Scaling analysis of multi-variate intermittent time series

被引：5

作者：

Kitt, R ^{[1
]}

Kalda, J ^{[1
]}

机构：

[1] Tallinn Univ Technol, Dept Mech & Appl Math, Inst Cybernet, EE-12061 Tallinn, Estonia

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2005年 / 353卷

关键词：

econophysics; multi-scaling; low-variability periods;

D O I：

10.1016/j.physa.2005.01.038

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

The scaling properties of the time series of asset prices and trading volumes of stock markets are analysed. It is shown that similar to the asset prices, the trading volume data obey multi-scaling length-distribution of low-variability periods. In the case of asset prices, such scaling behaviour can be used for risk forecasts: the probability of observing next day a large price movement is (super-universally) inversely proportional to the length of the ongoing low-variability period. Finally, a method is devised for a multi-factor scaling analysis. We apply the simplest, two-factor model to equity index and trading volume time series. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：480 / 492

页数：13

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