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    Wyświetlanie 1-10 z 10
    Tytuł:
    Multifractal Dynamics of Stock Markets
    Autorzy:
    Czarnecki, Ł.
    Grech, D.
    Powiązania:
    https://bibliotekanauki.pl/articles/1538492.pdf
    Data publikacji:
    2010-04
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    89.65.Gh
    89.75.Da
    89.20.-a
    Opis:
    We present a comparative analysis of multifractal properties of financial time series built on stock indices from developing (WIG) and developed (S&P500) financial markets. It is shown how the multifractal image of the market is altered with the change of the length of time series and with the economic situation on the market. We emphasize that the proper adjustment of scaling range for multiscaling power laws is essential to obtain the multifractal image of time series. We analyze in this paper multifractal properties of real financial time series using Hölder f(α) representation and multifractal-detrended fluctuation analysis method. It is also investigated how multifractal properties of stocks change with variety of "surgeries" done on the initial real financial time series. This way we reveal main phenomena on the market influencing its multifractal dynamics. In particular, we focus on examining how multifractal picture of real time series changes when one cuts off extreme events like crashes or rupture points, and how fluctuations around the main trend in time series influence the multifractal behavior of financial series in the long-time horizon for both developed and developing markets.
    Źródło:
    Acta Physica Polonica A; 2010, 117, 4; 623-629
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Local Real Estate Markets in Poland as a Network of Damped Harmonic Oscillators
    Autorzy:
    Kulesza, S.
    Belej, M.
    Powiązania:
    https://bibliotekanauki.pl/articles/1388528.pdf
    Data publikacji:
    2015-03
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    05.70.Ln
    89.65.Gh
    89.75.Da
    Opis:
    The paper deals with time series of housing prices on local real estate markets in Warszawa (WAW), Kraków (KRK) and Poznań (POZ) from 2006 to 2013 using a model of critically-damped harmonic oscillator to study underlying system dynamics. Performed analysis reveals the presence of housing bubble in 2007 that emerge from otherwise quasi-regular evolution around the equilibrium state. Time series of housing prices are fitted numerically to estimate important parameters of the system, for example: decay constant, delay time, and price equilibrium level, which help us to chose the leading market. Obtained results show reasonable matching of the model with housing prices in WAW and POZ, but less in KRK. The latter data, however, are found to agree well with the model of under-damped harmonic oscillator, which actually suggests that some trembling might occur in that market. Nevertheless, local real estate markets can be thought of as a system of interconnected damped harmonic oscillators with leading market in WAW that is about to change under aggregate macroeconomic fluctuations (exogenous factors) triggering changes in remaining markets.
    Źródło:
    Acta Physica Polonica A; 2015, 127, 3A; A-99-A-102
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Scaling of Dependence between Foreign Exchange Rates and Stock Markets in Central Europe
    Autorzy:
    Kristoufek, L.
    Powiązania:
    https://bibliotekanauki.pl/articles/1398833.pdf
    Data publikacji:
    2016-05
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    05.45.Tp
    89.75.Da
    89.65.Gh
    Opis:
    We propose two novel methodological approaches - the detrending moving average based regression coefficient estimator and the scale-dependent instrumental variable estimator - and show their utility on a specific case of dependence between stock markets and connected foreign exchange rates in the Central European region - the Czech Republic, Hungary, and Poland. The methodology has proven useful as we uncovered several interesting findings such as scale dependence of the shock transmission and differences between the Euro and U.S. dollar currency pairs. The Polish currency is also the most sensitive of the three with respect to the stock market shocks. The proposed methodology can be applied to any system with potential endogeneity issues if one is interested in the scale variability of the effect of interest.
    Źródło:
    Acta Physica Polonica A; 2016, 129, 5; 908-912
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Statistical Collapse of Excessive Market Losses
    Autorzy:
    Denys, M.
    Jagielski, M.
    Gubiec, T.
    Kutner, R.
    Stanley, H.
    Powiązania:
    https://bibliotekanauki.pl/articles/1398834.pdf
    Data publikacji:
    2016-05
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    89.65 Gh
    05.40.-a
    89.75.Da
    Opis:
    We analytically derive superstatistics (or complex statistics) that accurately model empirical market activity data (supplied by Bogachev, Ludescher, Tsallis, and Bunde) exhibiting transition thresholds. We measure the interevent times between excessive losses (that is, greater than some threshold) and use the mean interevent time as a control variable to derive a universal description of empirical data collapse. Our superstatistic value is a power-law corrected by the lower incomplete gamma function, which asymptotically tends toward robustness but initially gives an exponential. We find that the scaling shape exponent that drives our superstatistics subordinates themselves and a "superscaling" configuration emerges.
