£56.60

Peter Lang Gmbh, Internationaler Verlag Der Wissenschaften Klassifikation Und Analyse Finanzwirtschaftlicher Zeitreihen Mit Hilfe Von Fraktalen Brownschen Bewegungen: 3124 (Europaeische Hochschulschriften / European University Studie)

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£56.60 £53.77 £54.90 £56.03 £57.17 £58.30 £59.43 05 June 2026 07 June 2026 09 June 2026 11 June 2026 13 June 2026

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Description

In der Literatur wird der Aktienkursverlauf häufig als Summe aus deterministischem Zins und stochastischem Prozeß modelliert. In dieser Arbeit wird diese Inkonsequenz überwunden und der Kursverlauf als eine Überlagerung von stochastischen Prozessen mit jeweils unterschiedlichen Autokorrelationsverläufen bzw. Memorycharakteristiken erklärt, nämlich mit Hilfe der aus der Chaostheorie bekannten fraktalen Brownschen Bewegungen. Anschließend werden zwei neue Konzepte zur quantitativen Erfassung der Autokorrelationen entwickelt: die Eigenwerte der Kovarianzmatrix und die Rotationswinkel mit denen sich die einzelnen Kursänderungsvektoren durch geeignete Drehoperationen ineinander überführen lassen. Diese beiden Konzepte werden auf britische Index-Futures angewandt und die Ergebnisse mit denen der fraktalen Bewegungen verglichen.

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