arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1902.09425cond-mat.stat-mechq-fin.ST
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统计力学和Lévy参数的时间序列分析,可实时应用

Statistical mechanics and time-series analysis by Lévy-parameters with the possibility of real-time application

Alexander Jurisch

摘要:

本文提出了一种将四阶截断累积量函数与Lévian累积量函数联系起来的方法。这给了我们明确的公式为Lévy参数,它允许一个随机运动的状态的实时分析。繁琐的程序,如最大似然法或最小二乘法是不必要的。此外,我们还用统计力学对Lévy系统进行了处理,并计算了它的热力学性质。这也包括相对论修正的分形性质的讨论。作为时间序列分析的例子,我们将我们的结果应用于德国DAX和美国S &P-500的时间序列。

英文摘要:

We develop a method that relates the truncated cumulant-function of the fourth order with the Lévian cumulant-function. This gives us explicit formulas for the Lévy-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 Lévy-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\,.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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