Full-text resources of PSJD and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Refine search results

Journals help

  1. 2 Acta Physica Polonica A

Years help

  1. 2 2010

Authors help

  1. 2 Kozłowska M.

  2. 2 Kutner R.

Preferences help
Polish version English version Language
enabled [disable] Abstract
Number of results

Results found: 2

Number of results on page
first rewind previous Page / 1 next fast forward last

Search results

help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1
Content available remote

Singular Dynamics of Various Macroeconomic Sectors

100%
Kozłowska M., Kutner R.
Acta Physica Polonica A
|
2010
|
vol. 117
|
issue 4
630-636
EN
In this work we applied our original solution of the literal Rheological Model of Fractional Dynamics of Financial Market, i.e., the time-dependent solution proportional to the Mittag-Leffler function superposed with oscillations, not only to describe the singular dynamics of financial markets but also to study the singular dynamics of various macroeconomic sectors. The approach makes possible to sufficiently estimate (among others) the time of crash as well as its order. Thus we demonstrate, perhaps useful for stock market investors as well as for various macroeconomic agents, the technical analysis of bubble and crash, which is complementary to the famous one supplying power-law superposed with log-periodic oscillations.
2
Content available remote

Modern Rheology on a Stock Market: Fractional Dynamics of Indices

100%
Kozłowska M., Kutner R.
Acta Physica Polonica A
|
2010
|
vol. 118
|
issue 4
677-687
EN
This paper presents an exactly solvable (by applying the fractional calculus) the rheological model of fractional dynamics of financial market conformed to the principle of no arbitrage present on financial market. The rheological model of fractional dynamics of financial market describes some singular, empirical, speculative daily peaks of stock market indices, which define crashes as a kind of phase transition. In the frame of the model the plastic market hypothesis and financial uncertainty principle were formulated, which proposed possible scenarios of some market crashes. The brief presentation of the model was made in our earlier work (and references therein). The rheological model of fractional dynamics of financial market is a deterministic model and it is complementary to already existing other ones; together with them it offers possibility for thorough and widespread technical analysis of crashes. The constitutive, fractional integral equation of the model is an analogy of the corresponding one, which defines the fractional Zener model of plastic material. The fractional Zener model is the canonical one for modern rheology, polymer physics and biophysics concerning non-Debye relaxation of viscoelastic biopolymers. The useful approximate solution of the constitutive equation of the rheological model of fractional dynamics of financial market consists of two parts: (i) the first one connected with long-term memory present in the system, which is proportional to the generalized exponential function defined by the Mittag-Leffler function and (ii) the second one describing oscillations (e.g. beats or oscillations having two slightly shifted frequences). The shape exponent leading the Mittag-Leffler function, defines here the order of the phase transition between bullish and bearish states of the financial market, in particular, for recent hossa and bessa on some small, middle and large stock markets. It happened that this solution also successfully estimated some long-term price dynamics on the hypothetical market in United States.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.