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Pattern formation in time series systems due to viscoelastic behavior: Case studies in uniform distribution, normal distribution, stock market index, and music

Güngör Gündüz

Kimya Mühendisliği Bölümü, Orta Doğu Teknik Üniversitesi, Ankara 06800, Turkey

https://doi.org/10.1142/S0129183118500857Cited by:4 (Source: Crossref)

Abstract

A new methodology was introduced to investigate the pattern formation in time series systems due to their viscoelastic behavior. Four stochastic processes, uniform distribution, normal distribution, Nasdaq-100 stock market index, and a melody were studied within this context. The time series data were converted into vectorial forms in a scattering diagram. The sequential vectors can be split into its in-line (or conservative) and out-of-line (or dissipative) components. Thus, one can define the storage and loss modulus for conservative, and dissipative components, respectively. Instead of using the geometric Brownian equation which involves Wiener noise term, the changes were taken into consideration at every step by introducing “lethargy” concept and the deviation from it. Thus, the mathematics is somehow simplified, and the dynamical behavior of time series systems can be elucidated at every step of change. The viscoelastic behavior of time series systems reveals patterns of the viscoelastic parameters such as storage and loss modulus, and also of thermodynamic work-like and heat-like properties. Besides, there occur some minima and maxima in the distribution of the angles between the sequential vectors in the scattering diagram. The same is true for the change of entropy of the system.

Keywords:

PACS: 02.50.Ey, 02.70.Rf, 02.90.+p, 05.40.−a, 05.40.Jc, 05.45.−a, 05.45.Tp, 05.65.+b, 05.90.+m, 82.40.ck, 89.20.+a, 89.75.Fb, 89.75.Kd, 89.90.+n

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