Related papers: On multifractality and fractional derivatives
We analyze quantitatively the effect of spurious multifractality induced by the presence of fat-tailed symmetric and asymmetric probability distributions of fluctuations in time series. In the presented approach different kinds of symmetric…
We present results of the numerical simulations and the scaling characteristics of one-dimensional random fluctuations with heavy tailed probability distribution functions. Assuming that the distribution function of the random fluctuations…
A microscopic model in the framework of fractional kinetics to describe spatial dispersion of power-law type is suggested. The Liouville equation with the Caputo fractional derivatives is used to obtain the power-law dependence of the…
We show that size-rank distributions with power-law decay (often only over a limited extent) observed in a vast number of instances in a widespread family of systems obey Tsallis statistics. The theoretical framework for these distributions…
This article discusses modelling of the tail of a multivariate distribution function by means of a large deviation principle (LDP), and its application to the estimation of the probability of a multivariate extreme event from a sample of n…
We introduce a new family of models for growing networks. In these networks new edges are attached preferentially to vertices with higher number of connections, and new vertices are created by already existing ones, inheriting part of their…
The theory of Extreme Physical Information (EPI) is used to deduce a probability density function (PDF) of a system that exhibits a power law tail. The computed PDF is useful to study and fit several observed distributions in complex…
We study large deviation probabilities for a sum of dependent random variables from a heavy-tailed factor model, assuming that the components are regularly varying. We identify conditions where both the factor and the idiosyncratic terms…
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…
We show a relation between fractional calculus and fractals, based only on physical and geometrical considerations. The link has been found in the physical origins of the power-laws, ruling the evolution of many natural phenomena, whose…
Large deviations for sums of i.i.d.\ random variables with stretched-exponential tails (also called Weibull or semi-exponential tails) have been well understood since the 60's, going back to Nagaev's seminal work. Many extensions in the…
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…
In this paper we present stochastic foundations of fractional dynamics driven by fractional material derivative of distributed order-type. Before stating our main result we present the stochastic scenario which underlies the dynamics given…
Macroscopic systems often display phase transitions where certain physical quantities are singular or self-similar at different (spatial) scales. Such properties of systems are currently characterized by some order parameters and a few…
A wide range of natural and social phenomena result in observables whose distributions can be well approximated by a power-law decay. The well-known Hill estimator of the tail exponent provides results which are in many respects superior to…
Zolotarev proved a duality result that relates stable densities with different indices. In this paper, we show how Zolotarev duality leads to some interesting results on fractional diffusion. Fractional diffusion equations employ fractional…
We generalize the fractional Caputo derivative to the fractional derivative ${^CD^{\alpha,\beta}_{\gamma}}$, which is a convex combination of the left Caputo fractional derivative of order $\alpha$ and the right Caputo fractional derivative…
Dynamical systems in nature exhibit selfsimilar fractal fluctuations and the corresponding power spectra follow inverse power law form signifying long-range space-time correlations identified as self-organized criticality. The physics of…
The multifractal structure of the temporal dependence of the Deutsche Aktienindex (DAX) is analyzed. The $q$-th order moments of the structure functions and the singular measures are calculated. The generalized Hurst exponent $H(q)$ and the…
The dynamical scaling for statistics of critical multifractal eigenstates proposed by Chalker is analytically verified for the critical random matrix ensemble in the limit of strong multifractality controlled by the small parameter $b\ll…