A novel view of suprathreshold stochastic resonance and its applications to financial markets

Frontiers in Applied Mathematics and Statistics

Citovsky, Gui¹  Focardi, Sergio¹ 

[1] Department of Applied Mathematics and Statistics, Stony Brook University, Stony Brook, NY, USA

关键词: stochastic resonance;    Hidden Markov Models;    Noise filter;    Suprathreshold;    Aperiodic;   

DOI  :  10.3389/fams.2015.00010

学科分类：数学（综合）

来源: Frontiers

【 摘 要 】

We introduce an original application of Suprathreshold Stochastic Resonance (SSR). Given a noise-corrupted signal, we induce SSR in effort to filter the effect of the corrupting noise. This will yield a clearer version of the signal we desire to detect. We propose a financial application that can potentially reveal big positions in a market. We assume there exist return signals that correspond to big orders, which are hidden by noise from small scale traders. We induce SSR in an attempt to reveal these big positions.

【 授权许可】

CC BY