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Scaling laws and the modern city
dc.contributor.author | Isalgué Buxeda, Antonio |
dc.contributor.author | Coch Roura, Helena |
dc.contributor.author | Serra Florensa, Rafael |
dc.contributor.other | Universitat Politècnica de Catalunya. Departament de Física Aplicada |
dc.contributor.other | Universitat Politècnica de Catalunya. Departament de Construccions Arquitectòniques I |
dc.date.accessioned | 2013-05-09T10:56:38Z |
dc.date.created | 2007-08 |
dc.date.issued | 2007-08 |
dc.identifier.citation | Isalgue, A.; Coch, H.; Serra, R. Scaling laws and the modern city. "Physica A. Statistical mechanics and its applications", Agost 2007, vol. 382, núm. 2, p. 643-649. |
dc.identifier.issn | 0378-4371 |
dc.identifier.uri | http://hdl.handle.net/2117/19147 |
dc.description.abstract | A detrended fluctuation analysis (DFA) is applied to the statistics of Korean treasury bond (KTB) futures from which the logarithmic increments, volatilities, and traded volumes are estimated over a specific time lag. In this study, the logarithmic increment of futures prices has no long-memory property, while the volatility and the traded volume exhibit the existence of the long-memory property. To analyze and calculate whether the volatility clustering is due to a inherent higher-order correlation not detected by with the direct application of the DFA to logarithmic increments of KTB futures, it is of importance to shuffle the original tick data of future prices and to generate a geometric Brownian random walk with the same mean and standard deviation. It was found from a comparison of the three tick data that the higher-order correlation inherent in logarithmic increments leads to volatility clustering. Particularly, the result of the DFA on volatilities and traded volumes can be supported by the hypothesis of price changes. |
dc.format.extent | 7 p. |
dc.language.iso | eng |
dc.subject | Àrees temàtiques de la UPC::Urbanisme::Projecte urbà |
dc.subject.lcsh | Public spaces |
dc.title | Scaling laws and the modern city |
dc.type | Article |
dc.subject.lemac | Espais públics |
dc.contributor.group | Universitat Politècnica de Catalunya. AIEM - Arquitectura, energia i medi ambient |
dc.identifier.doi | 10.1016/j.physa.2007.04.019 |
dc.relation.publisherversion | http://dx.doi.org/10.1016/j.physa.2007.04.019 |
dc.rights.access | Restricted access - publisher's policy |
local.identifier.drac | 694738 |
dc.description.version | Postprint (published version) |
dc.date.lift | 10000-01-01 |
local.citation.author | Isalgue, A.; Coch, H.; Serra, R. |
local.citation.publicationName | Physica A. Statistical mechanics and its applications |
local.citation.volume | 382 |
local.citation.number | 2 |
local.citation.startingPage | 643 |
local.citation.endingPage | 649 |
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