    Źródło:
    Acta Physica Polonica A; 2016, 129, 5; 913-916
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Quantitative Characteristics of Correlations of Meteorological Data
    Autorzy:
    Rak, R.
    Bwanakare, S.
    Powiązania:
    https://bibliotekanauki.pl/articles/1398837.pdf
    Data publikacji:
    2016-05
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    89.75.-k
    89.75.Da
    89.65.Gh
    02.70.Rr
    Opis:
    This paper presents the quantitative characteristics of correlations (and cross-correlations) of plant main eco-factors i.e. the ground and over-ground temperature, the wind speed, and the humidity. The study is based upon hourly data statistical observations collected in the region of Lublin, in Poland for the period 2001.05.07-2009.04.10. This paper indicates that plant growth conditions constitute an emergent response to the above direct eco-factors. Then, the dynamics properties of each eco-factor is first analyzed alone for its multifractal structure. We apply the multifractal detrended correlation analysis and multifractal detrended cross-correlation analysis. We show that the widest multifractal spectrum is for over-ground temperature and the strongest power-law cross-correlations exist between ground and over-ground temperature. Next, an impulse response analysis is carried out to measure dynamical inter causalities within all the considered variables. As far as cross-impact between different eco-variables is concerned, one observes that the wind speed, the ground temperature and the air humidity dynamics are the most influenced, in terms of memory length time, by external temperature.
    Źródło:
    Acta Physica Polonica A; 2016, 129, 5; 922-926
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Methods of non-extensive statistical physics in analysis of price returns on Polish stock market
    Autorzy:
    Bil, Ł.
    Grech, D.
    Podhajska, E.
    Powiązania:
    https://bibliotekanauki.pl/articles/1075477.pdf
    Data publikacji:
    2016-05
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    05.45.Tp
    89.75.Da
    89.65.Gh
    89.75.-k
    Opis:
    We use methods of non-extensive statistical physics to describe quantitatively the memory effect involved in returns of companies from WIG 30 index on the Warsaw Stock Exchange. The entropic approach based on the generalization of the Boltzmann-Gibbs entropy to non-additive Tsallis q-entropy is applied to fit fat tailed distribution of returns to q-normal (Tsallis) distribution. The existence of long term memory effects in price returns generated by two-point autocorrelations are checked via calculation of the Hurst exponent within detrended fluctuation analysis approach. The results are collected for diversified frequency of data sampling. We confirm the perfect inverse cubic power law for low time-lags (≈1 min) of returns for the main WIG 30 index as well as for the most of separate stocks, however this relationship does not hold for longer time-lags. The particular emphasis is given to a study of an independent fit of probability distribution of positive and negative returns to q-normal distribution. We discuss in this context the asymmetry between tails in terms of the Tsallis parameters q^{±}. A qualitative and quantitative relationship between the frequency of data sampling, the parameters q and q^{±}, and the corresponding main Hurst exponent H is provided to analyze the effect of memory in data caused by linear and nonlinear autocorrelations. A new quantifier based on asymmetry of the Tsallis index instead of skewness of distribution is proposed which we believe is able to describe the stage of market development and its robustness to speculation.
    Źródło:
    Acta Physica Polonica A; 2016, 129, 5; 986-992
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    On the Zipf Strategy for Short-Term Investments in WIG20 Futures
    Autorzy:
    Bieda, B.
    Chodorowski, P.
    Grech, D.
    Powiązania:
    https://bibliotekanauki.pl/articles/1409028.pdf
    Data publikacji:
    2012-02
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    05.45.Tp
    89.75.Da
    05.40.-a
    89.65.Gh
    Opis:
    We apply the Zipf power law to financial time series of WIG20 index daily changes (open-close values). Thanks to the mapping of time series signal into the sequence of 2k+1 'spin-like' states, where k=0, 1/2, 1, 3/2, ..., we are able to describe any time series increments, with almost arbitrary accuracy, as the one of such 'spin-like' states. This procedure leads in the simplest non-trivial case (k = 1/2) to the binary data projection. More sophisticated projections are also possible and mentioned in the article. The introduced formalism allows then to use Zipf power law to describe the intrinsic structure of time series. The fast algorithm for this implementation was constructed by us within $\text{Matlab}^{TM}$ software. The method, called Zipf strategy, is then applied in the simplest case k = 1/2 to WIG 20 open and close daily data to make short-term predictions for forthcoming index changes. The results of forecast effectiveness are presented with respect to different time window sizes and partition divisions (word lengths in Zipf language). Finally, the various investment strategies improving return of investment (ROI) for WIG20 futures are proposed. We show that the Zipf strategy is the appropriate and very effective tool to make short-term predictions and therefore, to evaluate short-term investments on the basis of historical stock index data. Our findings support also the existence of long memory in financial data, exceeding the known in the literature 3 days span limit.
