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Time is Money

  • Marcel Ausloos
  • Nicolas Vandewalle
  • Kristinka Ivanova
Conference paper
Part of the Lecture Notes in Physics book series (LNP, volume 550)

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.

Keywords

Brownian Motion Fractal Dimension Fractional Brownian Motion Hurst Exponent Detrended Fluctuation Analysis 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2000

Authors and Affiliations

  • Marcel Ausloos
    • 1
  • Nicolas Vandewalle
    • 1
  • Kristinka Ivanova
    • 2
    • 3
  1. 1.SUPRAS and GRASP, Institut de Physique B5Université de LiègeLiègeBelgium
  2. 2.Department of MeteorologyPennsylvania State UniversityUniversity ParkUSA
  3. 3.Institute of ElectronicsBulgarian Academy of SciencesSofiaBulgaria

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