Scaling analysis of multivariate intermittent time series

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dc.creatorKitt, Robert
dc.creatorKalda, Jaan
dc.date2005-01-13
dc.date.accessioned2026-07-07T12:07:04Z
dc.date.available2026-07-07T12:07:04Z
dc.descriptionThe scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similarly to the asset prices, the trading volume data obey multi-scaling length-distribution of low-variability periods. In the case of asset prices, such scaling behaviour can be used for risk forecasts: the probability of observing next day a large price movement is (super-universally) inversely proportional to the length of the ongoing low-variability period. Finally, a method is devised for a multi-factor scaling analysis. We apply the simplest, two-factor model to equity index and trading volume time series.
dc.description16 pages, 5 figures, accepted for publication in Physica A
dc.identifierhttps://arxiv.org/abs/cond-mat/0501325
dc.identifierhttp://arxiv.org/abs/cond-mat/0501325
dc.identifierPhysica A, 353, 2005, 480
dc.identifierdoi:10.1016/j.physa.2005.01.038
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208845
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleScaling analysis of multivariate intermittent time series
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