We analyze the market efficiency of 25 commodity futures across various groups—metals, energies, soft commodities, grains and other agricultural commodities. To do so, we utilize the recently proposed Efficiency Index to find out that the most efficient among all of the analyzed commodities is...

Consider a stationary Gaussian random field on Rd with spectral density f(λ) that satisfies f(λ)∼c|λ|−θ as |λ|→∞. The parameters c and θ control the tail behavior of the spectral density. c is related to a microergodic parameter and θ is related to a fractal index. For data...

In the article two methods of estimating fractal dimension of financial time series are compared: variation method and method of area division. Both methods are used to estimate fractal dimension of chosen exchange rates time series.

Nowadays financial markets such as stock markets, gold and currency because of their significant returns are the investors’ main target. Their aim is to invest in a way that they can earn the highest profit. Among these markets, the stock market is of utmost importance since it deals with...

Colloidal aggregation in 2D has been studied using off-lattice simulations. Structural, kinetic and topological properties, these last using the Voronoi construction, have been analysed in diffusion-limited cluster aggregation (DLCA) and reaction-limited cluster aggregation (RLCA). The...

Extensive numerical simulations are used to simulate the aggregation of colloidal particles confined in a two-dimensional space. The colloidal particles experience short- or medium-range repulsions coming from a potential barrier that inhibits the aggregation of the particles into the primary...

We modeled tracer injection through highly fractured media by Random Walk Particle Tracking simulations, and observed that production curves for different R values (distance between injection and production wells) are similar to each other and can be scaled. Hence, if we define P(t) as a...

Molecular dynamics simulations have been performed for a two-dimensional fluid with truncated Morse potential quenched into the two-phase region. The cluster size and shape were used to study the domain growth and structure. The power-law growth of the characteristic length scale, which was...

Song et al. [Self-similarity of complex networks, Nature 433 (2005) 392–395] have recently used a version of the box-counting method, called the node-covering method, to quantify the self-similar properties of 43 cellular networks: the minimal number NV of boxes of size ℓ needed to cover all...

Objects and structures presenting fractal like behavior are abundant in the world surrounding us. Fractal theory provides a great deal of tools for the analysis of the scaling properties of these objects. We would like to contribute to the field by analyzing and applying a particular case of the...