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Multiscale multifractal diffusion entropy analysis of financial time series

Huang, Jingjing; Shang, Pengjian - In: Physica A: Statistical Mechanics and its Applications 420 (2015) C, pp. 221-228

This paper introduces a multiscale multifractal diffusion entropy analysis (MMDEA) method to analyze long-range correlation then applies this method to stock index series. The method combines the techniques of diffusion process and Rényi entropy to focus on the scaling behaviors of stock index...

Persistent link: https://www.econbiz.de/10011117864

A Black-Scholes Schrödinger option price: ‘bit’ versus ‘qubit’

Haven, Emmanuel - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 1, pp. 201-206

The celebrated Black-Scholes differential equation provides for the price of a financial derivative. The uncertainty environment of such option price can be described by the classical ‘bit’: a system with two possible states. This paper argues for the introduction of a different uncertainty...

Persistent link: https://www.econbiz.de/10011061471

Temporal evolution into a more efficient stock market

Yang, Jae-Suk; Kaizoji, Taisei; Kwak, Wooseop - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 11, pp. 2002-2008

Using the price change and the log return of 10 stock market indices, we examine the temporal evolution of the time scale. The 10 stock markets had similar properties. Their log-return time series had patterns and long-range correlations until the mid-1990s. In the 2000s, however, the long-range...

Persistent link: https://www.econbiz.de/10010588708

The physics of time and dimension in the economics of financial control

Shubik, Martin; Smith, Eric - In: Physica A: Statistical Mechanics and its Applications 340 (2004) 4, pp. 656-667

The provision of the goods and services of a modern economy is controlled by a multiplicity of financial instruments. The basic properties of these instruments are considered here.

Persistent link: https://www.econbiz.de/10010589876

Lifetime and fitness: Life process in spatial prisoner’s dilemma games

Li, Zhi-Hua - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 23, pp. 4244-4250

We study the roles of life process in cooperation in spatial prisoner’s dilemma games. We assume each individual to have a finite lifetime which is correlated with its current fitness. The correlation is controlled by a free parameter w. Simulation results show that the dynamical changing of...

Persistent link: https://www.econbiz.de/10010591448

Scale-free avalanche dynamics in the stock market

Bartolozzi, M.; Leinweber, D.B.; Thomas, A.W. - In: Physica A: Statistical Mechanics and its Applications 370 (2006) 1, pp. 132-139

Self-organized criticality (SOC) has been claimed to play an important role in many natural and social systems. In the present work we empirically investigate the relevance of this theory to stock-market dynamics. Avalanches in stock-market indices are identified using a multi-scale...

Persistent link: https://www.econbiz.de/10010871560

Kernel methods and flexible inference for complex stochastic dynamics

Capobianco, Enrico - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 16, pp. 4077-4098

Approximation theory suggests that series expansions and projections represent standard tools for random process applications from both numerical and statistical standpoints. Such instruments emphasize the role of both sparsity and smoothness for compression purposes, the decorrelation power...

Persistent link: https://www.econbiz.de/10010873605

Masking properties of APD communication systems

Fernandez, J.G.; Larrondo, H.A.; Slavin, H.A.; Levin, D.G. - In: Physica A: Statistical Mechanics and its Applications 328 (2003) 3, pp. 351-359

structures. In a recent paper the capability of wavelets to unmask a message, in cases where a chaotic signal is just added to … with the chaotic signal, is studied here. A representative case employing Daubechies wavelets and a typical Rossler …-oscillator-based communication system is reported. Using a time scaling parameter modifies the spectrum of the mask. The results show that wavelets …

Persistent link: https://www.econbiz.de/10010874519

Multiscale analysis from turbulent time series with wavelet transform

Rodrigues Neto, C; Zanandrea, A; Ramos, F.M; Rosa, R.R; … - In: Physica A: Statistical Mechanics and its Applications 295 (2001) 1, pp. 215-218

We present a multiscale signal analysis based on the multifractal spectrum obtained by the Wavelet Transform Modulus Maxima technique. We analyze time series from turbulent data: the first step is to obtain the PDF of the flutuations for velocities records and then to fit them by means of the...

Persistent link: https://www.econbiz.de/10011057480

Slight parameter changes detection in biological models: a multiresolution approach

Añino, M.M.; Torres, M.E.; Schlotthauer, G. - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 3, pp. 645-664

This paper deals with the automatic detection of slight parameter changes from the analysis of signals generated by nonlinear biological systems. The interest is focused here on investigating particular aspects of the relation between signal analysis and systems dynamics, involving the automatic...

Persistent link: https://www.econbiz.de/10011057808