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A Novel View of Suprathreshold Stochastic Resonance and its Applications to Financial Markets

By Gui eCitovsky and Sergio eFocardi

Abstract

We introduce an original application of Suprathreshold Stochastic Resonance (SSR). Given a noise-corrupted signal, we induce SSR in effort to filter the effect of the corrupting noise. This will yield a clearer version of the signal we desire to detect. We propose a financial application that can potentially reveal big positions in a market. We assume there exist return signals that correspond to big orders, which are hidden by noise from small scale traders. We induce SSR in an attempt to reveal these big positions

Topics: stochastic resonance, Hidden Markov Models, Aperiodic, Noise filter, Suprathreshold, Applied mathematics. Quantitative methods, T57-57.97, Probabilities. Mathematical statistics, QA273-280
Publisher: Frontiers Media S.A.
Year: 2015
DOI identifier: 10.3389/fams.2015.00010
OAI identifier: oai:doaj.org/article:82c558d896db41f9a9035f3c35076282
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