Dokument-ID Dokumenttyp Verfasser/Autoren Herausgeber Haupttitel Abstract Auflage Verlagsort Verlag Erscheinungsjahr Seitenzahl Schriftenreihe Titel Schriftenreihe Bandzahl ISBN Quelle der Hochschulschrift Konferenzname Quelle:Titel Quelle:Jahrgang Quelle:Heftnummer Quelle:Erste Seite Quelle:Letzte Seite URN DOI Abteilungen OPUS4-40053 Wissenschaftlicher Artikel Cherstvy, Andrey G.; Vinod, Deepak; Aghion, Erez; Chechkin, Aleksei V.; Metzler, Ralf Time averaging, ageing and delay analysis of financial time series We introduce three strategies for the analysis of financial time series based on time averaged observables. These comprise the time averaged mean squared displacement (MSD) as well as the ageing and delay time methods for varying fractions of the financial time series. We explore these concepts via statistical analysis of historic time series for several Dow Jones Industrial indices for the period from the 1960s to 2015. Remarkably, we discover a simple universal law for the delay time averaged MSD. The observed features of the financial time series dynamics agree well with our analytical results for the time averaged measurables for geometric Brownian motion, underlying the famed Black-Scholes-Merton model. The concepts we promote here are shown to be useful for financial data analysis and enable one to unveil new universal features of stock market dynamics. London IOP 2017 11 New journal of physics 19 1 11 10.1088/1367-2630/aa7199 Institut für Physik und Astronomie OPUS4-40054 misc Cherstvy, Andrey G.; Vinod, Deepak; Aghion, Erez; Chechkin, Aleksei V.; Metzler, Ralf Time averaging, ageing and delay analysis of financial time series We introduce three strategies for the analysis of financial time series based on time averaged observables. These comprise the time averaged mean squared displacement (MSD) as well as the ageing and delay time methods for varying fractions of the financial time series. We explore these concepts via statistical analysis of historic time series for several Dow Jones Industrial indices for the period from the 1960s to 2015. Remarkably, we discover a simple universal law for the delay time averaged MSD. The observed features of the financial time series dynamics agree well with our analytical results for the time averaged measurables for geometric Brownian motion, underlying the famed Black-Scholes-Merton model. The concepts we promote here are shown to be useful for financial data analysis and enable one to unveil new universal features of stock market dynamics. 2017 11 urn:nbn:de:kobv:517-opus4-400541 Institut für Physik und Astronomie OPUS4-46566 Wissenschaftlicher Artikel Cherstvy, Andrey G.; Vinod, Deepak; Aghion, Erez; Chechkin, Aleksei V.; Metzler, Ralf Time averaging, ageing and delay analysis of financial time series We introduce three strategies for the analysis of financial time series based on time averaged observables. These comprise the time averaged mean squared displacement (MSD) as well as the ageing and delay time methods for varying fractions of the financial time series. We explore these concepts via statistical analysis of historic time series for several Dow Jones Industrial indices for the period from the 1960s to 2015. Remarkably, we discover a simple universal law for the delay time averaged MSD. The observed features of the financial time series dynamics agree well with our analytical results for the time averaged measurables for geometric Brownian motion, underlying the famed Black-Scholes-Merton model. The concepts we promote here are shown to be useful for financial data analysis and enable one to unveil new universal features of stock market dynamics. Bristol IOP Publ. Ltd. 2017 11 New journal of physics : the open-access journal for physics 19 135 147 10.1088/1367-2630/aa7199 Institut für Physik und Astronomie