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Financial Time Series and Statistical Mechanics

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Computational Statistical Physics

Summary

A few characteristic exponents describing power law behavior of roughness, coherence and persistence in stochastic time series are compared to each other. Relevant techniques for analyzing such time series are described to show how the various exponents are measured, and what basic differences exist between them. Financial time series, like the JPY/DEM and USD/DEM exchange rates, are used for illustration, but mathematical ones, like Brownian walks (fractional or otherwise) can also be used as indicated.

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Authors
  1. Marcel Ausloos
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© 2002 Springer-Verlag Berlin Heidelberg

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Ausloos, M. (2002). Financial Time Series and Statistical Mechanics. In: Computational Statistical Physics. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-04804-7_10

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  • DOI: https://doi.org/10.1007/978-3-662-04804-7_10

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-07571-1

  • Online ISBN: 978-3-662-04804-7

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