相关论文: Scaling and memory in recurrence intervals of Inte…
We investigate the probability distribution of the volatility return intervals $\tau$ for the Chinese stock market. We rescale both the probability distribution $P_{q}(\tau)$ and the volatility return intervals $\tau$ as…
We study the return interval $\tau$ between price volatilities that are above a certain threshold $q$ for 31 intraday datasets, including the Standard & Poor's 500 index and the 30 stocks that form the Dow Jones Industrial index. For…
We study the daily trading volume volatility of 17,197 stocks in the U.S. stock markets during the period 1989--2008 and analyze the time return intervals $\tau$ between volume volatilities above a given threshold q. For different…
We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold $q$ for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can…
We study the statistical properties of return intervals $r$ between successive energy dissipation rates above a certain threshold $Q$ in three-dimensional fully developed turbulence. We find that the distribution function $P_Q(r)$ scales…
We investigate the probability distributions of the recurrence intervals $\tau$ between consecutive 1-min returns above a positive threshold $q>0$ or below a negative threshold $q<0$ of two indices and 20 individual stocks in China's stock…
We study the scaling of fluctuations with the mean of traffic in complex networks using a model where the arrival and departure of "packets" follow exponential distributions, and the processing capability of nodes is either unlimited or…
In this paper we show that the Internet web, from a user's perspective, manifests robust scaling properties of the type $P(n)\propto n^{-\tau}$ where n is the size of the basin connected to a given point, $P$ represents the density of…
We study the statistical properties of the recurrence intervals $\tau$ between successive trading volumes exceeding a certain threshold $q$. The recurrence interval analysis is carried out for the 20 liquid Chinese stocks covering a period…
The statistical properties of the return intervals $\tau_q$ between successive 1-min volatilities of 30 liquid Chinese stocks exceeding a certain threshold $q$ are carefully studied. The Kolmogorov-Smirnov (KS) test shows that 12 stocks…
We study the fluctuation properties and return-time statistics on inhomogeneous scale-free networks using packets moving with two different dynamical rules; random diffusion and locally navigated diffusive motion with preferred edges.…
The scaling behavior of fluctuation for a download network which we have investigated a few years ago based upon Zhang's Encophysics web page has been presented. A power law scaling, namely $\sigma \sim < f> ^ \alpha $ exists between the…
In the study of complex networks (systems), the scaling phenomenon of flow fluctuations refers to a certain power-law between the mean flux (activity) $<F_i>$ of the $i$th node and its variance $\sigma_i$ as $\sigma_i \propto < F_{i} >…
Fluctuation scaling has been observed universally in a wide variety of phenomena. In time series that describe sequences of events, fluctuation scaling is expressed as power function relationships between the mean and variance of either…
The distribution of the return intervals $\tau$ between volatilities above a threshold $q$ for financial records has been approximated by a scaling behavior. To explore how accurate is the scaling and therefore understand the underlined…
In the mid-90's, it was shown that the statistics of aggregated time series from Internet traffic departed from those of traditional short range dependent models, and were instead characterized by asymptotic self-similarity. Following this…
Long-range correlations manifested as power spectral density scaling $1/f^\beta$ for frequency $f$ and a range of exponents $\beta$ are investigated for a superposition of uncorrelated pulses with distributed durations $\tau$. Closed-form…
We consider renewal processes where events, which can for instance be the zero crossings of a stochastic process, occur at random epochs of time. The intervals of time between events, $\tau_{1},\tau_{2},...$, are independent and identically…
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…
We study the volatility time series of 1137 most traded stocks in the US stock markets for the two-year period 2001-02 and analyze their return intervals $\tau$, which are time intervals between volatilities above a given threshold $q$. We…