arXiv subjects

Andreas P. Nawroth

Publications and source records attributed to Andreas P. Nawroth.

2 recordsLinked to original sources

arXiv2006

Medium and Small Scale Analysis of Financial Data

A stochastic analysis of financial data is presented. In particular we investigate how the statistics of log returns change with different time delays $τ$. The scale dependent behaviour of financial data can be divided into two regions. The first time-range, the small-timescale region (in the range of seconds) seems to be characterized by universal features. The second time-range, the medium-timescale range from several minutes upwards and can be characterized by a cascade process, which is given by a stochastic Markov process in the scale $τ$. A corresponding Fokker-Planck equation can be extracted from given data and provides a non equilibrium thermodynamical description of the complexity of financial data.

physics.data-an↗

arXiv2005

Small scale behavior of financial data

A new approach is presented to describe the change in the statistics of the log return distribution of financial data as a function of the timescale. To this purpose a measure is introduced, which quantifies the distance of a considered distribution to a reference distribution. The existence of a small timescale regime is demonstrated, which exhibits different properties compared to the normal timescale regime. This regime seems to be universal for individual stocks. It is shown that the existence of this small timescale regime is not dependent on the special choice of the distance measure or the reference distribution. These findings have important implications for risk analysis, in particular for the probability of extreme events.

physics.data-an↗