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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.
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.
The isotopic composition of water in ice sheets is extensively used to infer past climate changes. In low-accumulation regions their interpretation is, however, challenged by poorly constrained effects that may influence the initial isotope signal during and after deposition of the snow. This is reflected in snow-pit isotope data from Kohnen Station, Antarctica, which exhibit a seasonal cycle but also strong interannual variations that contradict local temperature observations. These inconsistencies persist even after averaging many profiles and are thus not explained by local stratigraphic noise. Previous studies have suggested that post-depositional processes may significantly influence the isotopic composition of East Antarctic firn. Here, we investigate the importance of post-depositional processes within the open-porous firn (greater than or similar to 10 cm depth) at Kohnen Station by separating spatial from temporal variability. To this end, we analyse 22 isotope profiles obtained from two snow trenches and examine the temporal isotope modifications by comparing the new data with published trench data extracted 2 years earlier. The initial isotope profiles undergo changes over time due to downward advection, firn diffusion and densification in magnitudes consistent with independent estimates. Beyond that, we find further modifications of the original isotope record to be unlikely or small in magnitude (<< 1 parts per thousand RMSD). These results show that the discrepancy between local temperatures and isotopes most likely originates from spatially coherent processes prior to or during deposition, such as precipitation intermittency or systematic isotope modifications acting on drifting or loose surface snow.
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.
While branched polyglycerol (PG)-based molecules are well established as hydrophilic particles, the capacity of utilizing PG in bulk materials and opportunities arising by their further surface functionalization have only recently been considered. Here we investigated how the mold used in PG network synthesis may affect surface composition and how the permeability of substances through PG can be controlled by altering network structure, i.e. introducing 20mol% oligoethylene glycol (OEG) bifunctional spacer molecules. Overall, PG-based bulk network materials were shown to be tailorable, hydrophilic, low swelling and relatively stiff polyether-based materials, with low impact of salt onto material properties. Based on these features, but also on the principal capacity of free hydroxyl groups to be used for functionalization reactions, these materials may be an interesting platform for medical and technical applications, e.g. as diffusion-rate controlling membrane in aqueous environment. Copyright (c) 2016 John Wiley & Sons, Ltd.