Statistical mechanics and time-series analysis by L\'evy-parameters with the possibility of real-time application

Autor:	Jurisch, Alexander
Rok vydání:	2019
Předmět:	Condensed Matter - Statistical Mechanics Quantitative Finance - Statistical Finance
Druh dokumentu:	Working Paper
Popis:	We develop a method that relates the truncated cumulant-function of the fourth order with the L\'evian cumulant-function. This gives us explicit formulas for the L\'evy-parameters, which allow a real-time analysis of the state of a random-motion. Cumbersome procedures like maximum-likelihood or least-square methods are unnecessary. Furthermore, we treat the L\'evy-system in terms of statistical mechanics and work out it's thermodynamic properties. This also includes a discussion of the fractal nature of relativistic corrections. As examples for a time-series analysis, we apply our results on the time-series of the German DAX and the American S\&P-500\,. Comment: 15 pages, 6 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1902.09425 Zobrazit plný text záznamu View this record from Arxiv