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Analýza finančních dat metodami ekonofyziky / Analysis of Financial Data Applying Methods of Econophysics

For financial forcasting of crisis new concepts from disciplines dissimilar to economics are looked for by financial experts. The branch of econophysics using theories of natural sciences is significant. The meaning of this work is to point out one of many methods applied to financial data with help of the theory of turbulence of fluids and deterministic chaos. We provide a parallel analysis of high frequency financial time series of a stock index and velocities of a turbulent fluid. This work concerns the use of concepts from statistical mathematics, probability theory and scaling. We find differences of both studied systems but the methodologies of natural diciplines can be also applied to financial data.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:113910
Date January 2012
CreatorsŠubrt, Jiří
ContributorsKodera, Jan, Málek, Jiří
PublisherVysoká škola ekonomická v Praze
Source SetsCzech ETDs
LanguageCzech
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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