Dynamics of quasi-stationary systems: Finance as an example
Statistical Finance
2015-03-10 v1 Statistical Mechanics
Data Analysis, Statistics and Probability
Abstract
We propose a combination of cluster analysis and stochastic process analysis to characterize high-dimensional complex dynamical systems by few dominating variables. As an example, stock market data are analyzed for which the dynamical stability as well as transitions between different stable states are found. This combined method also allows to set up new criteria for merging clusters to simplify the complexity of the system. The low-dimensional approach allows to recover the high-dimensional fixed points of the system by means of an optimization procedure.
Keywords
Cite
@article{arxiv.1502.07522,
title = {Dynamics of quasi-stationary systems: Finance as an example},
author = {Philip Rinn and Yuriy Stepanov and Joachim Peinke and Thomas Guhr and Rudi Schäfer},
journal= {arXiv preprint arXiv:1502.07522},
year = {2015}
}
Comments
6 pages