AUTHOR=Citovsky Gui , Focardi Sergio 

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

JOURNAL=Frontiers in Applied Mathematics and Statistics

VOLUME=Volume 1 - 2015

YEAR=2015

URL=https://www.frontiersin.org/journals/applied-mathematics-and-statistics/articles/10.3389/fams.2015.00010

DOI=10.3389/fams.2015.00010

ISSN=2297-4687

ABSTRACT=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.