arXiv subjects

S. M. Duarte Queiros

Publications and source records attributed to S. M. Duarte Queiros.

2 recordsLinked to original sources

arXiv2010

On low-sampling-rate Kramers-Moyal coefficients

We analyze the impact of the sampling interval on the estimation of Kramers-Moyal coefficients. We obtain the finite-time expressions of these coefficients for several standard processes. We also analyze extreme situations such as the independence and no-fluctuation limits that constitute useful references. Our results aim at aiding the proper extraction of information in data-driven analysis.

cond-mat.stat-mech↗

arXiv2005

On the multi-fractal structure of traded volume in financial markets

In this pre-print we explore the multi-fractal properties of 1 minute traded volume of the equities which compose the Dow Jones 30. We also evaluate the weights of linear and non-linear dependences in the multi-fractal structure of the observable. Our results show that the multi-fractal nature of traded volume comes essencially from the non-Gaussian form of the probability density functions and from non-linear dependences.

physics.data-an↗