Related papers: Multifractality in Time Series
Entropy, dimensions and other multifractal characteristics of multiplicity distributions of relativistic charged hadrons produced in ion-ion collisions at SPS energies are investigated. The analysis of the experimental data is carried out…
Cascades of events and extreme occurrences have garnered significant attention across diverse domains such as financial markets, seismology, and social physics. Such events can stem either from the internal dynamics inherent to the system…
We study quantitatively the level of false multifractal signal one may encounter while analyzing multifractal phenomena in time series within multifractal detrended fluctuation analysis (MF-DFA). The investigated effect appears as a result…
We show that extended self-similarity, a scaling phenomenon firstly observed in classical turbulent flows, holds for a two-dimensional metal-insulator transition that belongs to the universality class of random Dirac fermions. Deviations…
The collective behavior of dislocations in jerky flow is studied in Al-Mg polycrystalline samples subjected to constant strain rate tests. Complementary dynamical, statistical and multifractal analyses are carried out on the stress-time…
We propose a unified multi-tasking framework to represent the complex and uncertain causal process of financial market dynamics, and then to predict the movement of any type of index with an application on the monthly direction of the…
Subordination is an often used stochastic process in modeling asset prices. Subordinated Levy price processes and local volatility price processes are now the main tools in modern dynamic asset pricing theory. In this paper, we introduce…
Multifractals arise in various systems across nature whose scaling behavior is characterized by a continuous spectrum of multifractal exponents $\Delta_q$. In the context of Anderson transitions, the multifractality of critical wave…
The Empirical Mode Decomposition (EMD) provides a tool to characterize time series in terms of its implicit components oscillating at different time-scales. We apply this decomposition to intraday time series of the following three…
In risk management it is desirable to grasp the essential statistical features of a time series representing a risk factor. This tutorial aims to introduce a number of different stochastic processes that can help in grasping the essential…
Properties of low-variability periods in the time series are analysed. The theoretical approach is used to show the relationship between the multi-scaling of low-variability periods and multi-affinity of the time series. It is shown that…
We make use of wavelet transform to study the multi-scale, self similar behavior and deviations thereof, in the stock prices of large companies, belonging to different economic sectors. The stock market returns exhibit multi-fractal…
We present an analysis of the time behavior of the $S\&P500$ (Standard and Poors) New York stock exchange index before and after the October 1987 market crash and identify precursory patterns as well as aftershock signatures and…
The performance of the multifractal detrended analysis on short time series is evaluated for synthetic samples of several mono- and multifractal models. The reconstruction of the generalized Hurst exponents is used to determine the range of…
In this work we afford the statistical characterization of a linear Stochastic Volatility Model featuring Inverse Gamma stationary distribution for the instantaneous volatility. We detail the derivation of the moments of the return…
The paper deals with the fundamental problem of a modeling of the physical, in particular, thermal hydraulic processes, in various media of fractal structure of the natural, technological and technical systems and devices. The examples of a…
Topologically ordered systems are characterized by topological invariants that are often calculated from the momentum space integration of a certain function that represents the curvature of the many-body state. The curvature function may…
We study multifield contributions to the scalar power spectrum in an ensemble of six-field inflationary models obtained in string theory. We identify examples in which inflation occurs by chance, near an approximate inflection point, and we…
This study examines the effects of Trump-era tariffs on financial market efficiency by applying multifractal detrended fluctuation analysis to the return and absolute return time series of six major financial assets: the S\&P 500, SSEC,…
The critical behaviour of correlation functions near a boundary is modified from that in the bulk. When the boundary is smooth this is known to be characterised by the surface scaling dimension $\xt$. We consider the case when the boundary…