Search results for "statistical [methods]"
showing 10 items of 1664 documents
Networks of equities in financial markets
2004
We review the recent approach of correlation based networks of financial equities. We investigate portfolio of stocks at different time horizons, financial indices and volatility time series and we show that meaningful economic information can be extracted from noise dressed correlation matrices. We show that the method can be used to falsify widespread market models by directly comparing the topological properties of networks of real and artificial markets.
Hierarchical Structure in Financial Markets
1998
I find a topological arrangement of stocks traded in a financial market which has associated a meaningful economic taxonomy. The topological space is a graph connecting the stocks of the portfolio analyzed. The graph is obtained starting from the matrix of correlation coefficient computed between all pairs of stocks of the portfolio by considering the synchronous time evolution of the difference of the logarithm of daily stock price. The hierarchical tree of the subdominant ultrametric space associated with the graph provides information useful to investigate the number and nature of the common economic factors affecting the time evolution of logarithm of price of well defined groups of sto…
Taxonomy of stock market indices
2000
We investigate sets of financial non-redundant and nonsynchronously recorded time series. The sets are composed by a number of stock market indices located all over the world in five continents. By properly selecting the time horizon of returns and by using a reference currency we find a meaningful taxonomy. The detection of such a taxonomy proves that interpretable information can be stored in a set of nonsynchronously recorded time series.
Power-law relaxation in a complex system: Omori law after a financial market crash
2003
We study the relaxation dynamics of a financial market just after the occurrence of a crash by investigating the number of times the absolute value of an index return is exceeding a given threshold value. We show that the empirical observation of a power law evolution of the number of events exceeding the selected threshold (a behavior known as the Omori law in geophysics) is consistent with the simultaneous occurrence of (i) a return probability density function characterized by a power law asymptotic behavior and (ii) a power law relaxation decay of its typical scale. Our empirical observation cannot be explained within the framework of simple and widespread stochastic volatility models.
Statistical mechanics and thermodynamics of complex systems
2003
An unified thermodynamical framework based in the use of a generalized Massieu-Planck thermodynamic potential is proposed and a new formulation of Boltzmann-Gibbs Statistical Mechanics is established. Under this philosophy a generalization of (classical) Boltzmann-Gibbs thermostatistics is suggested and connected to recent nonextensive statistics formulations. This is accomplished by defining a convenient squeezing function which restricts among the collections of Boltzmann-Gibbs configurations of the complete equilibrium closure. The formalism embodies Beck-Cohen superstatistics and a direct connection with the nonlinear kinetic theory due to Kaniadakis is provided, being the treatment pre…
Simulating spin models on GPU
2010
Over the last couple of years it has been realized that the vast computational power of graphics processing units (GPUs) could be harvested for purposes other than the video game industry. This power, which at least nominally exceeds that of current CPUs by large factors, results from the relative simplicity of the GPU architectures as compared to CPUs, combined with a large number of parallel processing units on a single chip. To benefit from this setup for general computing purposes, the problems at hand need to be prepared in a way to profit from the inherent parallelism and hierarchical structure of memory accesses. In this contribution I discuss the performance potential for simulating…
Temporal and spatial persistence of combustion fronts
2002
The spatial and temporal persistence, or first-return distributions are measured for slow combustion fronts in paper. The stationary temporal and (perhaps less convincingly) spatial persistence exponents agree with the predictions based on the front dynamics, which asymptotically belongs to the Kardar-Parisi-Zhang (KPZ) universality class. The stationary short-range and the transient behavior of the fronts is non-Markovian and the observed persistence properties thus do not agree with the theory. This deviation is a consequence of additional time and length scales, related to the crossovers to the asymptotic coarse-grained behavior.
Comment on "Is Tsallis Thermodynamics Nonextensive?" by E. Vives and A. Planes [cond-mat/0106428]
2003
We comment on letter ``Is Tsallis Thermodynamics Nonextensive?'' by E. Vives and A. Planes [Phys. Rev. Lett. 88, 020601 (2002) cond-mat/0106428]. It is pointed out that the Euler and Gibbs-Duhem equations derived in the letter can serve to justify an appropriate form for the Lagrange parameters controlling thermal equilibrium, without need of any change of variables. This leads to a framework for Tsallis Thermodynamics which is free from recent criticisms raised by Nauenberg [Phys. Rev. E 67, 036114 (2003) cond-mat/0210561] and Gross [Physica (Amsterdam) 305, 99 (2002) cond-mat/0106496]. This is accomplished through a direct connection with Hill's Nanothermodynamics.
Nature of crossover from classical to Ising-like critical behavior
1998
We present an accurate numerical determination of the crossover from classical to Ising-like critical behavior upon approach of the critical point in three-dimensional systems. The possibility to vary the Ginzburg number in our simulations allows us to cover the entire crossover region. We employ these results to scrutinize several semi-phenomenological crossover scaling functions that are widely used for the analysis of experimental results. In addition we present strong evidence that the exponent relations do not hold between effective exponents.
Strong Noise Effects in one-dimensional Neutral Populations
2010
The dynamics of well-mixed biological populations is usually studied by mean-field methods and weak-noise expansions. Similar methods have been applied also in spatially extended problems, relying on the fact that these populations are organized in colonies with a large local density of individuals. We provide a counterexample discussing a one-dimensional neutral population with negative frequency-dependent selection. The system exhibits a continuous phase transition between genetic fixation and coexistence unexpected from weak-noise arguments. We show that the behavior is a non-perturbative effect of the internal noise that is amplified by presence of spatial correlations (strong-noise reg…