Article Outline
- 1. Introduction
- 2. Material
- 3. Methods: the paradigm of chaos
- 3.1. Limitations on the use of the non-linear time analysis
- 4. Results: dynamical analysis
- 5. Discussion and conclusions
- Acknowledgements
- References
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共查询到20条相似文献,搜索用时 31 毫秒
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We study a class of non-stationary shot noise processes which have a general arrival process of noises with non-stationary arrival rate and a general shot shape function. Given the arrival times, the shot noises are conditionally independent and each shot noise has a general (multivariate) cumulative distribution function (c.d.f.) depending on its arrival time. We prove a functional weak law of large numbers and a functional central limit theorem for this new class of non-stationary shot noise processes in an asymptotic regime with a high intensity of shot noises, under some mild regularity conditions on the shot shape function and the conditional (multivariate) c.d.f. We discuss the applications to a simple multiplicative model (which includes a class of non-stationary compound processes and applies to insurance risk theory and physics) and the queueing and work-input processes in an associated non-stationary infinite-server queueing system. To prove the weak convergence, we show new maximal inequalities and a new criterion of existence of a stochastic process in the space given its consistent finite dimensional distributions, which involve a finite set function with the superadditive property. 相似文献
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This paper is concerned with funding systems, i.e. systems which accumulate funds for the future payment of financial obligations. Commonly, such funding requires a balance between (1) the desire to minimise the contributions that need to be diverted from other use to the support of the Fund, and (2) the need to maintain reasonable solvency in the Fund.Such funding is discussed here in a general framework. Applications are numerous. The specific applications mentioned in the paper are:
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应用Tsallis提出的非广延统计力学理论以及与之密切相关的非线性Fokker-Planck方程所描述的动力系统,根据我国上证指数和深证指数2004年1月1日~2008年11月13日的高频数据,分析了在三种不同的时间标度下股指收益的概率分布,发现Tsallis分布可以很好地描述两市收益分布的尖峰厚尾有限方差等特征,同时也给出了市场微观动力学层面的解释。揭示出我国上海和深圳股市的价格过程并不符合随机游走,而是反常扩散过程,两市具有十分接近的非线性动力系统特征。所得结论对于研究我国金融市场的资产配置和定价、风险管理和制度建设都具有重要的意义。 相似文献
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Time-series of statokinesigram (SKG) of healthy subjects and parkinsonians are investigated and compared. This is done by employing the chaos paradigm in order to obtain the main characteristics of the SKG. The interpretation of our findings is twofold:
Article Outline
1. IntroductionThis work is born in the framework of the project “Celestina” coordinated by Prof. Paolo Pascolo (first author of this paper), who developed the methodological approach and theoretical basis and started the experimental acquisition which results are presented here. This paper continues and further develops the preliminary results presented in a previous paper [14].The statokinesigram (SKG) is the projection onto a 2-dimensional space of the trajectory of the centre of pressure (COP) of a person during erect stance (see Fig. 1). This sort of trajectories are the result of the (multi-dimensional) dynamical system underlying the human body, which is made up of a high number of links, is subject to the gravity and is also affected by perturbations such as breathing, blood circulation and muscular activity. Finally, on this system the central control acts to stabilize and limit the body oscillations. 相似文献6.
Risky asset models with the dependence through fractal activity time are described. The construction of the fractal activity time is implemented via superpositions of Ornstein-Uhlenbeck type processes driven by Lévy noise. The model features both tractable dependence structure and desired marginal distributions of the returns from the generalized hyperbolic class: the Variance Gamma and normal inverse Gaussian. These distributions provide good fit to real financial data. Pricing formulae for the proposed models are derived. 相似文献
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We present a new multivariate framework for the estimation and forecasting of the evolution of financial asset conditional correlations. Our approach assumes return innovations with time dependent covariances. A Cholesky decomposition of the asset covariance matrix, with elements written as sines and cosines of spherical coordinates allows for modelling conditional variances and correlations and guarantees its positive definiteness at each time t. As in Christodoulakis and Satchell [Christodoulakis, G.A., Satchell, S.E., 2002. Correlated ARCH (CorrARCH): Modelling the time-varying conditional correlation between financial asset returns. European Journal of Operational Research 139 (2), 350–369] correlation is generated by conditionally autoregressive processes, thus allowing for an autocorrelation structure for correlation. Our approach allows for explicit out-of-sample forecasting and is consistent with stylized facts as time-varying correlations and correlation clustering, co-movement between correlation coefficients, correlation and volatility as well as between volatility processes (co-volatility). The latter two are shown to depend on correlation and volatility persistence. Empirical evidence on a trivariate model using monthly data from Dow Jones Industrial, Nasdaq Composite and the 3-month US Treasury Bill yield supports our theoretical arguments. 相似文献
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For repairable items sold with free replacement warranty, the actions available to the manufacturer to rectify failures under warranty are to
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Julio Becerra Guerrero Fernando Rambla-Barreno 《Journal of Mathematical Analysis and Applications》2009,360(1):254-264
We prove that for every member X in the class of real or complex JB*-triples or preduals of JBW*-triples, the following assertions are equivalent:
Keywords: JB*-triple; Fixed point; Normal structure 相似文献
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A. Budhiraja 《Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques》2003,39(6):2318-941
In this work we study connections between various asymptotic properties of the nonlinear filter. It is assumed that the signal has a unique invariant probability measure. The key property of interest is expressed in terms of a relationship between the observation σ field and the tail σ field of the signal, in the stationary filtering problem. This property can be viewed as the permissibility of the interchange of the order of the operations of maximum and countable intersection for certain σ-fields. Under suitable conditions, it is shown that the above property is equivalent to various desirable properties of the filter such as
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Kazutaka Kuroda Hideo Nagai 《Stochastics An International Journal of Probability and Stochastic Processes》2013,85(3-4):309-331
We consider a continuous time portfolio optimization problems on an infinite time horizon for a factor model, recently treated by Bielecki and Pliska ["Risk-sensitive dynamic asset management", Appl. Math. Optim. , 39 (1990) 337-360], where the mean returns of individual securities or asset categories are explicitly affected by economic factors. The factors are assumed to be Gaussian processes. We see new features in constructing optimal strategies for risk-sensitive criteria of the portfolio optimization on an infinite time horizon, which are obtained from the solutions of matrix Riccati equations. 相似文献
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We derive a new estimate of the size of finite sets of points in metric spaces with few distances. The following applications are considered:
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