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  • 2000-2004  (4)
  • 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. 07.05.Tp Computer modeling and simulation – 02.60.Cb Numerical simulation; solution of equations – 52.70.Kz Optical (ultraviolet, visible, infrared) measurements  (2)
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  • 2000-2004  (4)
Year
  • 2001  (4)
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  • 1
    Electronic Resource
    Electronic Resource
    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
    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
    Library Location Call Number Volume/Issue/Year Availability
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    Paper (German National Licenses)
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  • 2
    Electronic Resource
    Electronic Resource
    Langevin dynamics of financial systems: A second-order analysis (2001)
    Springer
    The European physical journal 22 (2001), S. 123-127 
    Details
    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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    Paper (German National Licenses)
    Fulltext
  • 3
    Electronic Resource
    Electronic Resource
    Design study of 3-D tomography diagnostics for spherical tokamaks (2001)
    Springer
    The European physical journal 14 (2001), S. 97-103 
    Details
    ISSN: 1434-6079
    Keywords: PACS. 07.05.Tp Computer modeling and simulation – 02.60.Cb Numerical simulation; solution of equations – 52.70.Kz Optical (ultraviolet, visible, infrared) measurements
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: A novel three-dimensional (3-D) tomography software has been developed for spherical tokamak (ST) plasmas with thin central coils. It enables us to measure whole 3-D annular profiles of ST plasma emissivity (line spectrum etc.) using limited number of detectors located on a sphere outside of its separatrix. The numbers and positions of detectors have been optimized for STs that contain low-n toroidal modes from n = 1 to 5. Mathematical method allowing for the removal of the thin central coil from the region of reconstruction and to reconstruct STs with single and double axes are also discussed. The shadow effect of center coil region was found to limit the reconstruction accuracy, indicating that the low-aspect ratio torus (ST) is essential to this new 3-D tomography diagnostics.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s100530170240
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    Paper (German National Licenses)
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  • 4
    Electronic Resource
    Electronic Resource
    Tomographic determination of plasma velocity with the use of ion Doppler spectroscopy (2001)
    Springer
    The European physical journal 17 (2001), S. 337-344 
    Details
    ISSN: 1434-6079
    Keywords: PACS. 07.05.Tp Computer modeling and simulation – 02.60.Cb Numerical simulation; solution of equations – 52.70.Kz Optical (ultraviolet, visible, infrared) measurements
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract: An inversion method for ion Doppler shift of spectrum lines was developed for plasma velocity measurements. By reducing the problem to the vectorial Radon transform, the characteristics of plasma ion velocity distribution such as vector potential/vorticity and velocity components were computed in two-dimensional space. Computer simulation of the reconstruction of different vector potential (vector field) models gives evidence that the reconstruction errors are acceptable, and the method can surely be used for real experimental data.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s100530170008
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    Paper (German National Licenses)
    Fulltext
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