The level crossing and inverse statistic analysis of German stock market index (DAX) and daily oil price time series, Article Physica A: Statistical Mechanics and its Applications ; Volume 391, Issue 12 , 2012 , Pages 209216 ; 03784371 (ISSN) ; Hölling, M ; Peinke, J ; Rahimi Tabar, M. Reza ; Sharif University of Technology
2012
Abstract
The level crossing and inverse statistics analysis of DAX and oil price time series are given. We determine the average frequency of positiveslope crossings, να+, where Tα=1να+ is the average waiting time for observing the level α again. We estimate the probability P(K,α), which provides us the probability of observing K times of the level α with positive slope, in time scale Tα. For analyzed time series, we found that maximum K is about ≈6. We show that by using the level crossing analysis one can estimate how the DAX and oil time series will develop. We carry out the same analysis for the increments of DAX and oil price logreturns (which is known as inverse statistics), and provide the...
Cataloging briefThe level crossing and inverse statistic analysis of German stock market index (DAX) and daily oil price time series, Article Physica A: Statistical Mechanics and its Applications ; Volume 391, Issue 12 , 2012 , Pages 209216 ; 03784371 (ISSN) ; Hölling, M ; Peinke, J ; Rahimi Tabar, M. Reza ; Sharif University of Technology
2012
Abstract
The level crossing and inverse statistics analysis of DAX and oil price time series are given. We determine the average frequency of positiveslope crossings, να+, where Tα=1να+ is the average waiting time for observing the level α again. We estimate the probability P(K,α), which provides us the probability of observing K times of the level α with positive slope, in time scale Tα. For analyzed time series, we found that maximum K is about ≈6. We show that by using the level crossing analysis one can estimate how the DAX and oil time series will develop. We carry out the same analysis for the increments of DAX and oil price logreturns (which is known as inverse statistics), and provide the...
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