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We study the nature of fluctuations in variety of price indices involving companies listed on the New York Stock Exchange. The fluctuations at multiple scales are extracted through the use of wavelets belonging to Daubechies basis. The fact…

Statistical Finance · Quantitative Finance 2013-03-26 Prasanta K. Panigrahi , Sayantan Ghosh , Arjun Banerjee , Jainendra Bahadur , P. Manimaran

We propose a wavelet based method for the characterization of the scaling behavior of non-stationary time series. It makes use of the built-in ability of the wavelets for capturing the trends in a data set, in variable window sizes.…

Chaotic Dynamics · Physics 2009-11-10 P. Manimaran , Prasanta K. Panigrahi , Jitendra C. Parikh

A recently developed wavelet based approach is employed to characterize the scaling behavior of spectral fluctuations of random matrix ensembles, as well as complex atomic systems. Our study clearly reveals anti-persistent behavior and…

Chaotic Dynamics · Physics 2009-11-11 P. Manimaran , Prasanta K. Panigrahi , P. Anantha Lakshmi

The multiscale dynamics of glow discharge plasma is analysed through wavelet transform, whose scale dependent variable window size aptly captures both transients and non-stationary periodic behavior. The optimal time-frequency localization…

Quantum Physics · Physics 2015-06-18 Bapun K. Giri , Chiranjit Mitra , Prasanta K. Panigrahi , A. N. Sekar Iyengar

We illustrate the efficacy of a discrete wavelet based approach to characterize fluctuations in non-stationary time series. The present approach complements the multi-fractal detrended fluctuation analysis (MF-DFA) method and is quite…

Chaotic Dynamics · Physics 2008-04-16 P. Manimaran , Prasanta K. Panigrahi , Jitendra C. Parikh

Hurst exponent is an important feature summarizing the noisy high-frequency data when the inherent scaling pattern cannot be described by standard statistical models. In this paper, we study the robust estimation of Hurst exponent based on…

Methodology · Statistics 2017-09-27 Chen Feng , Brani Vidakovic

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…

Statistical Finance · Quantitative Finance 2015-03-13 Sayantan Ghosh , P. Manimaran , Prasanta K. Panigrahi

We propose a new method for (global) Hurst exponent determination based on wavelets. Using this method, we analyze synthetic data with predefined Hurst exponents, fracture surfaces and data from economy. The results are compared with those…

Materials Science · Physics 2010-05-04 Ingve Simonsen , Alex Hansen , Olav Magnar Nes

We use Daubechies' orthonormal compact wavelets as a variational basis for the $XY$ model in two and three dimensions. Assuming that the fluctuations of the wavelet coefficients are Gaussian and uncorrelated, minimization of the free energy…

High Energy Physics - Lattice · Physics 2009-10-22 C. Best , A. Schaefer

A number of phenomena in various fields such as geology, atmospheric sciences, economics, to list a few, can be modeled as a fractional Brownian motion indexed by Hurst exponent $H$. This exponent is related to the degree of regularity and…

Methodology · Statistics 2016-05-05 Minkyoung Kang , Brani Vidakovic

High-frequency measurements and images acquired from various sources in the real world often possess a degree of self-similarity and inherent regular scaling. When data look like a noise, the scaling exponent may be the only informative…

Methodology · Statistics 2017-03-14 Minkyoung Kang , Brani Vidakovic

The detection of power-laws in real data is a demanding task for several reasons. The two, more frequently met, being: (i) real data possess noise which affects significantly the power-law tails and (ii) there is no solid tool for the…

Data Analysis, Statistics and Probability · Physics 2020-05-13 Yiannis F. Contoyiannis , Stelios Potirakis , Fotios K. Diakonos

Scale invariance (fractality) is a prominent feature of the large-scale behavior of many stochastic systems. In this work, we construct an algorithm for the statistical identification of the Hurst distribution (in particular, the scaling…

Methodology · Statistics 2025-01-31 Patrice Abry , Gustavo Didier , Oliver Orejola , Herwig Wendt

We analyze the Bombay stock exchange (BSE) price index over the period of last 12 years. Keeping in mind the large fluctuations in last few years, we carefully find out the transient, non-statistical and locally structured variations. For…

Statistical Finance · Quantitative Finance 2010-07-26 Prasanta K. Panigrahi , Sayantan Ghosh , P. Manimaran , Dilip P. Ahalpara

The wavelet spectra is a common starting point for estimating the Hurst exponent of a self-similar signal using wavelet-based techniques. The decay of the $\log_2$ average energy of the detail wavelet coefficients as a function of the level…

Methodology · Statistics 2025-12-02 Raymond J. Hinton, , Pepa Ramírez Cobo , Brani Vidakovic

Wavelet analysis is proposed as a new tool for studying the large-scale structure formation of the universe. To reveal its usefulness, the wavelet decomposition of one-dimensional cosmological density fluctuations is performed. In contrast…

Astrophysics · Physics 2009-10-28 Yoshi Fujiwara , Jiro Soda

We have studied a set of 41 magnetic clouds (MCs) measured by the ACE spacecraft, using the discrete orthogonal wavelet transform (Daubechies wavelet of order two) in three regions: Pre-MC (plasma sheath), MC and Post-MC. We have used data…

The information on dynamical fluctuations that can be extracted from the anomalous scaling observed recently in hadron-hadron collision experiments is discussed in some detail. A parameter ``effective fluctuation strength'' is proposed to…

High Energy Physics - Phenomenology · Physics 2009-10-31 Liu Lianshou , Fu Jinghua , Wu Yuanfang

In this paper, we have carried out the detail studies of pre-cancer by wavelet coherency and multifractal based detrended fluctuation analysis (MFDFA) on differential interference contrast (DIC) images of stromal region among different…

Computer Vision and Pattern Recognition · Computer Science 2015-03-24 Sabyasachi Mukhopadhyay , Nandan K. Das , Soham Mandal , Sawon Pratiher , Asish Mitra , Asima Pradhan , Nirmalya Ghosh , Prasanta K. Panigrahi

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…

Statistics Theory · Mathematics 2018-02-20 Ola Løvsletten
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