TY  - JOUR
AU  - Zlatniczki, Ádám
AU  - Telcs, András
TI  - Application of Portfolio Optimization to Achieve Persistent Time Series
JF  - JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
J2  - J OPTIMIZ THEORY APP
PY  - 2024
PG  - 23
SN  - 0022-3239
DO  - 10.1007/s10957-024-02426-1
UR  - https://m2.mtmt.hu/api/publication/34795866
ID  - 34795866
N1  - Department of Computer Science and Information Theory, Budapest University of Technology and Economics, Budapest, Hungary            
            Ericsson Hungary, Budapest, Hungary            
            Department for Computational Sciences, Wigner Research Centre for Physics, Budapest, Hungary            
            Department of Quantitative Methods, University of Pannonia, Veszprem, Hungary            
            Export Date: 22 April 2024            
            Correspondence Address: Zlatniczki, A.; Department of Computer Science and Information Theory, Hungary; email: adam.zlatniczki@cs.bme.hu
AB  - The greater the persistence in a financial time series, the more predictable it becomes, allowing for the development of more effective investment strategies. Desirable attributes for financial portfolios include persistence, smoothness, long memory, and higher auto-correlation. We argue that these properties can be achieved by adjusting the composition weights of the portfolio. Considering the fractal nature of typical financial time series, the fractal dimension emerges as a natural metric to gauge the smoothness of the portfolio trajectory. Specifically, the Hurst exponent is designed for measuring the persistence of time series. In this paper, we introduce an optimization method inspired by the Hurst exponent and signal processing to mitigate the irregularities in the portfolio trajectory. We illustrate the effectiveness of this approach using real data from an S &P100 dataset.
LA  - English
DB  - MTMT
ER  - 

TY  - JOUR
AU  - Biró, Tamás Sándor
AU  - Telcs, András
AU  - Jakovác, Antal
TI  - Analogies and Relations between Non-Additive Entropy Formulas and Gintropy
JF  - ENTROPY
J2  - ENTROPY-SWITZ
VL  - 26
PY  - 2024
IS  - 3
PG  - 9
SN  - 1099-4300
DO  - 10.3390/e26030185
UR  - https://m2.mtmt.hu/api/publication/34765018
ID  - 34765018
N1  - Export Date: 29 April 2024
LA  - English
DB  - MTMT
ER  - 

TY  - JOUR
AU  - Telcs, András
TI  - Correction: The Einstein Relation for Random Walks on Graphs
JF  - JOURNAL OF STATISTICAL PHYSICS
J2  - J STAT PHYS
VL  - 190
PY  - 2023
IS  - 11
SN  - 0022-4715
DO  - 10.1007/s10955-023-03200-9
UR  - https://m2.mtmt.hu/api/publication/34406971
ID  - 34406971
N1  - Export Date: 30 November 2023            
            Correspondence Address: Telcs, A.; Department of Computer Science and Information Theory, Goldmann György t'er 3, V2. 138 Budapest, Hungary; email: telcs@szit.bme.hu
WoS:hiba:001107245900001 2024-01-01 11:20 cím nem egyezik
LA  - English
DB  - MTMT
ER  - 

TY  - JOUR
AU  - Telcs, András
TI  - The Einstein Relation for RandomWalks on Graphs
JF  - JOURNAL OF STATISTICAL PHYSICS
J2  - J STAT PHYS
VL  - 190
PY  - 2023
PG  - 30
SN  - 0022-4715
UR  - https://m2.mtmt.hu/api/publication/34167999
ID  - 34167999
LA  - English
DB  - MTMT
ER  - 

TY  - JOUR
AU  - Stippinger, Marcell
AU  - Varga, Bálint
AU  - Benkő, Zsigmond
AU  - Fabó, Dániel
AU  - Erőss, Loránd
AU  - Somogyvári, Zoltán
AU  - Telcs, András
TI  - CCDH: Complexity based Causal Discovery of Hidden common cause in time series
JF  - CHAOS SOLITONS & FRACTALS
J2  - CHAOS SOLITON FRACT
VL  - 176
PY  - 2023
PG  - 9
SN  - 0960-0779
DO  - 10.1016/j.chaos.2023.114054
UR  - https://m2.mtmt.hu/api/publication/34167230
ID  - 34167230
LA  - English
DB  - MTMT
ER  - 

TY  - JOUR
AU  - Biró, Tamás Sándor
AU  - Telcs, András
AU  - Józsa, Máté
AU  - Néda, Z.
TI  - Gintropic scaling of scientometric indexes
JF  - PHYSICA A - STATISTICAL MECHANICS AND ITS APPLICATIONS
J2  - PHYSICA A
VL  - 618
PY  - 2023
PG  - 11
SN  - 0378-4371
DO  - 10.1016/j.physa.2023.128717
UR  - https://m2.mtmt.hu/api/publication/33768094
ID  - 33768094
N1  - CODEN: PHYAD
LA  - English
DB  - MTMT
ER  - 

TY  - JOUR
AU  - Stippinger, Marcell
AU  - Bencze, Attila István
AU  - Zlatniczki, Ádám
AU  - Somogyvári, Zoltán
AU  - Telcs, András
TI  - Causal Discovery of Stochastic Dynamical Systems: A Markov Chain Approach
JF  - MATHEMATICS
J2  - MATHEMATICS-BASEL
VL  - 11
PY  - 2023
IS  - 4
PG  - 21
SN  - 2227-7390
DO  - 10.3390/math11040852
UR  - https://m2.mtmt.hu/api/publication/33682461
ID  - 33682461
LA  - English
DB  - MTMT
ER  - 

TY  - JOUR
AU  - Banász, Zsuzsanna
AU  - Kosztyán, Zsolt Tibor
AU  - Csányi, Vivien Valéria
AU  - Telcs, András
TI  - University leagues alongside rankings
JF  - QUALITY AND QUANTITY: INTERNATIONAL JOURNAL OF METHODOLOGY
J2  - QUAL QUANT
VL  - 57
PY  - 2023
SP  - 721
EP  - 736
PG  - 16
SN  - 0033-5177
DO  - 10.1007/s11135-022-01374-0
UR  - https://m2.mtmt.hu/api/publication/32836596
ID  - 32836596
N1  - Megjelenés:
- online: 2022. április
- nyomtatott:2023. február
LA  - English
DB  - MTMT
ER  - 

TY  - JOUR
AU  - Varga, Bálint
AU  - Stippinger, Marcell
AU  - Benkő, Zsigmond
AU  - Fabó, Dániel
AU  - Halász, Péter
AU  - Erőss, Loránd
AU  - Somogyvári, Zoltán
AU  - Telcs, András
TI  - Ccdh: Complexity Based Causal Discovery of Hidden Common Cause (and Other Beasts) in Time Series
JF  - SOCIAL SCIENCE RESEARCH NETWORK: SSRN
J2  - SOC SCI RES NETW (SSRN)
VL  - 2022
PY  - 2022
SN  - 1556-5068
DO  - 10.2139/ssrn.4294786
UR  - https://m2.mtmt.hu/api/publication/33851049
ID  - 33851049
LA  - English
DB  - MTMT
ER  - 

TY  - JOUR
AU  - Jakovác, Antal
AU  - Telcs, András
TI  - A Note on Representational Understanding
JF  - ENTROPY
J2  - ENTROPY-SWITZ
VL  - 24
PY  - 2022
IS  - 9
PG  - 8
SN  - 1099-4300
DO  - 10.3390/e24091313
UR  - https://m2.mtmt.hu/api/publication/33620208
ID  - 33620208
N1  - ISSN:1099-4300
LA  - English
DB  - MTMT
ER  -