Related papers: Genuine multifractality in time series is due to t…
Multifractal properties of the energy time series of short $\alpha$-helix structures, specifically from a polyalanine family, are investigated through the MF-DFA technique ({\it{multifractal detrended fluctuation analysis}}). Estimates for…
Multiplicative cascades have been introduced in turbulence to generate random or deterministic fields having intermittent values and long-range power-law correlations. Generally this is done using discrete construction rules leading to…
We study the multifractal temporal scaling properties of river discharge and precipitation records. We compare the results for the multifractal detrended fluctuation analysis method with the results for the wavelet transform modulus maxima…
A theory of time and space with fractional dimensions (FD) of time and space ($d_{\alpha}, \alpha=t,{\bf r})$ defined on multifractal sets is proposed. The FD is determined (using principle of minimum the functionals of FD) by the energy…
Detailed study of multifractal characteristics of the financial time series of asset values and of its returns is performed using a collection of the high frequency Deutsche Aktienindex data. The tail index ($\alpha$), the Renyi exponents…
The problem of inverse statistics (statistics of distances for which the signal fluctuations are larger than a certain threshold) in differentiable signals with power law spectrum, $E(k) \sim k^{-\alpha}$, $3 \le \alpha < 5$, is discussed.…
Fluctuation theorems make use of time reversal to make predictions about entropy production in many-body systems far from thermal equilibrium. Here we review the wide variety of distinct, but interconnected, relations that have been derived…
We offer a new perspective to the problem of characterizing mesoscopic fluctuations in the inter-plateau region of the integer quantum Hall transition. We found that longitudinal and transverse conductance fluctuations, generated by varying…
We outline a field theory on a multifractal spacetime. The measure in the action is characterized by a varying Hausdorff dimension and logarithmic oscillations governed by a fundamental physical length. A fine hierarchy of length scales…
Time evolutions whose infinitesimal generator is a fractional time derivative arise generally in the long time limit. Such fractional time evolutions are considered here for random walks. An exact relationship is given between the…
Time variation of fundamental constants would not be surprising in the framework of theories involving extra dimensions. The variation of any one constant is likely to be correlated with variations of others in a pattern that is diagnostic…
Multiplicative random cascade model naturally reproduces the intermittency or multifractality, which is frequently shown among hierarchical complex systems such as turbulence and financial markets. As described herein, we investigate the…
An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation functions of absolute returns is actually…
The aim of this paper is to investigate how the correlation properties of a stationary Markovian stochastic processes affect the First Passage Time distribution. First Passage Time issues are a classical topic in stochastic processes…
Methods connecting dynamical systems and graph theory have attracted increasing interest in the past few years, with applications ranging from a detailed comparison of different kinds of dynamics to the characterisation of empirical data.…
Detrended fluctuation analysis (DFA), suitable for the analysis of nonstationary time series, has confirmed the existence of persistent long-range correlations in healthy heart rate variability data. In this paper, we present the…
We study the middle cerebral artery blood flow velocity (MCAfv) in humans using transcranial Doppler ultrasonography (TCD). The time series of the axial flow velocity averaged over a cardiac beat interval is found to exhibit clear…
We solve time-reversed stochastic inflation in the semi-infinite flat potential with a constant drift term and derive an exact expression for the probability distribution of the curvature fluctuations. It exhibits exponential decaying tails…
In this paper, we study long-term correlations and multifractal properties elaborated from time series of three-phase current signals coming from an industrial electric arc furnace plant. Implicit sinusoidal trends are suitably detected by…
The search for more realistic modeling of financial time series reveals several stylized facts of real markets. In this work we focus on the multifractal properties found in price and index signals. Although the usual Minority Game (MG)…