摘要:

It is known that, in an intermediate time-scale such as days, stock market fluctuations possess several statistical properties that are common to different markets. Namely, logarithmic returns of an asset price have (i) truncated Pareto-Le´vy distribution, (ii) vanishing linear correlation, (iii) volatility clustering and its power-law autocorrelation. The fact (ii) is a consequence of nonexistence of arbitragers with simple strategies, but this does not mean statistical independence of market fluctuations. Little attention has been paid to temporal structure of higher-order statistics, although it contains some important information on market dynamics. We applied a signal separation technique, called Independent Component Analysis (ICA), to actual data of daily stock prices in Tokyo and New York Stock Exchange (TSE/NYSE). ICA does a linear transformation of lag vectors from time-series to find independent components by a nonlinear algorithm. We obtained a similar impulse response for these dataset. If it were a Martingale process, it can be shown that impulse response should be a delta-function under a few conditions that could be numerically checked and as was verified by surrogate data. This result would provide information on the market dynamics including speculative bubbles and arbitrating processes. ©2000 American Institute of Physics.

ISSN:0094-243X    

DOI:10.1063/1.1291646

出版商:AIP    

年代:1900

数据来源: AIP

摘要:

©2000 American Institute of Physics.

ISSN:0094-243X    

DOI:10.1063/1.1291647

出版商:AIP    

年代:1900

数据来源: AIP

摘要:

©2000 American Institute of Physics.

ISSN:0094-243X    

DOI:10.1063/1.1291648

出版商:AIP    

年代:1900

数据来源: AIP

摘要:

©2000 American Institute of Physics.

ISSN:0094-243X    

DOI:10.1063/1.1291649

出版商:AIP    

年代:1900

数据来源: AIP

摘要:

©2000 American Institute of Physics.

ISSN:0094-243X    

DOI:10.1063/1.1291650

出版商:AIP    

年代:1900

数据来源: AIP

摘要:

The migration of a deformed fluid droplet in shear flow at a relatively large distance from a plane wall is considered. We derive a new formula for the lateral migration velocity for the nearly spherical droplet. The agreement between our formula and the recent computer simulation is satisfactory. ©2000 American Institute of Physics.

ISSN:0094-243X    

DOI:10.1063/1.1291651

出版商:AIP    

年代:1900

数据来源: AIP

摘要:

©2000 American Institute of Physics.

ISSN:0094-243X    

DOI:10.1063/1.1291652

出版商:AIP    

年代:1900

数据来源: AIP

摘要:

©2000 American Institute of Physics.

ISSN:0094-243X    

DOI:10.1063/1.1291653

出版商:AIP    

年代:1900

数据来源: AIP

摘要:

©2000 American Institute of Physics.

ISSN:0094-243X    

DOI:10.1063/1.1291654

出版商:AIP    

年代:1900

数据来源: AIP

摘要:

©2000 American Institute of Physics.

ISSN:0094-243X    

DOI:10.1063/1.1291655

出版商:AIP    

年代:1900

数据来源: AIP