Financial Time Series and Statistical Mechanics
Statistical Mechanics
2007-05-23 v2
Abstract
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.
Cite
@article{arxiv.cond-mat/0103068,
title = {Financial Time Series and Statistical Mechanics},
author = {M. Ausloos},
journal= {arXiv preprint arXiv:cond-mat/0103068},
year = {2007}
}
Comments
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