Related papers: A Brief Discussion on the Crossovers in Detrended …
The scaling function $F(s)$ in detrended fluctuation analysis (DFA) scales as $F(s)\sim s^{H}$ for stochastic processes with Hurst exponents $H$. We prove this scaling law for both stationary stochastic processes with $0<H<1$, and…
Here we propose a method, based on detrended covariance which we call detrended cross-correlation analysis (DXA), to investigate power-law cross-correlations between different simultaneously-recorded time series in the presence of…
Dynamic mode decomposition (DMD) has proven to be a valuable tool for the analysis of complex flow-fields but the application of this technique to flows with moving boundaries is not straightforward. This is due to the difficulty in…
The distribution of price returns for a class of uncorrelated diffusive dynamics is considered. The basic assumptions are (1) that there is a "consensus" value associated with a stock, and (2) that the rate of diffusion depends on the…
Fluctuations in conjugate thermodynamic variables are studied using the cross-correlation function. A new procedure is given enabling the derivation of fluctuation formulas for a system in equilibrium. Specifically, the cross-correlation…
We present a method derived from Laplace transform theory that enables the evaluation of fractional integrals. This method is adapted and extended in a variety of ways to demonstrate its utility in deriving alternative representations for…
Detecting transient light curves (e.g., transiting planets) requires high precision data, and thus it is important to effectively filter systematic trends affecting ground based wide field surveys. We apply an implementation of the Trend…
A conditional diffusion model has been developed to analyze intricate conductance fluctuations called universal conductance fluctuations or quantum fingerprints appearing in quantum transport phenomena. The model reconstructs impurity…
By projecting the stochastic mean-field dynamics on a suitable collective path during the entrance channel of heavy-ion collisions, expressions for transport coefficients associated with relative distance are extracted. These transport…
This research presents a novel approach to predicting option movements by analyzing residual transactions, which are trades that deviate from standard hedging activities. Unlike traditional methods that primarily focus on open interest and…
Diffusion over a network refers to the phenomenon of a change of state of a cross-sectional unit in one period leading to a change of state of its neighbors in the network in the next period. One may estimate or test for diffusion by…
The aim of this paper is to analyse the gain of the update algorithm associated to the recently proposed D-iteration: the D-iteration is a fluid diffusion based new iterative method. It exploits a simple intuitive decomposition of the…
With the aggravation of the global economic crisis and inflation, the precious metals with safe-haven function have become more popular. An improved MF-DFA method is proposed to analyze price fluctuations of the precious metals market.…
We study the nature of the phase transition in the multifractal formalism of the harmonic measure of Diffusion Limited Aggregates (DLA). Contrary to previous work that relied on random walk simulations or ad-hoc models to estimate the low…
We introduce weighted finite finance automata (WFFA), a formal framework for modeling and analyzing quantitative properties of financial systems driven by uncertain economic variables such as stock prices, interest rates, and exchange…
Approximate density functional theory (DFT) has become indispensable owing to its cost-accuracy trade-off in comparison to more computationally demanding but accurate correlated wavefunction theory. To date, however, no single density…
Numerous estimators have been proposed for factor analysis, and their statistical properties have been extensively studied. In the early 2000s, a novel matrix factorization-based approach, known as Matrix Decomposition Factor Analysis…
The miltifractal properties and scaling behaviour of the exchange rate variations of the Iranian rial against the US dollar from a daily perspective is numerically investigated. For this purpose the multifractal detrended fluctuation…
Many fluctuating systems consist of macroscopic structures in addition to noisy signals. Thus, for this class of fluctuating systems, the scaling behaviors are very complicated. Such phenomena are quite commonly observed in Nature, ranging…
The universal theory of order parameter fluctuations (delta scaling laws) is applied to a wide range of intermediate energy heavy-ion collision data obtained with INDRA. This systematic study confirms that the observed fragment production…