1 7 Ju n 20 04 Properties of low variability periods in financial time series

un 2 00 4 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 a...

Probability of Large Movements in Financial Markets

Based on empirical financial time-series, we show that the ”silence-breaking” probability follows a super-universal power law: the probability of observing a large movement is inversely proportional to the length of the ongoing low-variability period. Such a scaling law has been previously predicted theoretically [1], assuming that the length-distribution of the low-variability periods follows ...

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ua nt - p h / 04 06 06 9 v 1 1 0 Ju n 20 04 Exact norm - conserving stochastic time - dependent Hartree - Fock

We derive an exact single-body decomposition of the time-dependent Schrödinger equation for N pairwise-interacting fermions. Each fermion obeys a stochastic time-dependent norm-preserving wave equation. As a first test of the method we calculate the low energy spectrum of Helium. An extension of the method to bosons is outlined. Pacs 03.65.-w, 02.50.-r, 02.70.-c

0 Ju n 20 04 FOURIER TRANSFORMS IN EXPONENTIAL REARRANGEMENT INVARIANT SPACES

In this article we investigate the Fourier series and transforms for the functions defined on the [0, 2π] d or R d and belonging to the exponential Orlicz and some other rearrangement invariant (r.i.) spaces.