Related papers: Genuine multifractality in time series is due to t…
Macroscopic systems often display phase transitions where certain physical quantities are singular or self-similar at different (spatial) scales. Such properties of systems are currently characterized by some order parameters and a few…
We study multifractal properties in time evolution of a single particle subject to repeated measurements. For quantum systems, we consider circuit models consisting of local unitary gates and local projective measurements. For classical…
A frequently encountered situation in the study of delay systems is that the length of the delay time changes with time, which is of relevance in many fields such as optics, mechanical machining, biology or physiology. A characteristic…
We analyzed multifractal properties of 5-minute stock returns from a period of over two years for 100 highly capitalized American companies. The two sources: fat-tailed probability distributions and nonlinear temporal correlations, vitally…
We propose a novel algorithm - Multifractal Cross-Correlation Analysis (MFCCA) - that constitutes a consistent extension of the Detrended Cross-Correlation Analysis (DCCA) and is able to properly identify and quantify subtle characteristics…
We present a general class of spatio-temporal stochastic processes describing the causal evolution of a positive-valued field in space and time. The field construction is based on independently scattered random measures of Levy type whose…
We study the influence of a dissipation process on diffusion dynamics triggered by fluctuations with long-range correlations. We make the assumption that the perturbation process involved is of the same kind as those recently studied…
The variability of temporal (or spatial) fluctuations of any variable is represented in conventional statistical theory by the relative dispersion equal to the standard deviation divided by the mean . The Relative Dispersion decreases with…
The creativity and emergence of biological and psychological behavior are nonlinear. However, that does not necessarily mean only that the measurements of the behaviors are curvilinear. Furthermore, the linear model might fail to reduce…
In this work, a multifractal framework is proposed to investigate the effects of current sheets in solar wind turbulence. By using multifractal detrended fluctuation analysis coupled with surrogate methods and volatility, two solar wind…
Many financial variables are found to exhibit multifractal nature, which is usually attributed to the influence of temporal correlations and fat-tailedness in the probability distribution (PDF). Based on the partition function approach of…
A classic problem in physics is the origin of fat tailed distributions generated by complex systems. We study the distributions of stock returns measured over different time lags $\tau.$ We find that destroying all correlations without…
Recent evidence suggests that physiological signals under healthy conditions may have a fractal temporal structure. We investigate the possibility that time series generated by certain physiological control systems may be members of a…
Based on the well-known Detrended Fluctuation Analysis (DFA) for time series, in this work we describe a DFA for continuous real variable functions. Under certain conditions, DFA accurately predicts the long-term auto-correlation of the…
We extend and test empirically the multifractal model of asset returns based on a multiplicative cascade of volatilities from large to small time scales. The multifractal description of asset fluctuations is generalized into a multivariate…
In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose Dow Jones Industrial Average. The analysis consists about…
The multifractal characterization of the distribution over disorder of the mean first-passage time in a finite chain is revisited. Both, absorbing-absorbing and reflecting-absorbing boundaries are considered. Two models of dichotomic…
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…
Fluctuations in the return time statistics of a dynamical system can be described by a new spectrum of dimensions. Comparison with the usual multifractal analysis of measures is presented, and difference between the two corresponding sets…
This paper studies the daily connectivity time series of a wind speed-monitoring network using multifractal detrended fluctuation analysis. It investigates the long-range fluctuation and multifractality in the residuals of the connectivity…