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11 papers · 2 filters
Economic Fluctuations and Diffusion
Vasiliki Plerou, Parameswaran Gopikrishnan, Luis. A. Nunes Amaral +2
Stock price changes occur through transactions, just as diffusion in physical systems occurs through molecular collisions. We systematically explore this analogy and quantify the r…
Sleep-Wake Differences in Scaling Behavior of the Human Heartbeat: Analysis of Terrestrial and Long-Term Space Flight Data
Plamen Ch. Ivanov, Armin Bunde, Luís A. N. Amaral +5
We compare scaling properties of the cardiac dynamics during sleep and wake periods for healthy individuals, cosmonauts during orbital flight, and subjects with severe heart diseas…
Systems with Correlations in the Variance: Generating Power-Law Tails in Probability Distributions
Boris Podobnik, Plamen Ch. Ivanov, Youngki Lee +2
We study how the presence of correlations in physical variables contributes to the form of probability distributions. We investigate a process with correlations in the variance gen…
Scaling of the distribution of price fluctuations of individual companies
V. Plerou, P. Gopikrishnan, L. A. N. Amaral +2
We present a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major…
Scale-invariant Truncated Lévy Process
Boris Podobnik, Plamen Ch. Ivanov, Youngki Lee +1
We develop a scale-invariant truncated Lévy (STL) process to describe physical systems characterized by correlated stochastic variables. The STL process exhibits Lévy stability for…
Multifractality in Human Heartbeat Dynamics
Plamen Ch. Ivanov, Luís A. Nunes Amaral, Ary L. Goldberger +4
Recent evidence suggests that physiological signals under healthy conditions may have a fractal temporal structure. We investigate the possibility that time series generated by cer…