Econophysics studies in Estonia
A short review of the econophysics research done in Estonia, devoted to the 15th anniversary of the term "econophysics".
q-fin.GN↗
arXiv subjects
R. Kitt
Publications and source records attributed to R. Kitt.
Properties of low variability periods in financial time series
Properties of low-variability periods in the time series are analysed. The theoretical approach is used to show the relationship between the multi-scaling of low-variability periods and multi-affinity of the time series. It is shown that this technically simple method is capable of reveling more details about time-series than the traditional multi-affine analysis. We have applied this scaling analysis to financial time series: a number of daily currency and stock index time series. The results show a good scaling behaviour for different model parameters. The analysis of high-frequency USD-EUR exchange rate data confirmed the theoretical expectations.
cond-mat.stat-mech↗