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Dynamical stochastic processes of returns in financial markets

Lim, Gyuchang; Kim, SooYong; Yoon, Seong-Min; Jung, Jae-Won - In: Physica A: Statistical Mechanics and its Applications 376 (2007) C, pp. 517-524

(KTB) futures and the S&P 500 stock index, which can be described by means of the Fokker–Planck equation. We show that the …

Persistent link: https://www.econbiz.de/10010589638

A Langevin equation for the rates of currency exchange based on the Markov analysis

Farahpour, F.; Eskandari, Z.; Bahraminasab, A.; Jafari, G.R. - In: Physica A: Statistical Mechanics and its Applications 385 (2007) 2, pp. 601-608

We propose a method for analyzing the data for the rates of exchange of various currencies versus the U.S. dollar. The method analyzes the return time series of the data as a Markov process, and develops an effective equation which reconstructs it. We find that the Markov time scale, i.e., the...

Persistent link: https://www.econbiz.de/10010591556

Dynamical mechanism of two-phase phenomena in financial markets

Lim, Gyuchang; Yong Kim, Soo; Kim, Kyungsik; Lee, Dong-In; … - In: Physica A: Statistical Mechanics and its Applications 386 (2007) 1, pp. 253-258

Two-phase behavior of the Korean treasury bond (KTB) futures in the Korean exchange market is investigated in this … from the KTB futures market with shuffled data and a generated time series are examined according to the Brownian process …. In addition, we study the correlation inherent in the KTB futures and its Brownian walk, describing the extent to which …

Persistent link: https://www.econbiz.de/10010873445

Volatilities, traded volumes, and the hypothesis of price increments in derivative securities

Lim, Gyuchang; Kim, SooYong; Scalas, Enrico; Kim, Kyungsik - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 2, pp. 577-585

A detrended fluctuation analysis (DFA) is applied to the statistics of Korean treasury bond (KTB) futures from which …-order correlation not detected by with the direct application of the DFA to logarithmic increments of KTB futures, it is of importance …

Persistent link: https://www.econbiz.de/10010873990

Dynamical behaviors of inter-out-of-equilibrium state intervals in Korean futures exchange markets

Lim, Gyuchang; Kim, SooYong; Kim, Kyungsik; Lee, Dong-In; … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 12, pp. 2831-2836

A recently discovered feature of financial markets, the two-phase phenomenon, is utilized to categorize a financial time series into two phases, namely equilibrium and out-of-equilibrium states. For out-of-equilibrium states, we analyze the time intervals at which the state is revisited. The...

Persistent link: https://www.econbiz.de/10010588859

Multifractal detrended fluctuation analysis of derivative and spot markets

Lim, Gyuchang; Kim, SooYong; Lee, Hyoung; Kim, Kyungsik; … - In: Physica A: Statistical Mechanics and its Applications 386 (2007) 1, pp. 259-266

We investigate the multifractal properties of price increments in the cases of derivative and spot markets. Through the multifractal detrended fluctuation analysis, we estimate the generalized Hurst and the Renyi exponents for price fluctuations. By deriving the singularity spectrum from the...

Persistent link: https://www.econbiz.de/10010590415

Effect of different waiting time processes with memory to anomalous diffusion dynamics in an external force fields

Ren, Fu-Yao; Wang, Jun; Lv, Long-Jin; Pan, Hua; Qiu, … - In: Physica A: Statistical Mechanics and its Applications 417 (2015) C, pp. 202-214

In this paper, we study the anomalous diffusion of a particle in an external force field whose motion is governed by nonrenewal continuous time random walks with memory. In our models, the waiting time involves Riemann–Liouville fractional derivative or Riemann–Liouville fractional integral....

Persistent link: https://www.econbiz.de/10011077841

Effects of Gaussian colored noise on time evolution of information entropy in a damped harmonic oscillator

Guo, Yong-Feng; Tan, Jian-Guo - In: Physica A: Statistical Mechanics and its Applications 419 (2015) C, pp. 691-697

The effects of Gaussian colored noise on time evolution of information entropy in a damped harmonic oscillator are studied in this paper. The one-dimensional non-Markovian process with Gaussian colored noise is stochastically equivalent to two-dimensional Markovian process and the dimension of...

Persistent link: https://www.econbiz.de/10011117869

Hamilton–Jacobi and Fokker–Planck equations for the harmonic oscillator in the inertial regime

Jiménez-Aquino, J.I.; Cortés, Emilio - In: Physica A: Statistical Mechanics and its Applications 422 (2015) C, pp. 203-209

In this work we use Feynman’s path integral formalism to show the strict equivalence between the Hamilton–Jacobi (HJ) and Fokker–Planck (FP) equations, for a Brownian harmonic oscillator characterized by a Langevin equation within the inertial regime. In this case, the Lagrangian function...

Persistent link: https://www.econbiz.de/10011194089

Unique representation of an inverse-kinetic theory for incompressible Newtonian fluids

Tessarotto, M.; Ellero, M. - In: Physica A: Statistical Mechanics and its Applications 373 (2007) C, pp. 142-152

Fundamental aspects of inverse-kinetic theories for the incompressible Navier–Stokes equations [M. Tessarotto, M. Ellero, RGD24, Italy, July 10–16, 2004, AIP Conf. Proc. 762 (2005) 108; M. Ellero, M. Tessarotto, Physica A 355 (2005) 233] include the possibility of defining uniquely the kinetic...

Persistent link: https://www.econbiz.de/10010871584