Zobrazeno 1 - 10
of 348
pro vyhledávání: '"Drozdz, S."'
Publikováno v:
Acta Phys. Pol. A 123, 597-603 (2013)
Different variants of MFDFA technique are applied in order to investigate various (artificial and real-world) time series. Our analysis shows that the calculated singularity spectra are very sensitive to the order of the detrending polynomial used wi
Externí odkaz:
http://arxiv.org/abs/1212.0354
Accuracy of the box-counting algorithm for numerical computation of the fractal exponents is investigated. To this end several sample mathematical fractal sets are analyzed. It is shown that the standard deviation obtained for the fit of the fractal
Externí odkaz:
http://arxiv.org/abs/1111.5749
Publikováno v:
AIP Conf.Proc. 1261:256-264,2010
In the area of traditional physics the atomic nucleus belongs to the most complex systems. It involves essentially all elements that characterize complexity including the most distinctive one whose essence is a permanent coexistence of coherent patte
Externí odkaz:
http://arxiv.org/abs/1009.1105
We compare correlations and coherent structures in nuclei and financial markets. In the nuclear physics part we review giant resonances which can be interpreted as a coherent structure embedded in chaos. With similar methods we investigate the financ
Externí odkaz:
http://arxiv.org/abs/0910.4348
A large collection of daily time series for 60 world currencies' exchange rates is considered. The correlation matrices are calculated and the corresponding Minimal Spanning Tree (MST) graphs are constructed for each of those currencies used as refer
Externí odkaz:
http://arxiv.org/abs/0810.1215
Publikováno v:
Acta. Phys. Pol. A114 (2008) 531
Correlation matrices of foreign exchange rate time series are investigated for 60 world currencies. Minimal Spanning Tree (MST) graphs for the gold, silver and platinum are presented. Inverse power like scaling is discussed for these graphs as well a
Externí odkaz:
http://arxiv.org/abs/0809.0437
Publikováno v:
Acta Physica Polonica A Vol. 114 No 3. page 547 (2008)
We perform an analysis of fractal properties of the positive and the negative changes of the German DAX30 index separately using Multifractal Detrended Fluctuation Analysis (MFDFA). By calculating the singularity spectra $f(\alpha)$ we show that retu
Externí odkaz:
http://arxiv.org/abs/0803.1374
We study the inter-stock correlations for the largest companies listed on Warsaw Stock Exchange and included in the WIG20 index. Our results from the correlation matrix analysis indicate that the Polish stock market can be well described by a one fac
Externí odkaz:
http://arxiv.org/abs/0803.0057
Publikováno v:
Acta Physica Polonica B 58, 4027-4039 (2007)
In order to pursue the issue of the relation between the financial cross-correlations and the conventional Random Matrix Theory we analyse several characteristics of the stock market correlation matrices like the distribution of eigenvalues, the cros
Externí odkaz:
http://arxiv.org/abs/0711.0644
Publikováno v:
Eur. Phys. J. B58 (2007) 499
World currency network constitutes one of the most complex structures that is associated with the contemporary civilization. On a way towards quantifying its characteristics we study the cross correlations in changes of the daily foreign exchange rat
Externí odkaz:
http://arxiv.org/abs/0708.4347