Paper Info
Title
Non-Linear Diffusion and Power Law Properties of Heterogeneous Systems: Application to Financial Time Series.
Abstract
In this work, we show that it is possible to obtain important ubiquitous physical characteristics when an aggregation of many systems is taken into account. We discuss the possibility of obtaining not only an anomalous diffusion process, but also a Non-Linear diffusion equation, that leads to a probability distribution, when using a set of non-Markovian processes. This probability distribution shows a power law behavior in the structure of its tails. It also reflects the anomalous transport characteristics of the ensemble of particles. This ubiquitous behavior, with a power law in the diffusive transport and the structure of the probability distribution, is related to a fast fluctuating phenomenon presented in the noise parameter. We discuss all the previous results using a financial time series example.
Year
DOI
Venue
2018
10.3390/e20090649
ENTROPY
Keywords
Field
DocType
power law,complex systems,non linear evolution equations
Non linear diffusion,Applied mathematics,Mathematical optimization,Power law,Mathematics
Journal
Volume
Issue
ISSN
20
9
1099-4300
Citations 
PageRank 
References 
2
0.40
5
Authors
1
Name
Order
Citations
PageRank
Miguel Fuentes152.46