3 papers
physics.data-an2020
Reliable Detection of Causal Asymmetries in Dynamical Systems
Erik Laminski, Klaus R. Pawelzik
Knowledge about existence, strength, and dominant direction of causal influences is of paramount importance for understanding complex systems. With limited amounts of realistic dat…
cond-mat.stat-mech2004
Limited profit in predictable stock markets
R. Rothenstein, K. Pawelzik
It has been assumed that arbitrage profits are not possible in efficient markets, because future prices are not predictable. Here we show that predictability alone is not a suffici…
nlin.AO2002
Evolution and anti-evolution in a minimal stock market model
R. Rothenstein, K. Pawelzik
We present a novel microscopic stock market model consisting of a large number of random agents modeling traders in a market. Each agent is characterized by a set of parameters tha…