Fundamental pricing laws and long memory effects in the day-ahead power market

2021 ◽  
pp. 105211
Author(s):  
Nikolaos S. Thomaidis ◽  
Pandelis N. Biskas
Keyword(s):  
Long Memory ◽  
Power Market ◽  
Memory Effects

scholarly journals Searching for long memory effects in time series of central Europe stock market indices

2008 ◽  
Vol 56 (3) ◽  
pp. 187-200
Author(s):  
Luboš Střelec
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Central Europe ◽  
Long Memory ◽  
Hurst Exponent ◽  
Financial Time Series ◽  
Memory Effects ◽  
Stock Index ◽  
Source Data ◽  
Independent Process

This article deals with one of the important parts of applying chaos theory to financial and capital markets – namely searching for long memory effects in time series of financial instruments. Source data are daily closing prices of Central Europe stock market indices – Bratislava stock index (SAX), Budapest stock index (BUX), Prague stock index (PX) and Vienna stock index (ATX) – in the period from January 1998 to September 2007. For analysed data R/S analysis is used to calculate the Hurst exponent. On the basis of the Hurst exponent is characterized formation and behaviour of analysed financial time series. Computed Hurst exponent is also statistical compared with his expected value signalling independent process. It is also operated with 5-day returns (i.e. weekly returns) for the purposes of comparison and identification nonperiodic cycles.

Volatility dynamics and diversification benefits of Bitcoin under asymmetric and long memory effects

2022 ◽  
Vol 26 (1) ◽  
pp. 65
Author(s):  
Ahmed Jeribi ◽  
Mohamed Fakhfekh ◽  
Anis Jarboui
Keyword(s):  
Long Memory ◽  
Memory Effects

Wave propagation in viscoelastic composite materials with long-memory effects

2020 ◽  
Author(s):  
Hilal Reda ◽  
Kawthar Zaydana ◽  
Najib Ghayth ◽  
Mohammad Hammoud ◽  
Jean-François Ganghoffer ◽  
...  
Keyword(s):  
Wave Propagation ◽  
Composite Materials ◽  
Long Memory ◽  
Memory Effects ◽  
Viscoelastic Composite

scholarly journals A Bertrand Duopoly Game with Long-Memory Effects

Complexity ◽  
2020 ◽  
Vol 2020 ◽  
pp. 1-7 ◽  
Author(s):  
Baogui Xin ◽  
Fangrui Cao ◽  
Wei Peng ◽  
Abdelalim A. Elsadany
Keyword(s):  
Fractional Order ◽  
Long Memory ◽  
Nash Equilibria ◽  
Numerical Solutions ◽  
Short Term Memory ◽  
Memory Effects ◽  
Short Term ◽  
Bifurcation And Chaos ◽  
Long Short Term Memory ◽  
Complex Phenomena

Reconsidering the Bertrand duopoly game based on the concept of long short-term memory, we construct a fractional-order Bertrand duopoly game by extending the integer-order game to its corresponding fractional-order form. We build such a Bertrand duopoly game, in which both players can make their decisions with long-memory effects. Then, we investigate its Nash equilibria, local stability, and numerical solutions. Using the bifurcation diagram, the phase portrait, time series, and the 0-1 test for chaos, we numerically validate these results and illustrate its complex phenomena, such as bifurcation and chaos.

Long memory effects in excitonic systems dynamics: Spectral relations and excitation transport

2020 ◽  
Vol 152 (24) ◽  
pp. 244114
Author(s):  
S. Korsakas ◽  
J. Bučinskas ◽  
D. Abramavicius
Keyword(s):  
Long Memory ◽  
Memory Effects ◽  
Systems Dynamics

scholarly journals Switchable silver mirrors with long memory effects

2015 ◽  
Vol 6 (1) ◽  
pp. 596-602 ◽  
Author(s):  
Chihyun Park ◽  
Seogjae Seo ◽  
Haijin Shin ◽  
Bhimrao D. Sarwade ◽  
Jongbeom Na ◽  
...  
Keyword(s):  
Ionic Liquids ◽  
Memory Effect ◽  
Long Memory ◽  
Memory Effects ◽  
Metallic Film ◽  
Blocking Layer ◽  
Ito Electrode ◽  
Switchable Mirror ◽  
First Time

An electrochemically stable and bistable switchable mirror is achieved for the first time by introducing a thiol-modified ITO electrode to stabilize the metallic film and ionic liquids as an anion-blocking layer, to achieve a long memory effect.

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