Search Results - subject:"Multifractal spectrum"

Multifractal spectrum of phase space related to generalized thermostatistics

Olemskoi, A.I.; Kharchenko, V.O.; Borisyuk, V.N. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 8, pp. 1895-1906

multifractal parameter q∈[1,∞]. At that, the equipartition law is shown to take place. Optimization of the multifractal spectrum …

Persistent link: https://www.econbiz.de/10011058103

Large Deviations and the Distribution of Price Changes

Calvet, Laurent; Fisher, Adlai; Mandelbrot, Benoit - Cowles Foundation for Research in Economics, Yale University - 1997

characterize the distribution of Holder exponents by the multifractal spectrum of the process. For a broad class of multifractal … interpretation, the multifractal spectrum describes the fractal dimension of the set of points having a given local Holder exponent … estimate of the multifractal spectrum back to a particular construction of the Stochastic process. …

Persistent link: https://www.econbiz.de/10005463933

Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate

Jamdee, Sutthisit; Los, Cornelis A. - EconWPA - 2005

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...

Persistent link: https://www.econbiz.de/10005077018

Multifractal spectrum of a laser beam melt ablation process

Rodrigues Neto, Camilo; Bube, Kevin; Cser, Adrienn; … - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 3, pp. 580-586

The surface profiles resulting from a laser beam melt ablation process have been quantified on the basis of the multifractal formalism. The multifractal spectra for several parameters sets, obtained with the wavelet transform modulus maxima method, were found to change towards higher Hölder...

Persistent link: https://www.econbiz.de/10011059412

Multifractality of the Istanbul and Moscow Stock Market Returns

BALCILAR, MEHMET - In: Emerging Markets Finance and Trade 39 (2003) 2, pp. 5-46

There is a growing awareness among financial researchers that the traditional models of asset returns cannot capture essential time series properties of the current stock return data. We examine commonly used models, such as the autoregressive integrated moving average (ARIMA) and the...

Persistent link: https://www.econbiz.de/10005753629

Multifractal analysis of electronic cardiogram taken from healthy and unhealthy adult subjects

Wang, Jun; Ning, Xinbao; Chen, Ying - In: Physica A: Statistical Mechanics and its Applications 323 (2003) C, pp. 561-568

to quantitatively analyze multifractal spectrum, the area of the spectrum is computed. We have a comparison between the … spectrum of the young subjects and that of the old ones. We find that the area of young adult subject's multifractal spectrum … difference between the area of the multifractal spectrum of healthy subjects and that of having coronary disease is not found. We …

Persistent link: https://www.econbiz.de/10010589431

Magnitude and sign scaling in power-law correlated time series

Ashkenazy, Yosef; Havlin, Shlomo; Ivanov, Plamen Ch.; … - In: Physica A: Statistical Mechanics and its Applications 323 (2003) C, pp. 19-41

the correlation exponent of the magnitude series is a monotonically increasing function of the multifractal spectrum width …

Persistent link: https://www.econbiz.de/10010589779

Large deviations formalism for multifractals

Zohar, Gady - In: Stochastic Processes and their Applications 79 (1999) 2, pp. 229-242

For a wide class of measures, the multifractal spectrum is shown to exist iff an appropriate large deviations principle …

Persistent link: https://www.econbiz.de/10008875803