Temat: 89.90.+n - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Singular Dynamics of Various Macroeconomic Sectors
Autorzy:: Kozłowska, M.
Kutner, R.
Powiązania:: https://bibliotekanauki.pl/articles/1538495.pdf
Data publikacji:: 2010-04
Wydawca:: Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:: 89.20.-a
89.65.-s
89.90.+n
Opis:: In this work we applied our original solution of the literal Rheological Model of Fractional Dynamics of Financial Market, i.e., the time-dependent solution proportional to the Mittag-Leffler function superposed with oscillations, not only to describe the singular dynamics of financial markets but also to study the singular dynamics of various macroeconomic sectors. The approach makes possible to sufficiently estimate (among others) the time of crash as well as its order. Thus we demonstrate, perhaps useful for stock market investors as well as for various macroeconomic agents, the technical analysis of bubble and crash, which is complementary to the famous one supplying power-law superposed with log-periodic oscillations.
Źródło:: Acta Physica Polonica A; 2010, 117, 4; 630-636
0587-4246
1898-794X
Pojawia się w:: Acta Physica Polonica A
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Modern Rheology on a Stock Market: Fractional Dynamics of Indices
Autorzy:: Kozłowska, M.
Kutner, R.
Powiązania:: https://bibliotekanauki.pl/articles/1535822.pdf
Data publikacji:: 2010-10
Wydawca:: Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:: 89.20.-a
89.65.-s
89.65.Gh
89.90.+n
Opis:: This paper presents an exactly solvable (by applying the fractional calculus) the rheological model of fractional dynamics of financial market conformed to the principle of no arbitrage present on financial market. The rheological model of fractional dynamics of financial market describes some singular, empirical, speculative daily peaks of stock market indices, which define crashes as a kind of phase transition. In the frame of the model the plastic market hypothesis and financial uncertainty principle were formulated, which proposed possible scenarios of some market crashes. The brief presentation of the model was made in our earlier work (and references therein). The rheological model of fractional dynamics of financial market is a deterministic model and it is complementary to already existing other ones; together with them it offers possibility for thorough and widespread technical analysis of crashes. The constitutive, fractional integral equation of the model is an analogy of the corresponding one, which defines the fractional Zener model of plastic material. The fractional Zener model is the canonical one for modern rheology, polymer physics and biophysics concerning non-Debye relaxation of viscoelastic biopolymers. The useful approximate solution of the constitutive equation of the rheological model of fractional dynamics of financial market consists of two parts: (i) the first one connected with long-term memory present in the system, which is proportional to the generalized exponential function defined by the Mittag-Leffler function and (ii) the second one describing oscillations (e.g. beats or oscillations having two slightly shifted frequences). The shape exponent leading the Mittag-Leffler function, defines here the order of the phase transition between bullish and bearish states of the financial market, in particular, for recent hossa and bessa on some small, middle and large stock markets. It happened that this solution also successfully estimated some long-term price dynamics on the hypothetical market in United States.
Źródło:: Acta Physica Polonica A; 2010, 118, 4; 677-687
0587-4246
1898-794X
Pojawia się w:: Acta Physica Polonica A
Dostawca treści:: Biblioteka Nauki

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