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Multifractal processes and self-organized criticality in the large-scale structure of the universe
Garrido, Pablo; Lovejoy, Shaun; Schertzer, Daniel - In: Physica A: Statistical Mechanics and its Applications 225 (1996) 3, pp. 294-311
In the past five to ten years mounting evidence has arisen indicating that the large-scale spatial number density of galaxies may be governed by fractal or multifractal statistics. In this paper we extend this idea by searching for multifractal behaviour in other density fields. Namely,...
Persistent link: https://www.econbiz.de/10010586430
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Intraday dynamics of stock market returns and volatility
Selçuk, Faruk; Gençay, Ramazan - In: Physica A: Statistical Mechanics and its Applications 367 (2006) C, pp. 375-387
This paper provides new empirical evidence for intraday scaling behavior of stock market returns utilizing a 5min stock … across time scales and accordingly, volatility scaling is nonlinear under such a data generating mechanism. …
Persistent link: https://www.econbiz.de/10011057213
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Dimension of the minimal cover and fractal analysis of time series
Dubovikov, M.M; Starchenko, N.V; Dubovikov, M.S - In: Physica A: Statistical Mechanics and its Applications 339 (2004) 3, pp. 591-608
We develop a new approach to the fractal analysis of time series of various natural, technological and social processes. To compute the fractal dimension, we introduce the sequence of the minimal covers associated with a decreasing scale δ. This results in new fractal characteristics: the...
Persistent link: https://www.econbiz.de/10011061685
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A stochastic model of human gait dynamics
Ashkenazy, Yosef; M. Hausdorff, Jeffrey; Ch. Ivanov, Plamen - In: Physica A: Statistical Mechanics and its Applications 316 (2002) 1, pp. 662-670
We present a stochastic model of gait rhythm dynamics, based on transitions between different “neural centers”, that reproduces distinctive statistical properties of normal human walking. By tuning one model parameter, the transition (hopping) range, the model can describe alterations in...
Persistent link: https://www.econbiz.de/10011063059
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The elliptical dimension of space-time atmospheric stratification of passive admixtures using lidar data
Radkevich, A.; Lovejoy, S.; Strawbridge, K.; Schertzer, D. - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 2, pp. 597-615
scaling: the vertical extent (Δz) of structures is typically ≈ΔxHz where Δx is the horizontal extent and Hz is a …
Persistent link: https://www.econbiz.de/10011063195
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Scaling instability in self-potential earthquake-related signals
Telesca, Luciano; Lovallo, Michele; Ramirez-Rojas, Alejandro - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 7, pp. 1181-1186
Scaling behavior of the temporal variability in self-potential data recorded in the frequency range 0<f<0.125Hz during … scaling in nonstationary time series, deviations from stable power-law scaling were quantified. Our findings point to an … evident unstable scaling behavior in self-potential data before the occurrence of the seismic event. These first results could …
Persistent link: https://www.econbiz.de/10010591533
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Self-similar branching of aftershock sequences
Holliday, James R.; Turcotte, Donald L.; Rundle, John B. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 4, pp. 933-943
initial, or seed, earthquake is specified. The subsequent earthquakes are obtained from the statistical distributions of … magnitude, time, and location. The magnitude scaling is based on a combination of the Gutenberg–Richter scaling relation and the … modified Båth’s law for the scaling relation of aftershocks relative to the magnitude of the seed earthquake. Omori’s law …
Persistent link: https://www.econbiz.de/10011060050
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Forecasting the volatility of the dow jones islamic stock market index: Long memory vs. regime switching
Nasr, Adnen Ben; Lux, Thomas; Ajm, Ahdi Noomen; Gupta, … - 2014
The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...
Persistent link: https://www.econbiz.de/10010352040
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Forecasting the Volatility of the Dow Jones Islamic Stock Market Index: Long Memory vs. Regime Switching
Ben Nasr, Adnen; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - 2014
The financial crisis has fueled interest in alternatives to traditional asset classes that might be less a ected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...
Persistent link: https://www.econbiz.de/10010398688
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Forecasting the volatility of the dow jones islamic stock market index : long memory vs. regime switching
Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - 2014
The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...
Persistent link: https://www.econbiz.de/10010348307