Scales and stock markets
Article Abstract:
R.N. Mantegna and H.E. Stanley have proposed a new model to characterize the distribution of stock returns. The distribution of high-frequency stock-returns is highly peaked at the center and has a leptokurtic (fat-tailed) distribution. This is not the case with the standard distributional assumptions. They apply a Levy stable distribution to model the center and then apply exponentially declining tails. This approach has value in conjunction with current methods but should not be used to replace them.
Publication Name: Nature
Subject: Zoology and wildlife conservation
ISSN: 0028-0836
Year: 1995
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Scaling behaviour of heartbeat intervals obtained by wavelet-based time-series analysis
Article Abstract:
Analyses of biological signals have proven to be complicated because of the irregular and non-stationary quality of such signals. However, an innovative biological signal analysis approach based on a wavelet transform and an analytic signal system has been developed. The approach has been successfully used to analyze heartbeat intervals. Results showed that heartbeat intervals possess a scaling behavior which can be attributed to the underlying nonlinear dynamics of the heart function.
Publication Name: Nature
Subject: Zoology and wildlife conservation
ISSN: 0028-0836
Year: 1996
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Scaling behaviour in the dynamics of an economic index
Article Abstract:
A non-gaussian process which shows dynamics that correspond to Levy stable process predictions can be used as an economic model of economic index dynamic behavior. This process for modeling scaling behavior was tested on the Standard and Poor's 500 probability distribution with time intervals of 1,000 minutes to one minute, the smallest time necessary for a trading transaction in a financial market. The probability distribution tails show a leptokurtic structure.
Publication Name: Nature
Subject: Zoology and wildlife conservation
ISSN: 0028-0836
Year: 1995
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