Analysis of fluctuations in financial time series

Arkadiusz J. Orłowski ,  Magdalena A. Zaluska-Kotur ,  Zbigniew Struzik 

Polish Academy of Sciences, Institute of Physics, al. Lotników 32/46, Warszawa 02-668, Poland

Abstract

Various methods developed in statistical physics to study fluctuations in nonlinear and nonstationary time series are reviewed. Theoretical concepts are illustrated by practical analysis of exchange rates data coming from the Polish financial market. More standard econometric approach is also presented for comparison.

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Presentation: oral at Symposium on Econo- and Sociophysics 2004, by Arkadiusz J. Orłowski
See On-line Journal of Symposium on Econo- and Sociophysics 2004

Submitted: 2004-10-18 15:19
Revised:   2009-06-08 12:55
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