Non-linear diffusion and power law properties of heterogeneous systems: Application to financial time series

Autores
Fuentes, Miguel Angel
Año de publicación
2018
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
In this work, we show that it is possible to obtain important ubiquitous physical characteristics when an aggregation of many systems is taken into account. We discuss the possibility of obtaining not only an anomalous diffusion process, but also a Non-Linear diffusion equation, that leads to a probability distribution, when using a set of non-Markovian processes. This probability distribution shows a power law behavior in the structure of its tails. It also reflects the anomalous transport characteristics of the ensemble of particles. This ubiquitous behavior, with a power law in the diffusive transport and the structure of the probability distribution, is related to a fast fluctuating phenomenon presented in the noise parameter. We discuss all the previous results using a financial time series example.
Fil: Fuentes, Miguel Angel. Instituto de Investigaciones Filosóficas - Sadaf; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Materia
COMPLEX SYSTEMS
NON LINEAR EVOLUTION EQUATIONS
POWER LAW
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/96727
Acceder
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oai_identifier_str oai:ri.conicet.gov.ar:11336/96727
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network_name_str CONICET Digital (CONICET)
spelling Non-linear diffusion and power law properties of heterogeneous systems: Application to financial time seriesFuentes, Miguel AngelCOMPLEX SYSTEMSNON LINEAR EVOLUTION EQUATIONSPOWER LAWhttps://purl.org/becyt/ford/1.3https://purl.org/becyt/ford/1In this work, we show that it is possible to obtain important ubiquitous physical characteristics when an aggregation of many systems is taken into account. We discuss the possibility of obtaining not only an anomalous diffusion process, but also a Non-Linear diffusion equation, that leads to a probability distribution, when using a set of non-Markovian processes. This probability distribution shows a power law behavior in the structure of its tails. It also reflects the anomalous transport characteristics of the ensemble of particles. This ubiquitous behavior, with a power law in the diffusive transport and the structure of the probability distribution, is related to a fast fluctuating phenomenon presented in the noise parameter. We discuss all the previous results using a financial time series example.Fil: Fuentes, Miguel Angel. Instituto de Investigaciones Filosóficas - Sadaf; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaMolecular Diversity Preservation International2018-08info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/96727Fuentes, Miguel Angel; Non-linear diffusion and power law properties of heterogeneous systems: Application to financial time series; Molecular Diversity Preservation International; Entropy; 20; 9; 8-2018; 1-81099-4300CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/doi/10.3390/e20090649info:eu-repo/semantics/altIdentifier/url/https://www.mdpi.com/1099-4300/20/9/649info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-29T10:34:47Zoai:ri.conicet.gov.ar:11336/96727instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-29 10:34:47.552CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Non-linear diffusion and power law properties of heterogeneous systems: Application to financial time series
title Non-linear diffusion and power law properties of heterogeneous systems: Application to financial time series
spellingShingle Non-linear diffusion and power law properties of heterogeneous systems: Application to financial time series
Fuentes, Miguel Angel
COMPLEX SYSTEMS
NON LINEAR EVOLUTION EQUATIONS
POWER LAW
title_short Non-linear diffusion and power law properties of heterogeneous systems: Application to financial time series
title_full Non-linear diffusion and power law properties of heterogeneous systems: Application to financial time series
title_fullStr Non-linear diffusion and power law properties of heterogeneous systems: Application to financial time series
title_full_unstemmed Non-linear diffusion and power law properties of heterogeneous systems: Application to financial time series
title_sort Non-linear diffusion and power law properties of heterogeneous systems: Application to financial time series
dc.creator.none.fl_str_mv Fuentes, Miguel Angel
author Fuentes, Miguel Angel
author_facet Fuentes, Miguel Angel
author_role author
dc.subject.none.fl_str_mv COMPLEX SYSTEMS
NON LINEAR EVOLUTION EQUATIONS
POWER LAW
topic COMPLEX SYSTEMS
NON LINEAR EVOLUTION EQUATIONS
POWER LAW
purl_subject.fl_str_mv https://purl.org/becyt/ford/1.3
https://purl.org/becyt/ford/1
dc.description.none.fl_txt_mv In this work, we show that it is possible to obtain important ubiquitous physical characteristics when an aggregation of many systems is taken into account. We discuss the possibility of obtaining not only an anomalous diffusion process, but also a Non-Linear diffusion equation, that leads to a probability distribution, when using a set of non-Markovian processes. This probability distribution shows a power law behavior in the structure of its tails. It also reflects the anomalous transport characteristics of the ensemble of particles. This ubiquitous behavior, with a power law in the diffusive transport and the structure of the probability distribution, is related to a fast fluctuating phenomenon presented in the noise parameter. We discuss all the previous results using a financial time series example.
Fil: Fuentes, Miguel Angel. Instituto de Investigaciones Filosóficas - Sadaf; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
description In this work, we show that it is possible to obtain important ubiquitous physical characteristics when an aggregation of many systems is taken into account. We discuss the possibility of obtaining not only an anomalous diffusion process, but also a Non-Linear diffusion equation, that leads to a probability distribution, when using a set of non-Markovian processes. This probability distribution shows a power law behavior in the structure of its tails. It also reflects the anomalous transport characteristics of the ensemble of particles. This ubiquitous behavior, with a power law in the diffusive transport and the structure of the probability distribution, is related to a fast fluctuating phenomenon presented in the noise parameter. We discuss all the previous results using a financial time series example.
publishDate 2018
dc.date.none.fl_str_mv 2018-08
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/96727
Fuentes, Miguel Angel; Non-linear diffusion and power law properties of heterogeneous systems: Application to financial time series; Molecular Diversity Preservation International; Entropy; 20; 9; 8-2018; 1-8
1099-4300
CONICET Digital
CONICET
url http://hdl.handle.net/11336/96727
identifier_str_mv Fuentes, Miguel Angel; Non-linear diffusion and power law properties of heterogeneous systems: Application to financial time series; Molecular Diversity Preservation International; Entropy; 20; 9; 8-2018; 1-8
1099-4300
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/doi/10.3390/e20090649
info:eu-repo/semantics/altIdentifier/url/https://www.mdpi.com/1099-4300/20/9/649
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Molecular Diversity Preservation International
publisher.none.fl_str_mv Molecular Diversity Preservation International
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
_version_ 1844614365077045248
score 13.070432

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