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Characterizing Multi-Scale Self-Similar Behavior and Non-Statistical Properties of Financial Time Series
Non-stationary Time Series Wavelet Transform Fractals Power Law
2010/4/27
We make use of wavelet transform to study the multi-scale, self similar behavior and deviations thereof, in the stock prices of large companies, belonging to different economic sectors. The stock mark...
Cross-Correlation Dynamics in Financial Time Series
Correlation Matrix Eigenspectrum Analysis Econophysics
2010/4/27
The dynamics of the equal-time cross-correlation matrix of multivariate financial time series is explored by examination of the eigenvalue spectrum over sliding time windows. Empirical results for the...
Asset returns and volatility clustering in financial time series
volatility clustering financial time series
2010/4/27
An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation functions...
Multiscaled Cross-Correlation Dynamics in Financial Time-Series
Cross-Correlation Dynamics Financial Time-Series
2010/4/27
The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Tran...