50 citations · 59 across the 2 of their papers we have counts for
4 papers · 1 filter
Medium and Small Scale Analysis of Financial Data
Andreas P. Nawroth, Joachim Peinke
A stochastic analysis of financial data is presented. In particular we investigate how the statistics of log returns change with different time delays . The scale dependent beha…
Multiscale reconstruction of time series
A. P. Nawroth, J. Peinke
A new method is proposed which allows a reconstruction of time series based on higher order multiscale statistics given by a hierarchical process. This method is able to model the…
Small scale behavior of financial data
Andreas P. Nawroth, Joachim Peinke
A new approach is presented to describe the change in the statistics of the log return distribution of financial data as a function of the timescale. To this purpose a measure is i…
An Iterative Procedure for the Estimation of Drift and Diffusion Coefficients of Langevin Processes
D. Kleinhans, R. Friedrich, A. Nawroth +1
A general method is proposed which allows one to estimate drift and diffusion coefficients of a stochastic process governed by a Langevin equation. It extends a previously devised…