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1

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Empirical properties of the variety of a financial portfolio and the single-index model (2001)

Lillo, F. ; Mantegna, R.N.

Springer

The European physical journal 20 (2001), S. 503-509

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ISSN: 1434-6036

Keywords: PACS. 02.50.Ey Stochastic processes – 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion – 89.90.+n Other topics in areas of applied and interdisciplinary physics

Source: Springer Online Journal Archives 1860-2000

Topics: Physics

Notes: Abstract: We investigate the variety of a portfolio of stocks in normal and extreme days of market activity. We show that the variety carries information about the market activity which is not present in the single-index model and we observe that the variety time evolution is not time reversal around the crash days. We obtain the theoretical relation between the square variety and the mean return of the ensemble return distribution predicted by the single-index model. The single-index model is able to mimic the average behavior of the square variety but fails in describing quantitatively the relation between the square variety and the mean return of the ensemble distribution. The difference between empirical data and theoretical description is more pronounced for large positive values of the mean return of the ensemble distribution. Other significant deviations are also observed for extreme negative values of the mean return.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/s100510170229

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2

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Langevin dynamics of financial systems: A second-order analysis (2001)

Canessa, E.

Springer

The European physical journal 22 (2001), S. 123-127

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ISSN: 1434-6036

Keywords: PACS. 02.50.Ey Stochastic processes – 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion – 89.90.+n Other topics in areas of applied and interdisciplinary physics

Source: Springer Online Journal Archives 1860-2000

Topics: Physics

Notes: Abstract: We address the issue of stock market fluctuations within Langevin Dynamics (LD) and the thermodynamics definitions of multifractality in order to study its second-order characterization given by the analogous specific heat Cq, where q is an analogous temperature relating the moments of the generating partition function for the financial data signals. Due to non-linear and additive noise terms within the LD, we found that Cq can display a shoulder to the right of its main peak as also found in the S&P500 historical data which may resemble a classical phase transition at a critical point.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/PL00011127

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3

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Masthead (1892)

New York, NY : Wiley-Blackwell

Journal of Morphology 7 (1892)

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050070301

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4

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The regeneration of the tail in lumbriculus (1892)

Randolph, Harriet

New York, NY : Wiley-Blackwell

Journal of Morphology 7 (1892), S. 317-344

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050070304

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5

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A study of Stenostoma leucops O. SchmWork from the Morphological Laboratory of the University of Michigan, under the supervision of J. E. Reighard, was accepted as a thesis for the degree of Master of Philosophy. (1892)

Ott, Harvey N.

New York, NY : Wiley-Blackwell

Journal of Morphology 7 (1892), S. 263-304

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050070302

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6

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Masthead (1892)

New York, NY : Wiley-Blackwell

Journal of Morphology 7 (1892)

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050070101

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7

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Vertebrate cephalogenesis. II. A contribution to the morphology of the vertebrate ear, with a reconsideration of its functions (1892)

Ayers, Howard

New York, NY : Wiley-Blackwell

Journal of Morphology 6 (1892), S. 1-360

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050060101

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8

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The embryology of limulus (1892)

Kingsley, J. S.

New York, NY : Wiley-Blackwell

Journal of Morphology 7 (1892), S. 35-68

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050070104

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9

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On the phenomena of sex-differentiation (1892)

Watasé, S.

New York, NY : Wiley-Blackwell

Journal of Morphology 6 (1892), S. 481-493

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050060302

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10

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Studies on the development of the ear of amblystoma. Part I.: Development of the auditory vesicle (1892)

Norris, H. W.

New York, NY : Wiley-Blackwell

Journal of Morphology 7 (1892), S. 23-34

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Additional Material: 27 Ill.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050070103

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11

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On degenerate types of scapular and pelvic arches in the lacertilia (1892)

Cope, E. D.

New York, NY : Wiley-Blackwell

Journal of Morphology 7 (1892), S. 223-244

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Additional Material: 1 Ill.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050070204

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12

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On the eyes of polychætous annelids (1892)

Andrews, E. A.

New York, NY : Wiley-Blackwell

Journal of Morphology 7 (1892), S. 169-222

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050070203

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13

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The cell-lineage of Nereis. A contribution to the cytogeny of the annelid body (1892)

Wilson, Edmund B.

New York, NY : Wiley-Blackwell

Journal of Morphology 6 (1892), S. 361-480

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050060301

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14

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On the morphology of the skull in the mosasauridæ (1892)

Baur, G.

New York, NY : Wiley-Blackwell

Journal of Morphology 7 (1892), S. 1-22

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050070102

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15

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Masthead (1892)

New York, NY : Wiley-Blackwell

Journal of Morphology 7 (1892)

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050070201

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16

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Spiral modification of metamerism (1892)

Morgan, T. H.

New York, NY : Wiley-Blackwell

Journal of Morphology 7 (1892), S. 245-251

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Additional Material: 3 Ill.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050070205

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17

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Investigations in physiological morphology. III. Experiments on cleavage (1892)

Loeb, Jacques

New York, NY : Wiley-Blackwell

Journal of Morphology 7 (1892), S. 253-262

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050070206

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18

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A microscopical study of changes due to functional activity in nerve cells (1892)

Hodge, C. F.

New York, NY : Wiley-Blackwell

Journal of Morphology 7 (1892), S. 95-168

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Additional Material: 6 Tab.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050070202

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19

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Further observations on the gustatory organs of the mammalia (1892)

Tuckerman, Frederick

New York, NY : Wiley-Blackwell

Journal of Morphology 7 (1892), S. 69-94

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050070105

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20

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A study in foot structure (1892)

Cary, Austin

New York, NY : Wiley-Blackwell

Journal of Morphology 7 (1892), S. 305-316

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ISSN: 0362-2525

Keywords: Life and Medical Sciences ; Cell & Developmental Biology

Source: Wiley InterScience Backfile Collection 1832-2000

Topics: Biology , Medicine

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1002/jmor.1050070303

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