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Time averaging, ageing and delay analysis of financial time series

Cherstvy, Andrey G and Vinod, Deepak and Aghion, Erez and Chechkin, Aleksei V and Metzler, Ralf (2017) Time averaging, ageing and delay analysis of financial time series. In: NEW JOURNAL OF PHYSICS, 19 .

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Official URL: http://dx.doi.org/10.1088/1367-2630/aa7199

Abstract

We introduce three strategies for the analysis of financial time series based on time averaged observables. These comprise the time averaged mean squared displacement (MSD) as well as the ageing and delay time methods for varying fractions of the financial time series. We explore these concepts via statistical analysis of historic time series for several Dow Jones Industrial indices for the period from the 1960s to 2015. Remarkably, we discover a simple universal law for the delay time averaged MSD. The observed features of the financial time series dynamics agree well with our analytical results for the time averaged measurables for geometric Brownian motion, underlying the famed Black-Scholes-Merton model. The concepts we promote here are shown to be useful for financial data analysis and enable one to unveil new universal features of stock market dynamics.

Item Type: Journal Article
Additional Information: Copy right for this article belongs to the IOP PUBLISHING LTD, TEMPLE CIRCUS, TEMPLE WAY, BRISTOL BS1 6BE, ENGLAND
Department/Centre: Division of Chemical Sciences > Inorganic & Physical Chemistry
Depositing User: Id for Latest eprints
Date Deposited: 29 Jul 2017 10:06
Last Modified: 29 Jul 2017 10:06
URI: http://eprints.iisc.ac.in/id/eprint/57514

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