Zobrazeno 1 - 10
of 156
pro vyhledávání: '"Kwapien, J."'
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
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
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
Publikováno v:
Physica A 383, 59-64 (2007)
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling index alpha > 3 and this index tends to increase quickly with decreasing s
Externí odkaz:
http://arxiv.org/abs/0704.0664
Publikováno v:
Acta Physica Polonica B 37, 3123-3132 (2006)
Using the correlation matrix formalism we study the temporal aspects of the Warsaw Stock Market evolution as represented by the WIG20 index. The high frequency (1 min) WIG20 recordings over the time period between January 2001 and October 2005 are us
Externí odkaz:
http://arxiv.org/abs/physics/0606041