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    Wyświetlanie 1-5 z 5
    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:
    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:
    Model of Communities Isolation at Hierarchical Modular Networks
    Autorzy:
    Kondratiuk, P.
    Hołyst, J.
    Powiązania:
    https://bibliotekanauki.pl/articles/1409004.pdf
    Data publikacji:
    2012-02
    Wydawca:
    Polska Akademia Nauk. Instytut Fizyki PAN
    Tematy:
    89.75.Hc
    02.50.-r
    89.75.-k
    89.75.Da
    89.75.Fb
    Opis:
    The model of community isolation was extended to the case when individuals are randomly placed at the nodes of hierarchical modular networks. It was shown that the average number of blocked nodes (individuals) increases in time as a power function, with the exponent depending on the network parameters. The distribution of the time when the first isolated cluster appears is unimodal, non-gaussian. The developed analytical approach is in a good agreement with the simulation data.
    Źródło:
    Acta Physica Polonica A; 2012, 121, 2B; B-67-B-71
    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:
    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 1-5 z 5

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