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Time is money

Author

Listed:
  • Ausloos, Marcel
  • Vandewalle, N.
  • Ivanova, K.

Abstract

Abstract. Specialized topics on financial data analysis from a numerical and physical point of view are discussed when pertaining to the analysis of coherent and random sequences in financial fluctuations within (i) the extended detrended fluctuation analysis method, (ii) multi-affine analysis technique, (iii) mobile average intersection rules and distributions, (iv) sandpile avalanches models for crash prediction, (v) the (m, k)-Zipf method and (vi) the i-variability diagram technique for sorting out short range correlations. The most baffling result that needs further thought from mathematicians and physicists is recalled: the crossing of two mobile averages is an original method for measuring the ”signal” roughness exponent, but why it is so is not understood up to now.

Suggested Citation

  • Ausloos, Marcel & Vandewalle, N. & Ivanova, K., 2000. "Time is money," MPRA Paper 28703, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:28703
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    File URL: https://mpra.ub.uni-muenchen.de/28703/1/MPRA_paper_28703.pdf
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    Citations

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    Cited by:

    1. M. Ausloos & K. Ivanova & N. Vandewalle, 2001. "Crashes : symptoms, diagnoses and remedies," Papers cond-mat/0104127, arXiv.org, revised Apr 2001.
    2. Ausloos, Marcel & Pe¸kalski, Andrzej, 2007. "Model of wealth and goods dynamics in a closed market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 560-568.

    More about this item

    Keywords

    sand-pile; avalanches; Zipf; variability diagram; signal; roughness exponent; detrended fluctuation analysis; moving average; multi-affine analysis;

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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