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  • Artikel  (4)
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  • PACS. 31.70.Hq Time-dependent phenomena: excitation and relaxation processes, and reaction rates – 33.80.Wz Other multiphoton processes  (2)
  • PACS. 01.75.+m Science and society – 02.30.Lt Sequences,series, and summability – 02.50.-r Probability theory, stochasticprocesses, and statistics  (1)
  • PACS. 02.50.-r Probability theory, stochastic processes, and statistics – 89.70.+c Information science  (1)
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  • Springer  (4)
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  • American Institute of Physics (AIP)
  • American Physical Society
  • Blackwell Publishing Ltd
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  • 2000-2004  (4)
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  • 2001  (4)
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  • Physik  (4)
  • 1
    Digitale Medien
    Digitale Medien
    Self-similar approach to market analysis (2001)
    Springer
    The European physical journal 20 (2001), S. 609-617 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 01.75.+m Science and society – 02.30.Lt Sequences,series, and summability – 02.50.-r Probability theory, stochasticprocesses, and statistics
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: A novel approach to analyzing time series generated by complex systems, such as markets, is presented. The basic idea of the approach is the Law of Self-Similar Evolution, according to which any complex system develops self-similarly. There always exist some internal laws governing the evolution of a system, say of a market, so that each of such systems possesses its own character regulating its behaviour. The problem is how to discover these hidden internal laws defining the system character. This problem can be solved by employing the self-similar approximation theory, which supplies the mathematical foundation for the law of self-similar evolution. In this report, the theoretical basis of the new approach to analyzing time series is formulated, with an accurate explanation of its principal points.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/PL00011115
    Standort Signatur Erwartet Verfügbarkeit
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  • 2
    Digitale Medien
    Digitale Medien
    Value-at-risk prediction using context modeling (2001)
    Springer
    The European physical journal 20 (2001), S. 481-492 
    Details
    ISSN: 1434-6036
    Schlagwort(e): PACS. 02.50.-r Probability theory, stochastic processes, and statistics – 89.70.+c Information science
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: In financial market risk measurement, Value-at-Risk (VaR) techniques have proven to be a very useful and popular tool. Unfortunately, most VaR estimation models suffer from major drawbacks: the lognormal (Gaussian) modeling of the returns does not take into account the observed fat tail distribution and the non-stationarity of the financial instruments severely limits the efficiency of the VaR predictions. In this paper, we present a new approach to VaR estimation which is based on ideas from the field of information theory and lossless data compression. More specifically, the technique of context modeling is applied to estimate the VaR by conditioning the probability density function on the present context. Tree-structured vector quantization is applied to partition the multi-dimensional state space of both macroeconomic and microeconomic priors into an increasing but limited number of context classes. Each class can be interpreted as a state of aggregation with its own statistical and dynamic behavior, or as a random walk with its own drift and step size. Results on the US S&P500 index, obtained using several evaluation methods, show the strong potential of this approach and prove that it can be applied successfully for, amongst other useful applications, VaR and volatility prediction. The October 1997 crash is indicated in time.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s100510170227
    Standort Signatur Erwartet Verfügbarkeit
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  • 3
    Digitale Medien
    Digitale Medien
    Selective preparation of ground state wave-packets: a theoretical analysis of femtosecond pump-dump-probe experiments on the potassium dimer (2001)
    Springer
    The European physical journal 14 (2001), S. 167-172 
    Details
    ISSN: 1434-6079
    Schlagwort(e): PACS. 31.70.Hq Time-dependent phenomena: excitation and relaxation processes, and reaction rates – 33.80.Wz Other multiphoton processes
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: We present simulations on pump-dump-probe experiments performed on the potassium dimer. The interaction of two time-delayed laser pulses prepares vibrational wave packets in the electronic ground state. The quantum calculations reveal to what extent it is possible to prepare a ground state superposition of states with high versus low vibrational quantum numbers by changing the pump-dump delay time. It is shown that transient signals may exhibit interference effects which are due to characteristics of ground state wave-packets composed of two components showing different vibrational dynamics. In this way the signals are able to yield information about vibrational overtone motion.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s100530170214
    Standort Signatur Erwartet Verfügbarkeit
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  • 4
    Digitale Medien
    Digitale Medien
    Femtosecond pump-probe fluorescence signals from classical trajectories: comparison with wave-packet calculations (2001)
    Springer
    The European physical journal 15 (2001), S. 413-422 
    Details
    ISSN: 1434-6079
    Schlagwort(e): PACS. 31.70.Hq Time-dependent phenomena: excitation and relaxation processes, and reaction rates – 33.80.Wz Other multiphoton processes
    Quelle: Springer Online Journal Archives 1860-2000
    Thema: Physik
    Notizen: Abstract: A classical approach to simulate femtosecond pump-probe experiments is presented and compared to the quantum mechanical treatment. We restrict the study to gas-phase systems using the I2 molecule as a numerical example. Thus, no relaxation processes are included. This allows for a direct comparison between purely quantum mechanical results and those obtained from classical trajectory calculations. The classical theory is derived from the phase-space representation of quantum mechanics. Various approximate quantum mechanical treatments are compared to their classical counterparts. Thereby it is demonstrated that the representation of the radial density as prepared in the pump-process is most crucial to obtain reliable signals within the classical approach.
    Materialart: Digitale Medien
    URL: http://dx.doi.org/10.1007/s100530170158
    Standort Signatur Erwartet Verfügbarkeit
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    Artikel (Nationallizenzen)
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