Search results for "Power-law"
showing 3 items of 23 documents
The Problem of Time Arrow in Financial Time Series
According to the efficient market hypothesis, future movements of the market cannot be predicted. This introduces an intrinsic time asymmetry of the financial time series as there are no laws forbidding “predicting” past based on the current market fluctuations. This clear time asymmetry in the basic laws of finance raises a question which we shall be referring to as the problem of time arrow: are there any noticeable statistical differences between forward-in-time and reverse-in-time market data. Majority of the statistical methods used for financial time series are time-symmetric and hence, not usable for our purposes. The first method used in our study is the analysis of the length-distr…
The predictive power of power-laws: An empirical time-arrow based investigation
2022
The efficient market hypothesis forbids any predictability towards future, but there is no such restriction in the case of reversed-looking approaches. We analyze if this asymmetry in non-predictability is reflected in the statistical features of financial time series. Our study is based on the analysis of the length-distribution of periods with high variability, and introduces time-asymmetric modifications of the method which are capable of revealing differences of the time series in forward and reversed time. We show that the future and reversed-looking time-series possess very similar properties, with some features being distinguishable with our method. Our findings give also evidence of…
Free energy and states of fractional-order hereditariness
2014
AbstractComplex materials, often encountered in recent engineering and material sciences applications, show no complete separations between solid and fluid phases. This aspect is reflected in the continuous relaxation time spectra recorded in cyclic load tests. As a consequence the material free energy cannot be defined in a unique manner yielding a significative lack of knowledge of the maximum recoverable work that can extracted from the material. The non-uniqueness of the free energy function is removed in the paper for power-laws relaxation/creep function by using a recently proposed mechanical analogue to fractional-order hereditariness.