Statistical mechanics and time-series analysis by L\'evy-parameters with the possibility of real-time application

Alexander Jurisch

Papers from arXiv.org

Abstract: We develop a method that relates the truncated cumulant-function of the fourth order with the L\'evian cumulant-function. This gives us explicit formulas for the L\'evy-parameters, which allow a real-time analysis of the state of a random-motion. Cumbersome procedures like maximum-likelihood or least-square methods are unnecessary. Furthermore, we treat the L\'evy-system in terms of statistical mechanics and work out it's thermodynamic properties. This also includes a discussion of the fractal nature of relativistic corrections. As examples for a time-series analysis, we apply our results on the time-series of the German DAX and the American S\&P-500\,.

Date: 2019-02
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1902.09425 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1902.09425

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators (help@arxiv.org).