avalanche-size exponent is …

Persistent link: https://www.econbiz.de/10010873078

On possible origins of trends in financial market price changes

Murakami, Ryo; Nakamura, Tomomichi; Kimura, Shin; … - In: Physica A: Statistical Mechanics and its Applications 420 (2015) C, pp. 179-189

We investigate possible origins of the trends in financial markets, where trend we refer to as is a relatively long … driving force term to generate trends forcibly. We find that the trend can be generated by this simple model without any … expected forthcoming direction of price change, (ii) non-monotonic trends spontaneously emerge when dealers cannot obtain …

Persistent link: https://www.econbiz.de/10011117893

Long-range correlations and trends in Colombian seismic time series

Martín-Montoya, L.A.; Aranda-Camacho, N.M.; Quimbay, C.J. - In: Physica A: Statistical Mechanics and its Applications 421 (2015) C, pp. 124-133

We study long-range correlations and trends in time series extracted from the data of seismic events occurred from 1973 … influenced by trends. Additionally, an analysis of the Hurst exponent as a function of the number of events in the time and the …

Persistent link: https://www.econbiz.de/10011194006

Testing for dynamics in the irregular fluctuations of financial data

Nakamura, Tomomichi; Small, Michael - In: Physica A: Statistical Mechanics and its Applications 366 (2006) C, pp. 377-386

Price changes in financial data fluctuate irregularly or stochastically. This paper investigates whether the irregular fluctuations are random or have some kind of dynamics by applying a recently developed method, the small-shuffle surrogate method. The data used are daily gold price, daily...

Persistent link: https://www.econbiz.de/10010871598

Minimizing the effect of trends on detrended fluctuation analysis of long-range correlated noise

Nagarajan, Radhakrishnan; Kavasseri, Rajesh G. - In: Physica A: Statistical Mechanics and its Applications 354 (2005) C, pp. 182-198

DFA to trends [(Phys. Rev. E 64 (2001) 011114–011133)] which give rise to spurious crossovers and prevent reliable …) of the trajectory matrix to minimize the effect of linear, power-law, periodic and also quasi-periodic trends …

Persistent link: https://www.econbiz.de/10010872517

Assessment of long-range correlation in animal behavior time series: The temporal pattern of locomotor activity of Japanese quail (Coturnix coturnix) and mosquito larva (Culex quinquefasciatus)

Kembro, Jackelyn M.; Flesia, Ana Georgina; Gleiser, … - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 24, pp. 6400-6413

Detrended Fluctuation Analysis (DFA) is a method that has been frequently used to determine the presence of long-range correlations in human and animal behaviors. However, according to previous authors using statistical model systems, in order to correctly use DFA different aspects should be...

Persistent link: https://www.econbiz.de/10011058226