Financial Time Series and Statistical Mechanics
| dc.creator | Ausloos, M. | |
| dc.date | 2001-03-02 | |
| dc.date | 2001-03-05 | |
| dc.date.accessioned | 2026-07-07T02:40:37Z | |
| dc.date.available | 2026-07-07T02:40:37Z | |
| dc.description | A few characteristic exponents describing power law behaviors of roughness, coherence and persistence in stochastic time series are compared to each other. Relevant techniques for analyzing such time series are recalled in order to distinguish how the various exponents are measured, and what basic differences exist between each one. Financial time series, like the JPY/DEM and USD/DEM exchange rates are used for illustration, but mathematical ones, like (fractional or not) Brownian walks can be used also as indicated. | |
| dc.description | 16 pages, 6 figures; to be published in Vom Billardtisch bis Monte Carlo - Spielfelder der Statistischen Physik, K.H. Hoffmann and M. Schreiber, Eds. (Springer, Berlin, 2001) Lecture Notes in Physics | |
| dc.identifier | https://arxiv.org/abs/cond-mat/0103068 | |
| dc.identifier | http://arxiv.org/abs/cond-mat/0103068 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/17436 | |
| dc.subject | Statistical Mechanics | |
| dc.title | Financial Time Series and Statistical Mechanics | |
| dc.type | text |