271 research outputs found
Analysis of Binarized High Frequency Financial Data
A non-trivial probability structure is evident in the binary data extracted
from the up/down price movements of very high frequency data such as
tick-by-tick data for USD/JPY. In this paper, we analyze the Sony bank USD/JPY
rates, ignoring the small deviations from the market price. We then show there
is a similar non-trivial probability structure in the Sony bank rate, in spite
of the Sony bank rate's having less frequent and larger deviations than
tick-by-tick data. However, this probability structure is not found in the data
which has been sampled from tick-by-tick data at the same rate as the Sony bank
rate. Therefore, the method of generating the Sony bank rate from the market
rate has the potential for practical use since the method retains the
probability structure as the sampling frequency decreases.Comment: 8pages, 4figures, contribution to the 3rd International Conference
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Fluctuations in time intervals of financial data from the view point of the Gini index
We propose an approach to explain fluctuations in time intervals of financial
markets data from the view point of the Gini index. We show the explicit form
of the Gini index for a Weibull distribution which is a good candidate to
describe the first passage time of foreign exchange rate. The analytical
expression of the Gini index gives a very close value with that of empirical
data analysis.Comment: 6pages, 3figures, using elsart.cl
On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market
We analyze waiting times for price changes in a foreign currency exchange
rate. Recent empirical studies of high frequency financial data support that
trades in financial markets do not follow a Poisson process and the waiting
times between trades are not exponentially distributed. Here we show that our
data is well approximated by a Weibull distribution rather than an exponential
distribution in a non-asymptotic regime. Moreover, we quantitatively evaluate
how much an empirical data is far from an exponential distribution using a
Weibull fit. Finally, we discuss a phase transition between a Weibull-law and a
power-law in the asymptotic long waiting time regime.Comment: 9 pages, 6 figures, submitted for a publication and under revie
Waiting time analysis of foreign currency exchange rates: Beyond the renewal-reward theorem
We evaluate the average waiting time between observing the price of financial
markets and the next price change, especially in an on-line foreign exchange
trading service for individual customers via the internet. Basic technical idea
of our present work is dependent on the so-called renewal-reward theorem.
Assuming that stochastic processes of the market price changes could be
regarded as a renewal process, we use the theorem to calculate the average
waiting time of the process. In the conventional derivation of the theorem, it
is apparently hard to evaluate the higher order moments of the waiting time. To
overcome this type of difficulties, we attempt to derive the waiting time
distribution Omega(s) directly for arbitrary time interval distribution (first
passage time distribution) of the stochastic process P_{W}(tau) and observation
time distribution P_{O}(t) of customers. Our analysis enables us to evaluate
not only the first moment (the average waiting time) but also any order of the
higher moments of the waiting time. Moreover, in our formalism, it is possible
to model the observation of the price on the internet by the customers in terms
of the observation time distribution P_{O}(t). We apply our analysis to the
stochastic process of the on-line foreign exchange rate for individual
customers from the Sony bank and compare the moments with the empirical data
analysis.Comment: 8pages, 11figures, using IEEEtran.cl
Design Automation of Steam Attemperator
Projektituotteet sisÀltÀvÀt tyypillisesti paljon asiakaskohtaista rÀÀtÀlöintiÀ. SiitÀ johtuen tuotteiden suunnittelu alkaa vasta tilauksen varmistumisen jÀlkeen. TÀmÀ hidastaa tuotteen tilaus-toimitusprosessin lÀpimenoaikaa ja lisÀÀ projektin epÀvarmuutta. Nopeuttaakseen projektien valmistumista ja alentaakseen kustannuksia joissain projektituotteita valmistavissa yrityksissÀ on siirrytty tuotekonfigurointiin. Tuotteen eri variaatiot suunnitellaan etukÀteen ja asiakkaan tarpeiden perusteella valitaan tuoteyksilö, joka parhaiten tÀyttÀÀ asiakkaan vaatimukset. Asiakasvaatimusten yhdistÀmistÀ tuotteen ominaisuuksiin kutsutaan konfigurointiprosessiksi.
TÀmÀn diplomityön tavoitteena oli kehittÀÀ Metso Power Oy:n höyrynjÀÀhdyttimen tuoterakennetta siten, ettÀ höyrynjÀÀhdyttimen tuoteyksilöt voidaan mÀÀritellÀ etukÀteen suunniteltuja ratkaisuja hyödyntÀen. Kehitetyn tuoterakenteen pohjalta tehtiin suunnitteluautomaatti, joka lÀhtötietojen perusteella muodostaa tuoteyksilön 3D-mallin sekÀ työpiirustukset. TyöllÀ tavoiteltiin suunnitteluun kuluvan ajan lyhenemistÀ ja kustannusten alentumista.
Työn alussa perehdyttiin 152:een eri projekteissa tehtyihin höyrynjÀÀhdyttimiin. LÀpikÀytyjen projektien avulla kartoitettiin, mitÀ muutoksia eri tuoteyksilöiden vÀlillÀ oli tarvittu. Muuttujista pyrittiin tunnistamaan toiminnan kannalta oleelliset ja turhat variaatiot. Vakioimalla muuttujia ja rajoittamalla valintoja muuttujien mÀÀrÀ saatiin putoamaan noin 30:stÀ alle kymmeneen.
Työn tuloksena syntyi tuoteperhe, jonka kaikki mahdolliset variaatiot ovat etukÀteen suunniteltuja. HöyrynjÀÀhdyttimen detaljisuunnitteluun kuluva aika lyheni noin 150 tunnista 30 tuntiin yhtÀ projektia kohden
Evaluating zero error noise thresholds by the replica method for Gallager code ensembles
The zero error noise threshold for Gallager code ensemblers were evaluated by using replica method (RM). The RM, which was invented in statistical physics, offered an option for calculating the bound. It was shown that the given approach provided more optimistic evaluations with respect to the evaluations provided by the information theory literature for sparse matrices
Crossover between Levy and Gaussian regimes in first passage processes
We propose a new approach to the problem of the first passage time. Our
method is applicable not only to the Wiener process but also to the
non--Gaussian Lvy flights or to more complicated stochastic
processes whose distributions are stable. To show the usefulness of the method,
we particularly focus on the first passage time problems in the truncated
Lvy flights (the so-called KoBoL processes), in which the
arbitrarily large tail of the Lvy distribution is cut off. We
find that the asymptotic scaling law of the first passage time distribution
changes from -law (non-Gaussian Lvy
regime) to -law (Gaussian regime) at the crossover point. This result
means that an ultra-slow convergence from the non-Gaussian Lvy
regime to the Gaussian regime is observed not only in the distribution of the
real time step for the truncated Lvy flight but also in the
first passage time distribution of the flight. The nature of the crossover in
the scaling laws and the scaling relation on the crossover point with respect
to the effective cut-off length of the Lvy distribution are
discussed.Comment: 18pages, 7figures, using revtex4, to appear in Phys.Rev.
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