    Źródło:
    Acta Physica Polonica A; 2012, 121, 2B; B-7-B-10
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Multifractal Background Noise of Monofractal Signals
    Autorzy:
    Grech, D.
    Pamuła, G.
    Powiązania:
    https://bibliotekanauki.pl/articles/1408977.pdf
    Data publikacji:
    2012-02
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    05.45.Tp
    89.75.Da
    05.40.-a
    89.75.-k
    89.65.Gh
    Opis:
    We investigate the presence of multifractal residual background effect for monofractal signals which appears due to the finite length of the signals and (or) due to the constant long memory the signals reveal. This phenomenon is investigated numerically within the multifractal detrended fluctuation analysis (MF-DFA) for artificially generated time series. Next, the analytical formulas enabling to describe the multifractal content in such signals are provided. Final results are shown in the frequently used generalized Hurst exponent h(q) multifractal scenario as a function of time series length L and the autocorrelation scaling exponent value γ. The obtained results may be significant in any practical application of multifractality, including financial data analysis, because the "true" multifractal effect should be clearly separated from the so called "multifractal noise" resulting from the finite data length. Examples from finance in this context are given. The provided formulas may help to decide whether one deals with the signal of real multifractal origin or not and make further step in analysis of the so called spurious or corrupted multifractality discussed in literature.
    Źródło:
    Acta Physica Polonica A; 2012, 121, 2B; B-34-B-39
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Interplay between endogenous and exogenous fluctuations in financial markets
    Autorzy:
    Gontis, V.
    Powiązania:
    https://bibliotekanauki.pl/articles/1075435.pdf
    Data publikacji:
    2016-05
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    89.65.Gh
    89.75.Da
    05.10.Gg
    05.40.-a
    05.45.Tp
    Opis:
    We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary mechanism responsible for the observed long-range dependence and statistical properties of high volatility return intervals. By exogenous noise we mean information flow or/and order flow fluctuations. Numerical results based on the proposed model reveal that the exogenous fluctuations have to be considered as indispensable part of comprehensive modeling of the financial markets.
    Źródło:
    Acta Physica Polonica A; 2016, 129, 5; 1023-1031
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Multifractality of Nonlinear Transformations with Application in Finances
    Autorzy:
    Grech, D.
    Pamuła, G.
    Powiązania:
    https://bibliotekanauki.pl/articles/1400170.pdf
    Data publikacji:
    2013-03
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    05.45.Df
    05.45.Tp
    89.65.Gh
    89.75.Da
    89.75.-k
    89.20.-a
    05.40.-a
    Opis:
    We study the multifractal effects of nonlinear transformations of monofractal, stationary time series and apply the found results to measure the "true" unbiased multifractality generated only by multiscaling properties of initial (primary) data before transformations. A difference is stressed between "naive" observed multifractal effects calculated directly within detrended multifractal analysis as the spread Δh of the generalized Hurst exponents h(q) and the more reliable unbiased multifractality received after subtraction of residual bias effects generated by nonlinear transformations of initial data and coupled with finite size effects in time series. This property is investigated for volatile series of the real main world financial indices. A difference between multifractal properties of intraday and interday quotes is also pointed out in this context for the Warsaw Stock Exchange WIG index. Finally, based on the observed feature of real nonstationary data, a new measure of unbiased multifractality in signals is introduced. This measure comes from an analysis of the whole generalized Hurst exponent profile instead of looking just at its edge behavior $h^{±} ≡ h(q→ ±∞)$. Such an approach seems to be particularly useful when h(q) is not a monotonic function of the moment order q. Interesting examples with extreme events from finance are presented. They convince that an analysis directed only on investigation of the edges $h^{±}$ in multifractal spectrum may be misleading.
    Źródło:
    Acta Physica Polonica A; 2013, 123, 3; 529-537
    0587-4246
    1898-794X
    Pojawia się w:
    Acta Physica Polonica A
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-10 z 10

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