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This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance hedge ratio…
In a recent work Manimaran et al. [Manimaran et al., Phys. Rev. E 72, 046120 (2005)] propose to use multiresolution Daubechies (DB) wavelets to (detrend) remove the low frequency trends and subsequently to quantify the multifractal…
Turbulence is ubiquitous in plasmas, leading to rich dynamics characterized by irregularity, irreversibility, energy fluctuations across many scales, and energy transfer across many scales. Another fundamental and generic feature of…
Wavelets provide the flexibility to analyse stochastic processes at different scales. Here, we apply them to multivariate point processes as a means of detecting and analysing unknown non-stationarity, both within and across data streams.…
In magnetized plasma turbulence, the couplings of perpendicular spatial scales that arise due to the nonlinear interactions are analyzed from the perspective of the free-energy exchanges. The plasmas considered here, with appropriate ion or…
Direct numerical simulations are used to investigate the individual dynamics of large spherical particles suspended in a developed homogeneous turbulent flow. A definition of the direction of the particle motion relative to the surrounding…
We study compressible MHD turbulence, which holds key to many astrophysical processes, including star formation and cosmic ray propagation. To account for the variations of the magnetic field in the strongly turbulent fluid we use wavelet…
We extend the analysis of [Zhou and Sornette, Physica D 165, 94-125, 2002] showing statistically significant log-periodic corrections to scaling in the moments of the energy dissipation rate in experiments at high Reynolds number ($\approx…
A method based on wavelet transform and genetic programming is proposed for characterizing and modeling variations at multiple scales in non-stationary time series. The cyclic variations, extracted by wavelets and smoothened by cubic…
Scale interaction is studied in wall-bounded turbulence by focusing on the frequency modulation (FM) mechanism of large scales on small scale velocity fluctuations. Differently from amplitude modulation analysis, frequency modulation has…
This paper presents a global air and sea temperature anomalies analysis based upon a combination of the wavelet multiresolution analysis and the scaling analysis methods of a time series. The wavelet multiresolution analysis decomposes the…
This is a paper about multi-fractal scaling and dissipation in a shell model of turbulence, called the GOY model. This set of equations describes a one dimensional cascade of energy towards higher wave vectors. When the model is chaotic,…
We introduce the wavelet scattering spectra which provide non-Gaussian models of time-series having stationary increments. A complex wavelet transform computes signal variations at each scale. Dependencies across scales are captured by the…
Modal linear stability analysis has proven very successful in the analysis of coherent structures of turbulent flows. Formally, it describes the evolution of a disturbance in the limit of infinite time. In this work we apply modal linear…
We use continuous wavelet transform techniques to construct the global and environment-dependent wavelet statistics, such as energy spectrum and kurtosis, to study the fluctuation and intermittency of the turbulent motion in the cosmic…
Turbulent space and astrophysical plasmas exhibit a complex dynamics, which involves nonlinear coupling across different temporal and spatial scales. There is growing evidence that impulsive events, such as magnetic reconnection…
The features of turbulence modulation produced by a heavy loaded suspension of small solid particles or liquid droplets are discussed by using a physically-based regularisation of particle-fluid interactions. The approach allows a robust…
In weakly collisional space plasmas, the turbulent cascade provides most of the energy that is dissipated at small scales by various kinetic processes. Understanding the characteristics of such dissipative mechanisms requires the accurate…
The time-frequency integrals and the two-dimensional stationary phase method are applied to study the electromagnetic waves radiated by moving modulated sources in dispersive media. We show that such unified approach leads to explicit…
We determine analytically the dependence of the approach to thermal equilibrium of strongly coupled plasmas on the breaking of scale invariance. The theories we consider are the holographic duals to Einstein gravity coupled to a scalar with…