TY  - JOUR
A1  - Cherstvy, Andrey G.
A1  - Vinod, Deepak
A1  - Aghion, Erez
A1  - Chechkin, Aleksei V.
A1  - Metzler, Ralf
T1  - Time averaging, ageing and delay analysis of financial time series
JF  - New journal of physics
N2  - 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.
KW  - time averaging
KW  - diffusion
KW  - geometric Brownian motion
KW  - financial time series
Y1  - 2017
U6  - https://doi.org/10.1088/1367-2630/aa7199
SN  - 1367-2630
VL  - 19
SP  - 1
EP  - 11
PB  - IOP
CY  - London
ER  - 
TY  - GEN
A1  - Cherstvy, Andrey G.
A1  - Vinod, Deepak
A1  - Aghion, Erez
A1  - Chechkin, Aleksei V.
A1  - Metzler, Ralf
T1  - Time averaging, ageing and delay analysis of financial time series
N2  - 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.
T3  - Zweitveröffentlichungen der Universität Potsdam : Mathematisch-Naturwissenschaftliche Reihe - 347 
KW  - diffusion
KW  - financial time series
KW  - geometric Brownian motion
KW  - time averaging
Y1  - 2017
U6  - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-400541
ER  - 
TY  - JOUR
A1  - Cherstvy, Andrey G.
A1  - Vinod, Deepak
A1  - Aghion, Erez
A1  - Chechkin, Aleksei V.
A1  - Metzler, Ralf
T1  - Time averaging, ageing and delay analysis of financial time series
JF  - New journal of physics : the open-access journal for physics
N2  - 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.
KW  - time averaging
KW  - diffusion
KW  - geometric Brownian motion
KW  - financial time series
Y1  - 2017
U6  - https://doi.org/10.1088/1367-2630/aa7199
SN  - 1367-2630
VL  - 19
SP  - 135
EP  - 147
PB  - IOP Publ. Ltd.
CY  - Bristol
ER  - 
TY  - JOUR
A1  - Padash, Amin
A1  - Aghion, Erez
A1  - Schulz, Alexander
A1  - Barkai, Eli
A1  - Chechkin, Aleksei V.
A1  - Metzler, Ralf
A1  - Kantz, Holger
T1  - Local equilibrium properties of ultraslow diffusion in the Sinai model
JF  - New journal of physics
N2  - We perform numerical studies of a thermally driven, overdamped particle in a random quenched force field, known as the Sinai model. We compare the unbounded motion on an infinite 1-dimensional domain to the motion in bounded domains with reflecting boundaries and show that the unbounded motion is at every time close to the equilibrium state of a finite system of growing size. This is due to time scale separation: inside wells of the random potential, there is relatively fast equilibration, while the motion across major potential barriers is ultraslow. Quantities studied by us are the time dependent mean squared displacement, the time dependent mean energy of an ensemble of particles, and the time dependent entropy of the probability distribution. Using a very fast numerical algorithm, we can explore times up top 10(17) steps and thereby also study finite-time crossover phenomena.
KW  - Sinai diffusion
KW  - clustering
KW  - local equilibrium
Y1  - 2022
U6  - https://doi.org/10.1088/1367-2630/ac7df8
SN  - 1367-2630
VL  - 24
IS  - 7
PB  - IOP Publishing
CY  - Bristol
ER  -