Combustion Models in Finance

Details Combustion Models in Finance Combustion Models in Finance

2001-01-07

arxiv.org/abs/physics/0101042v1

Physics

Physics and Society

6 pages, 8 figures, submitted to European Physical Journal on December 30 2000

Scientific paper

Combustion reaction kinetics models are used for the description of a special
class of bursty Financial Time Series. The small number of parameters they
depend upon enable financial analysts to predict the time as well as the
magnitude of the jump of the value of the portfolio. Several Financial Time
Series are analysed within this framework and applications are given.

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