Related papers: Better than DFA? A Bayesian Method for Estimating …
The conventional formal tool to detect effects of the financial persistence is in terms of the Hurst exponent. A typical corresponding result is that its value comes out close to 0.5, as characteristic for geometric Brownian motion, with at…
Functional data analysis (FDA) is a part of modern multivariate statistics that analyses data providing information about curves, surfaces or anything else varying over a certain continuum. In economics and empirical finance we often have…
We investigate how extreme loss of data affects the scaling behavior of long-range power-law correlated and anti-correlated signals applying the DFA method. We introduce a segmentation approach to generate surrogate signals by randomly…
We present the method of complementary ensemble empirical mode decomposition (CEEMD) and Hilbert-Huang transform (HHT) for analyzing nonstationary financial time series. This noise-assisted approach decomposes any time series into a number…
Long-range correlation and fluctuation in the gold market time series of world's two leading gold consuming countries, namely China and India, are studied. For both the market series during the period 1985-2013 we observe a long-range…
Here we discuss a new fast detrending method for the non-stationary RR time series used in Heart Rate Variability analysis. The described method is based on the diffusion equation, and we show numerically that it is equivalent to the widely…
We first apply the WT-MFDFA, MFDFA, and WTMM multifractal methods to binomial multifractal time series of three different binomial parameters and find that the WTMM method indicates an enhanced difference between the fractal components than…
Considering that both the entropy-based market information and the Hurst exponent are useful tools for determining whether the efficient market hypothesis holds for a given asset, we study the link between the two approaches. We thus…
Change detection has been a hotspot in remote sensing technology for a long time. With the increasing availability of multi-temporal remote sensing images, numerous change detection algorithms have been proposed. Among these methods, image…
We study the temporal fluctuations in time-dependent stock prices (both individual and composite) as a stochastic phenomenon using general techniques and methods of nonequilibrium statistical mechanics. In particular, we analyze stock price…
We investigated the quality of forecasting of fractional Brownian motion, and new method for estimating of Hurst exponent is validated. Stochastic model of the time series in the form of converted fractional Brownian motion is proposed. The…
This paper generalizes the existing minimal model of the hypothalamic-pituitary-adrenal (HPA) axis in a realistic way, by including memory terms: distributed time delays, on one hand and fractional-order derivatives, on the other hand. The…
A phenomenological investigation of the endogenous and exogenous dynamics in the fluctuations of capital fluxes is investigated on the Chinese stock market using mean-variance analysis, fluctuation analysis and their generalizations to…
We investigate the statistical evidence for the use of `rough' fractional processes with Hurst exponent $H< 0.5$ for the modeling of volatility of financial assets, using a model-free approach. We introduce a non-parametric method for…
Multiresolution Wavelet Transform and Detrended Fluctuation Analysis have been recently proven as excellent methods in the analysis of Heart Rate Variability, and in distinguishing between healthy subjects and patients with various…
The fractional Brownian motion (fBm) is parameterized by the Hurst exponent $H\in(0,1)$, which determines the dependence structure and regularity of sample paths. Empirical findings suggest that the Hurst exponent may be non-constant in…
Multifractality in time series analysis characterizes the presence of multiple scaling exponents, indicating heterogeneous temporal structures and complex dynamical behaviors beyond simple monofractal models. In the context of digital…
A simple model of an irreversible process is introduced. The equation of iterations in the model includes a noise generation term. We study the properties of the system when the noise generation term is a stochastic process (e.g. a random…
Several studies have investigated the scaling behavior in naturally occurring biological and physical processes using techniques such as detrended fluctuation analysis (DFA). Data acquisition is an inherent part of these studies and maps…
The diversity of diffusive systems exhibiting long-range correlations characterized by a stochastically varying Hurst exponent calls for a generic multifractional model. We present a simple, analytically tractable model which fills the gap…