Similar Search Results

On the integration of financial markets: How strong is the evidence from five international stock markets?

Bentes, Sónia R. - In: Physica A: Statistical Mechanics and its Applications 429 (2015) C, pp. 205-214

This paper examines the integration of financial markets using data from five international stock markets in the context of globalization. The theoretical basis of this study relies on the price theory and the Law of One Price, which was adjusted to the framework of financial markets. When price...

Persistent link: https://www.econbiz.de/10011264578

Nonlinear joint dynamics between prices of crude oil and refined products

Zhang, Tao; Ma, Guofeng; Liu, Guangsheng - In: Physica A: Statistical Mechanics and its Applications 419 (2015) C, pp. 444-456

In this paper, we investigate the relationships between crude oil and refined product prices. We find that nonlinear correlations are stronger in the long-term than in the short-term. Crude oil and product prices are cointegrated and financial crisis in 2007–2008 caused a structural break of...

Persistent link: https://www.econbiz.de/10011117860

Nonlinear GARCH model and 1/f noise

Kononovicius, A.; Ruseckas, J. - In: Physica A: Statistical Mechanics and its Applications 427 (2015) C, pp. 74-81

Auto-regressive conditionally heteroskedastic (ARCH) family models are still used, by practitioners in business and economic policy making, as a conditional volatility forecasting models. Furthermore ARCH models still are attracting an interest of the researchers. In this contribution we...

Persistent link: https://www.econbiz.de/10011209648

Nonlinearity in high-frequency stock returns: Evidence from the Athens Stock Exchange

Anagnostidis, Panagiotis; Emmanouilides, Christos J. - In: Physica A: Statistical Mechanics and its Applications 421 (2015) C, pp. 473-487

higher-order stochastic nonlinearity. Rather, it is reminiscent of a random process. We conclude that the ACSPI data are … nonlinear; however, nonlinearity is attributed to persistent ARCH effects. …

Persistent link: https://www.econbiz.de/10011194068

Analysis of heartbeat asymmetry based on multi-scale time irreversibility test

Hou, Fengzhen; Zhuang, Jianjun; Bian, Chunhua; Tong, Tangji - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 4, pp. 754-760

We investigate the asymmetry of heart rate control system and suggest a simple index to quantify this asymmetry by performing high-dimensional time irreversibility tests to heartbeat interval time series over multiple scales. The results provide strong evidence to the concept that the asymmetry...

Persistent link: https://www.econbiz.de/10010871804

About nonlinear drift velocity at random walk by Levy flight: analytical solution and numerical simulations

Arkhincheev, V.E; Nomoev, A.V - In: Physica A: Statistical Mechanics and its Applications 269 (1999) 2, pp. 293-298

The relation between diffusion and conductivity is established for a case of diffusing particle moved by means of Levy hops. It is shown that due to an unusual character of the Levy flight a particle velocity depends on electrical field in nonlinear way in arbitrary weak fields. A nonlinear...

Persistent link: https://www.econbiz.de/10010872033

Computer simulation study of the Levy flight process

Ghaemi, Mehrdad; Zabihinpour, Zahra; Asgari, Yazdan - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 8, pp. 1509-1514

The random walk simulation of a Levy flight shows a linear relation between the mean square displacement 〈r2〉 and time. We have analyzed different aspects of this linearity. It is shown that the restriction of jump length to a maximum value (lm) affects the diffusion coefficient, even though...

Persistent link: https://www.econbiz.de/10011057626

Nonlinear conduction in composites above percolation threshold — beyond the backbone

Bardhan, K.K. - In: Physica A: Statistical Mechanics and its Applications 241 (1997) 1, pp. 267-277

, greater is the nonlinearity. Analysis of nonlinear data is made with emphasis on scaling properties. dI/dV is found to … voltage scales — is Vo, the scale for onset of nonlinearity and other is Vs, the scale for saturation. The transport exponents …, temperature-dependent nonlinearity is discussed to illustrate how the study of nonlinear conduction proves useful to unravel the …

Persistent link: https://www.econbiz.de/10011058267

Nonlinear EHD stability of the travelling and standing waves of two superposed dielectric bounded fluids in relative motion

El-Sayed, M.F. - In: Physica A: Statistical Mechanics and its Applications 291 (2001) 1, pp. 211-228

The nonlinear modulation of the interfacial waves of two superposed dielectric fluids with uniform depths and rigid horizontal boundaries, under the influence of constant normal electric fields and uniform horizontal velocities, is investigated using the multiple-time scales method. It is found...

Persistent link: https://www.econbiz.de/10011058886

Michaelis–Menten dynamics in complex heterogeneous networks

Gómez-Gardeñes, J.; Moreno, Y.; Floría, L.M. - In: Physica A: Statistical Mechanics and its Applications 352 (2005) 2, pp. 265-281

Biological networks have been recently found to exhibit many topological properties of the so-called complex networks. It has been reported that they are, in general, both highly skewed and directed. In this paper, we report on the dynamics of a Michaelis–Menten like model when the topological...

Persistent link: https://www.econbiz.de/10011059239