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  • 2000-2004  (4)
  • 1985-1989
  • 1975-1979
  • 1970-1974
  • 1900-1904
  • 2001  (4)
  • 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  (2)
  • PACS. 31.70.Hq Time-dependent phenomena: excitation and relaxation processes, and reaction rates – 33.80.Wz Other multiphoton processes  (2)
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  • 2000-2004  (4)
  • 1985-1989
  • 1975-1979
  • 1970-1974
  • 1900-1904
Jahr
  • 2001  (4)
Schlagwörter
  • 1
    Digitale Medien
    Digitale Medien
    Empirical properties of the variety of a financial portfolio and the single-index model (2001)
    Springer
    The European physical journal 20 (2001), S. 503-509 
    Details
    ISSN: 1434-6036
    Schlagwort(e): 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
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: 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.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s100510170229
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
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  • 2
    Digitale Medien
    Digitale Medien
    Langevin dynamics of financial systems: A second-order analysis (2001)
    Springer
    The European physical journal 22 (2001), S. 123-127 
    Details
    ISSN: 1434-6036
    Schlagwort(e): 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
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: 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.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/PL00011127
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
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  • 3
    Digitale Medien
    Digitale Medien
    Selective preparation of ground state wave-packets: a theoretical analysis of femtosecond pump-dump-probe experiments on the potassium dimer (2001)
    Springer
    The European physical journal 14 (2001), S. 167-172 
    Details
    ISSN: 1434-6079
    Schlagwort(e): PACS. 31.70.Hq Time-dependent phenomena: excitation and relaxation processes, and reaction rates – 33.80.Wz Other multiphoton processes
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: We present simulations on pump-dump-probe experiments performed on the potassium dimer. The interaction of two time-delayed laser pulses prepares vibrational wave packets in the electronic ground state. The quantum calculations reveal to what extent it is possible to prepare a ground state superposition of states with high versus low vibrational quantum numbers by changing the pump-dump delay time. It is shown that transient signals may exhibit interference effects which are due to characteristics of ground state wave-packets composed of two components showing different vibrational dynamics. In this way the signals are able to yield information about vibrational overtone motion.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s100530170214
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
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  • 4
    Digitale Medien
    Digitale Medien
    Femtosecond pump-probe fluorescence signals from classical trajectories: comparison with wave-packet calculations (2001)
    Springer
    The European physical journal 15 (2001), S. 413-422 
    Details
    ISSN: 1434-6079
    Schlagwort(e): PACS. 31.70.Hq Time-dependent phenomena: excitation and relaxation processes, and reaction rates – 33.80.Wz Other multiphoton processes
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: A classical approach to simulate femtosecond pump-probe experiments is presented and compared to the quantum mechanical treatment. We restrict the study to gas-phase systems using the I2 molecule as a numerical example. Thus, no relaxation processes are included. This allows for a direct comparison between purely quantum mechanical results and those obtained from classical trajectory calculations. The classical theory is derived from the phase-space representation of quantum mechanics. Various approximate quantum mechanical treatments are compared to their classical counterparts. Thereby it is demonstrated that the representation of the radial density as prepared in the pump-process is most crucial to obtain reliable signals within the classical approach.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s100530170158
    Bibliothek Standort Signatur Band/Heft/Jahr Verfügbarkeit
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