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Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context,…
Recurrence quantification analysis is a widely used method for characterizing patterns in time series. This article presents a comprehensive survey for conducting a wide range of recurrence-based analyses to quantify the dynamical structure…
The concept of spectral relative entropy rate is introduced for jointly stationary Gaussian processes. Using classical information-theoretic results, we establish a remarkable connection between time and spectral domain relative entropy…
The emergent dynamics of complex systems often arise from the internal dynamical interactions among different elements and hence is to be modeled using multiple variables that represent the different dynamical processes. When such systems…
Understanding the structural complexity and predictability of complex networks is a central challenge in network science. Although recent studies have revealed a relationship between compression-based entropy and link prediction…
Scaling properties of time series are usually studied in terms of the scaling laws of empirical moments, which are the time average estimates of moments of the dynamic variable. Nonlinearities in the scaling function of empirical moments…
We present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be present in financial data. Although our model is `monofractal' by construction, it shows apparent multiscaling as a…
Multimodal data, where different types of data are collected from the same subjects, are fast emerging in a large variety of scientific applications. Factor analysis is commonly used in integrative analysis of multimodal data, and is…
The multifractal behavior for tick data of prices is investigated in Korean financial market. Using the rescaled range analysis(R/S analysis), we show the multifractal nature of returns for the won-dollar exchange rate and the KOSPI. We…
Existing results for the estimation of the L\'evy measure are mostly limited to the onedimensional setting. We apply the spectral method to multidimensional L\'evy processes in order to construct a nonparametric estimator for the…
The exact range of the joined values of several R\'{e}nyi entropies is determined. The method is based on topology with special emphasis on the orientation of the objects studied. Like in the case when only two orders of R\'{e}nyi entropies…
We determine the Renyi entropies K_q of symbol sequences generated by human chromosomes. These exhibit nontrivial behaviour as a function of the scanning parameter q. In the thermodynamic formalism, there are phase transition-like phenomena…
In many real complex networks, the fractal and self-similarity properties have been found. The fractal dimension is a useful method to describe fractal property of complex networks. Fractal analysis is inadequate if only taking one fractal…
For high dimensional data, some of the standard statistical techniques do not work well. So modification or further development of statistical methods are necessary. In this paper, we explore these modifications. We start with the important…
This paper is devoted to problem of detecting critical events at finiacial markets using methods of multifractal analysis. Namely, the local regularity of time-series is studied. As a result, one can find out a special behavior or signal of…
This letter is a comment on an article by T.C. Halsey and M.H. Jensen in Nature about using recurrence times as a reliable tool to estimate multifractal dimensions of strange attractors. Our aim is to emphasize that in the recent…
A fractal is in essence a hierarchy with cascade structure, which can be described with a set of exponential functions. From these exponential functions, a set of power laws indicative of scaling can be derived. Hierarchy structure and…
A simple method for numerical analytic continuation is developed. It is designed to analytically continue the imaginary time (Matsubara frequency) quantum Monte Carlo simulation results to the real time (real frequency) domain. Such a…
Technical analysis is considered the oldest, currently omnipresent, method for financial markets analysis, which uses past prices aiming at the possible short-term forecast of future prices. In the frame of complex systems, methods used to…
We have performed detailed multifractal analysis on the minutely volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function $\chi_q(s)$ scales as a power law with…