4 papers
Bayesian inference and superstatistics to describe long memory processes of financial time series
Geoffrey Ducournau
One of the standardized features of financial data is that log-returns are uncorrelated, but absolute log-returns or their squares namely the fluctuating volatility are correlated…
Symbol Dynamics, Information theory and Complexity of Economic time series
Geoffrey Ducournau
We propose to examine the predictability and the complexity characteristics of the Standard&Poor500 dynamics behaviors in a coarse-grained way using the symbolic dynamics method an…
Statistical mechanics and Bayesian Inference addressed to the Osborne Paradox
Geoffrey Ducournau
One of the greatest contributors of the 20th century among all academician in the field of statistical finance, M. F. M. Osborne published in 1956 [6] an essential paper and propos…
Stock market's physical properties description based on Stokes law
Geoffrey Ducournau
We propose in this paper to consider the stock market as a physical system assimilate to a fluid evolving in a macroscopic space subject to a Force that influences its movement ove…