scientific article; zbMATH DE number 1902433
zbMATH Open1015.62109MaRDI QIDQ4804656FDOQ4804656
Masaya Matsuura, M. Klimek, Yasunori Okabe
Publication date: 13 July 2003
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Langevin equationfluctuation-dissipation theoremfluctuation-dissipation principlestock market crashesabnormality test
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Prediction theory (aspects of stochastic processes) (60G25)
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- Detection of changes in non-linear dynamics for time series based on the theory of \(\mathrm{KM}_2 \mathrm O\)-Langevin equations
- On a nonlinear risk analysis for stock market indexes
- A time series analysis of economical phenomena in Japan's lost decade (1): determinacy property of the velocity of money and equilibrium solution
- Stochastic flows and finite block frames
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