搜索结果: 1-9 共查到“Financial time series”相关记录9条 . 查询时间(0.238 秒)
On the non-stationarity of financial time series: impact on optimal portfolio selection
non-stationarity of financial time series impact optimal portfolio selection Statistical Finance
2012/6/2
We investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of non-stationary behavior, and we provid...
Renyi's information transfer between financial time series
Econophysics R´ enyi entropy Information transfer Financial time series
2011/7/4
In this paper we quantify the statistical coherence between financial time series by means of
R´enyi’s entropy. With the help of Cambell’s coding theorem we show that R´enyi’s entropy sel...
Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series
Non-stationary Time Series Wavelet Transform Fractals, Power Law
2010/10/19
We make use of wavelet transform to study the multi-scale, self similar behavior and deviations thereof, in the stock prices of large companies, belonging to different economic sectors. The stock mark...
Cross-Correlation Dynamics in Financial Time Series
Cross-Correlation Dynamics Financial Time Series
2010/10/18
The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the...
Asset returns and volatility clustering in financial time series
Asset returns volatility clustering financial time series
2010/10/18
An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation function...
Multiscaled Cross-Correlation Dynamics in Financial Time-Series
Multiscaled Cross-Correlation Dynamics Financial Time-Series
2010/10/18
The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Tran...
A mathematical proof of the existence of trends in financial time series
Financial time series mathematical finance technical analysis trends
2010/10/29
We are settling a longstanding quarrel in quantitative finance by proving the existence of trends in financial time series thanks to a theorem due to P. Cartier and Y. Perrin, which is expressed in th...
Log-Normal continuous cascades: aggregation properties and estimation. Application to financial time-series
Log-Normal continuous cascades aggregation properties estimation Application financial time-series
2010/12/17
Log-normal continuous random cascades form a class of multifractal processes that has already been successfully used in various fields. Several statistical issues related to this model are studied. W...
The Correlation Structure of Some Financial Time Series Models
Autocorrelations mixed ARMA models Wold representation aggregation
2010/9/7
The purpose of this paper is to examine the correlation structure of mixed autoregressive and moving average (ARMA) models, as discussed in Granger and Morris (1976). The technique we use to obtain th...