Berlin 2005 – scientific programme

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AKSOE: Physik sozio-ökonomischer Systeme

AKSOE 8: Poster Session

AKSOE 8.19: Poster

Monday, March 7, 2005, 14:00–15:30, Poster TU E

Estimate Memory Effects from Time Series — •Daniel T. Schmitt and Michael Schulz — Department of Theoretical Physics, University of Ulm, D-89069 Ulm

From Mori-Theory we know that any microscopically deterministic dynamics of a complex system can be described by an integro-differential equation, the so called generalized langevin equation.

Our objective is to estimate the memory kernels and frequency terms form artificially generated as well as real world time series. Results can be used to classify the dynamics. Possible applications include forecasting in finance and economics.