A Novel View of Suprathreshold Stochastic Resonance and its Applications to Financial Markets

Frontiers in Applied Mathematics and Statistics. 2015;1 DOI 10.3389/fams.2015.00010

 

Journal Homepage

Journal Title: Frontiers in Applied Mathematics and Statistics

ISSN: 2297-4687 (Online)

Publisher: Frontiers Media S.A.

LCC Subject Category: Technology: Technology (General): Industrial engineering. Management engineering: Applied mathematics. Quantitative methods | Science: Mathematics: Probabilities. Mathematical statistics

Country of publisher: Switzerland

Language of fulltext: English

Full-text formats available: PDF, HTML, ePUB, XML

 

AUTHORS

Gui eCitovsky (Stony Brook University)
Sergio eFocardi (Stony Brook University)

EDITORIAL INFORMATION

Blind peer review

Editorial Board

Instructions for authors

Time From Submission to Publication: 14 weeks

 

Abstract | Full Text

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.