The Multifractal Model of Asset Returns ("MMAR," see Mandelbrot, Fisher, and Calvet, 1997) proposes a class of multifractal processes for the modelling of financial returns. In that paper, multifractal processes are defined by a scaling law for moments of the processes' increments over finite...

This paper identifies the Multifractal Models of Asset Return (MMARs) from the eight nodal term structure series of US Treasury rates as well as the Fed Funds rate and, after proper synthesis, simulates those MMARs. We show that there is an inverse persistence term structure in the sense that...

We propose an experimental way to test theories concerning DNA evolution mechanisms, through computer simulations.

This paper introduces a multiscale multifractal diffusion entropy analysis (MMDEA) method to analyze long-range correlation then applies this method to stock index series. The method combines the techniques of diffusion process and Rényi entropy to focus on the scaling behaviors of stock index...

We investigate the local cumulative phases at single sites of the lattice for time-dependent wave functions in the Anderson model in d=2 and 3. In addition to a local linear trend, the phases exhibit some fluctuations. We study the time correlations of these fluctuations using detrended...

In this study, sequences of musical notes from various pieces of music are converted into one-variable random walks (here termed ‘music walks’). Quantitative measurements of the properties of each musical composition are then performed by applying Hurst exponent and Fourier spectral analyses...

This paper introduces a generalized diffusion entropy analysis method to analyze long-range correlation then applies this method to stock volatility series. The method uses the techniques of the diffusion process and Rényi entropy to focus on the scaling behaviors of regular volatility and...