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q-fin.ST2015★ 34 cited
Stability and Hierarchy of Quasi-Stationary States: Financial Markets as an Example
Yuriy Stepanov, Philip Rinn, Thomas Guhr +2
We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus…
q-fin.ST2015
Dynamics of quasi-stationary systems: Finance as an example
Philip Rinn, Yuriy Stepanov, Joachim Peinke +2
We propose a combination of cluster analysis and stochastic process analysis to characterize high-dimensional complex dynamical systems by few dominating variables. As an example,…