Related papers: Multifractality in Time Series
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…
We report a general technique to study a given experimental time series with superstatistics. Crucial for the applicability of the superstatistics concept is the existence of a parameter $\beta$ that fluctuates on a large time scale as…
By adopting Multifractal detrended fluctuation (MF-DFA) analysis methods, the multifractal nature is revealed in the high-frequency data of two typical indexes, the Shanghai Stock Exchange Composite 180 Index (SH180) and the Shenzhen Stock…
Multifractality of charged particle pseudorapidity distributions is analyzed in central collisions of carbon and copper nuclei at 4.5 GeV/c per nucleon. Within the method of normalized factorial moments, modified to remove the bias of…
We investigate the recently introduced variety of a set of stock returns traded in a financial market. This investigation is done by considering daily and intraday time horizons in a 15-day time period centered at the August 31st, 1998…
This paper studies of the multifractal dynamics in 84 cryptocurrencies. It fills an important gap in the literature, by studying this market using two alternative multi-scaling methodologies. We find compelling evidence that…
An approach is suggested for treating multiscale fluctuations in macromolecular systems. The emphasis is on the statistical properties of such fluctuations. The approach is illustrated by a macromolecular system with mesoscopic fluctuations…
The Black-Scholes implied volatility skew at the money of SPX options is known to obey a power law with respect to the time-to-maturity. We construct a model of the underlying asset price process which is dynamically consistent to the power…
A hypothesis that the financial log-periodicity, cascading self-similarity through various time scales, carries signatures of a law is pursued. It is shown that the most significant historical financial events can be classified amazingly…
A challenging problem in physics concerns the possibility of forecasting rare but extreme phenomena such as large earthquakes, financial market crashes, and material rupture. A promising line of research involves the early detection of…
We study the average shape of a fluctuation of a time series x(t), that is the average value <x(t)-x(0)>_T before x(t) first returns, at time T, to its initial value x(0). For large classes of stochastic processes we find that a scaling law…
The paper is devoted to elaboration of a novel specific indicator based on the modified Holder exponents. This indicator has been used for forecasting critical points of financial time series and crashes of the USA stock market. The…
The crucial aspect of this demonstration is the discovery of renewal events, hidden in the computed dynamics of a multifractal metronome, which enables the replacement of the phenomenon of strong anticipation with a time delayed…
We consider a process $X_t$, which is observed on a finite time interval $[0,T]$, at discrete times $0,\Delta_n,2\Delta_n,\ldots.$ This process is an It\^{o} semimartingale with stochastic volatility $\sigma_t^2$. Assuming that $X$ has…
Recent numerical explorations of extremely intense circulation fluctuations at high Reynolds number flows have brought to light novel aspects of turbulent intermittency. Vortex gas modeling ideas, introduced alongside such developments,…
The presence of log-periodic structures before and after stock market crashes is considered to be an imprint of an intrinsic discrete scale invariance (DSI) in this complex system. The fractal framework of the theory leaves open the…
Subdiffusion on graphs is often modeled by time-fractional diffusion equations, yet its structural and dynamical consequences remain unclear. We show that subdiffusive transport on graphs is a memory-driven process generated by a random…
Flash crashes in financial markets have become increasingly important attracting attention from financial regulators, market makers as well as from the media and the broader audience. Systemic risk and propagation of shocks in financial…
The earth's ionosphere is well recognized as a dynamical system and non-linearly coupled with the magnetosphere above and natural atmosphere below.The shape and time variability of the ionosphere indeed shows chaos, pattern formation,…
Financial markets are prominent examples for highly non-stationary systems. Sample averaged observables such as variances and correlation coefficients strongly depend on the time window in which they are evaluated. This implies severe…