Related papers: Fractality feature in oil price fluctuations
Factorial moments are convenient tools in nuclear physics to characterize the multiplicity distributions when phase-space resolution ($\Delta$) becomes small. For uncorrelated particle production within $\Delta$, Gaussian statistics holds…
Dispersion of a passive scalar from concentrated sources in fully developed turbulent channel flow is studied with the probability density function (PDF) method. The joint PDF of velocity, turbulent frequency and scalar concentration is…
We study clustering in a stochastic system of particles sliding down a fluctuating surface in one and two dimensions. In steady state, the density-density correlation function is a scaling function of separation and system size.This scaling…
We numerically study the distribution function of the conductivity (transmission) in the one-dimensional tight-binding Anderson model in the region of fluctuation states. We show that while single parameter scaling in this region is not…
We apply a simple trading strategy for various time series of real and artificial stock prices to understand the origin of fractality observed in the resulting profit landscapes. The strategy contains only two parameters $p$ and $q$, and…
Using data on the Berlin public transport network, the present study extends previous observations of fractality within public transport routes by showing that also the distribution of inter-station distances along routes displays…
The global energy fluctuations of a low density gas granular gas in the homogeneous cooling state near its clustering instability are studied by means of molecular dynamics simulations. The relative dispersion of the fluctuations is shown…
The probability density function (PDF) for critical wavefunction amplitudes is studied in the three-dimensional Anderson model. We present a formal expression between the PDF and the multifractal spectrum f(alpha) in which the role of…
We numerically study the distribution function of the conductance (transmission) in the one-dimensional tight-binding Anderson and periodic-on-average superlattice models in the region of fluctuation states where single parameter scaling is…
In financial markets, low prices are generally associated with high volatilities and vice-versa, this well known stylized fact usually being referred to as leverage effect. We propose a local volatility model, given by a stochastic…
We introduce a class of stochastic volatility models $(X_t)_{t \geq 0}$ for which the absolute moments of the increments exhibit anomalous scaling: $\E\left(|X_{t+h} - X_t|^q \right)$ scales as $h^{q/2}$ for $q < q^*$, but as $h^{A(q)}$…
Modelling accurately financial price variations is an essential step underlying portfolio allocation optimization, derivative pricing and hedging, fund management and trading. The observed complex price fluctuations guide and constraint our…
Recently the statistical characterizations of financial markets based on physics concepts and methods attract considerable attentions. We used two possible procedures of analyzing multifractal properties of a time series. The first one uses…
We present a study of the scaling properties of cluster-cluster aggregation with a source of monomers in the stationary state when the spatial transport of particles occurs by Levy flights. We show that the transition from mean-field…
Atmospheric flows exhibit fluctuations of all scales (space -time) ranging from turbulence (millimeters-seconds) to climate (thousands of kilometers-years). The apparently random fluctuations however exhibit long-range spatio-temporal…
We address the question of how stock prices respond to changes in demand. We quantify the relations between price change $G$ over a time interval $\Delta t$ and two different measures of demand fluctuations: (a) $\Phi$, defined as the…
We present a model of financial markets originally proposed for a turbulent flow, as a dynamic basis of its intermittent behavior. Time evolution of the price change is assumed to be described by Brownian motion in a power-law potential,…
We present ray tracing simulations combined with sets of large N-body simulations. Experiments were performed to explore, for the first time, statistical properties of fluctuations in angular separations of nearby light ray pairs (the…
Mandelbrot introduced the concept of fractals to describe the non-Euclidean shape of many aspects of the natural world. In the time series context he proposed the use of fractional Brownian motion (fBm) to model non-negligible temporal…
Fractals and multifractals and their associated scaling laws provide a quantification of the complexity of a variety of scale invariant complex systems. Here, we focus on lattice multifractals which exhibit complex exponents associated with…