Linked Life Data

19792224

Source:http://linkedlifedata.com/resource/pubmed/id/19792224

Statements in which the resource exists as a subject.
PredicateObject
rdf:type
lifeskim:mentions
pubmed:issue
2 Pt 2
pubmed:dateCreated
2009-10-1
pubmed:abstractText
We suggest a risk estimation method for financial records that is based on the statistics of return intervals between events above/below a certain threshold Q and is particularly suited for multifractal records. The method is based on the knowledge of the probability W(Q)(t;Deltat) that within the next Deltat units of time at least one event above Q occurs, if the last event occurred t time units ago. We propose an analytical estimate of W(Q) and show explicitly that the proposed method is superior to the conventional precursory pattern recognition technique widely used in signal analysis, which requires considerable fine tuning and is difficult to implement. We also show that the estimation of the Value at Risk, which is a standard tool in finances, can be improved considerably by the method.
pubmed:language
eng
pubmed:journal
pubmed:status
PubMed-not-MEDLINE
pubmed:month
Aug
pubmed:issn
1539-3755
pubmed:author
pubmed:issnType
Print
pubmed:volume
80
pubmed:owner
NLM
pubmed:authorsComplete
Y
pubmed:pagination
026131
pubmed:year
2009
pubmed:articleTitle
Improved risk estimation in multifractal records: Application to the value at risk in finance.
pubmed:affiliation
Institut für Theoretische Physik III, Justus-Liebig-Universität Giessen, 35392 Giessen, Germany.
pubmed:publicationType
Journal Article, Research Support, Non-U.S. Gov't