相关论文: Finite-size effect and the components of multifrac…
We perform a systematic investigation on the components of the empirical multifractality of financial returns using the daily data of Dow Jones Industrial Average from 26 May 1896 to 27 April 2007 as an example. The temporal structure and…
By means of the multifractal analysis (MFA), the expressions of the probability density functions (PDFs) are unified in a compact analytical formula which is valid for various quantities in turbulence. It is shown that the formula can…
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…
The probability density function (PDF) for critical wavefunction amplitudes is studied in the three-dimensional Anderson model. We present a formal expression between the PDF and the multifractal spectrum f(alpha) in which the role of…
The scaling properties of oil price fluctuations are described as a non-stationary stochastic process realized by a time series of finite length. An original model is used to extract the scaling exponent of the fluctuation functions within…
The concept of multifractality offers a powerful formal tool to filter out multitude of the most relevant characteristics of complex time series. The related studies thus far presented in the scientific literature typically limit themselves…
We analyzed multifractal properties of 5-minute stock returns from a period of over two years for 100 highly capitalized American companies. The two sources: fat-tailed probability distributions and nonlinear temporal correlations, vitally…
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…
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…
The probability density functions (PDFs) for energy dissipation rates, created from time-series data of grid turbulence in a wind tunnel, are analyzed in a high precision by the theoretical formulae for PDFs within multifractal PDF theory…
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…
The probability density function (PDF) of flux $R$ is computed in systems with logarithmic non-linearity using a model non-linear dynamical equation. The PDF tails of the first moment flux are analytically predicted to be power law. These…
Stock markets can become inefficient due to calendar anomalies known as day-of-the-week effect. Calendar anomalies are well-known in financial literature, but the phenomena remain to be explored in econophysics. In this paper we use…
Multifractality in time series analysis characterizes the presence of multiple scaling exponents, indicating heterogeneous temporal structures and complex dynamical behaviors beyond simple monofractal models. In the context of digital…
The formula for probability density functions (PDFs) has been extended to include PDF for energy dissipation rates in addition to other PDFs such as for velocity fluctuations, velocity derivatives, fluid particle accelerations, energy…
Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking…
We study quantitatively the level of false multifractal signal one may encounter while analyzing multifractal phenomena in time series within multifractal detrended fluctuation analysis (MF-DFA). The investigated effect appears as a result…
This contribution addresses the question commonly asked in scientific literature about the sources of multifractality in time series. Two primary sources are typically considered. These are temporal correlations and heavy tails in the…
We present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be present in financial data. Although our model is `monofractal' by construction, it shows apparent multiscaling as a…
The PDFs for energy dissipation rates created in a high resolution from $4096^3$ DNS for fully developed turbulence are analyzed in a high precision with the PDF derived within the formula of multifractal probability density function theory…