相关论文: Long-range correlation and multifractality in Bach…
Due to the vulnerability of the Caribbean islands to the climate change issue, it is important to investigate the behavior of rainfall. In addition, the soil of the French West Indies Islands has been contaminated by an insecticide…
In this paper, we use the generalized Hurst exponent approach to study the multi- scaling behavior of different financial time series. We show that this approach is robust and powerful in detecting different types of multiscaling. We…
Detrended fluctuation analysis (DFA) and detrended moving average (DMA) are two scaling analysis methods designed to quantify correlations in noisy non-stationary signals. We systematically study the performance of different variants of the…
We study the multifractal analysis (MFA) of electronic wavefunctions at the localisation-delocalisation transition in the 3D Anderson model for very large system sizes up to $240^3$. The singularity spectrum $f(\alpha)$ is numerically…
We present a comparative analysis of multifractal properties of financial time series built on stock indices from developing (WIG) and developed (S&P500) financial markets. It is shown how the multifractal image of the market is altered…
Detrended fluctuation analysis (DFA) has been proposed as a robust technique to determine possible long-range correlations in power-law processes [1]. However, recent studies have reported the susceptibility of DFA to trends [2] which give…
We use, for the first time, the Detrend Fluctuation Analysis (DFA) to study the correlation properties of the transmitted flux fluctuations, in the Lyman-$\alpha$ (Ly$\alpha$) Forest along the lines of sight (LOS) to QSOs, at different…
It is ubiquitous in natural and social sciences that two variables, recorded temporally or spatially in a complex system, are cross-correlated and possess multifractal features. We propose a new method called multifractal detrended…
Multifractal analysis and extensive statistical tests are performed upon intraday minutely data within individual trading days for four stock market indexes (including HSI, SZSC, S&P500, and NASDAQ) to check whether the indexes (instead of…
We use multifractal detrended fluctuation analysis (MF-DFA), to See query 1 study sunspot number fluctuations. The result of the MF-DFA shows that there are three crossover timescales in the fluctuation function. We discuss how the…
We discuss the problem for detecting long-range correlations in sequences of values obtained by generators of pseudo-random numbers. The basic idea is that the H{\"o}lder exponent for a sufficiently long sequence of uncorrelated random…
Time series resulting from wave decomposition show the existence of different correlation patterns for avalanche dynamics. For the d=2 Bak-Tang-Wiesenfeld model, long range correlations determine a modification of the wave size distribution…
Many financial variables are found to exhibit multifractal nature, which is usually attributed to the influence of temporal correlations and fat-tailedness in the probability distribution (PDF). Based on the partition function approach of…
We study the properties of memory of a financial time series adopting two different methods of analysis, the detrended fluctuation analysis (DFA) and the analysis of the power spectrum (PSA). The methods are applied on three time series:…
Multifractal formalisms provide an apt framework to study random cascades in which multifractal spectrum width $\Delta\alpha$ fluctuates depending on the number of estimable power-law relationships. Then again, multifractality without…
We study the long-term memory in diverse stock market indices and foreign exchange rates using the Detrended Fluctuation Analysis(DFA). For all daily and high-frequency market data studied, no significant long-term memory property is…
Detrended Fluctuation Analysis (DFA) is widely used to assess the presence of long-range temporal correlations in time series. Signals with long-range temporal correlations are typically defined as having a power law decay in their…
The method of iterated conformal maps allows to study the harmonic measure of Diffusion Limited Aggregates with unprecedented accuracy. We employ this method to explore the multifractal properties of the measure, including the scaling of…
Correlations in multifractal series have been investigated, extensively. Almost all approaches try to find scaling features of a given time series. However, the analysis of such scaling properties has some difficulties such as finding a…
In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose Dow Jones Industrial Average. The analysis consists about…