Search Results - subject:"self–affinity"

Spot price dynamics in deregulated power markets

Resta, Marina; Sciutti, Davide - EconWPA - 2003

Modelling spot price behavior plays a key role in the electric- ity market, since this is the breeding engine for the activity in the corre- sponding forward and futures market: developers and generators (as well as traders) need to know how electricity prices behave, as their profitabil- ity...

Persistent link: https://www.econbiz.de/10005062555

A Distribution-Based Method For Evaluating Multiscaling In Finance

Bianchi, Sergio - Center for Nonlinear Dynamics in Economics and Finance … - 2001

interest: the assumption of self-affinity is implicit both in the standard financial theory (which states that the self-affinity …. Since self-affinity allows to distinguish between two large classes of processes (the fractal - uniscaling - ones and the … which defines the notion of self-affinity itself. A general characterization of our measure provides two necessary …

Persistent link: https://www.econbiz.de/10005241761

Refined scaling hypothesis for anomalously diffusing processes

Badii, R.; Talkner, P. - In: Physica A: Statistical Mechanics and its Applications 291 (2001) 1, pp. 229-243

Anomalous diffusion in artificial and natural stochastic processes is studied through the statistics of small-scale fluctuations. It is shown that the moments of certain locally averaged quantities, such as the square or absolute increments, do not scale like power laws, as generally assumed. A...

Persistent link: https://www.econbiz.de/10010590063

A model for persistent Levy motion

Chechkin, A.V; Gonchar, V. Yu - In: Physica A: Statistical Mechanics and its Applications 277 (2000) 3, pp. 312-326

We propose a model, which allows us to approximate fractional Levy noise and fractional Levy motion. Our model is based on: (i) the Gnedenko limit theorem for an attraction basin of stable probability law, and (ii) fractional noise as a result of fractional integration/differentiation of a white...

Persistent link: https://www.econbiz.de/10010589728

Interface growth and pattern formation in bacterial colonies

Matsushita, M.; Wakita, J.; Itoh, H.; Ràfols, I.; … - In: Physica A: Statistical Mechanics and its Applications 249 (1998) 1, pp. 517-524

and nutrient concentration. We have examined the self-affinity and roughness exponent α for growing interfaces of colonies …

Persistent link: https://www.econbiz.de/10011058464

Linear stochastic dynamics with nonlinear fractal properties

Sornette, Didier - In: Physica A: Statistical Mechanics and its Applications 250 (1998) 1, pp. 295-314

Stochastic processes with multiplicative noise have been studied independently in several different contexts over the past decades. We focus on the regime, found for a generic set of control parameters, in which stochastic processes with multiplicative noise produce intermittency of a special...

Persistent link: https://www.econbiz.de/10010599536

Scaling behavior of a self-affine fractal interface in a cement fracture experiment

Kim, Soon-Chul; Yoon, Zi-Hong; Kwon, Tai-Hyung - In: Physica A: Statistical Mechanics and its Applications 246 (1997) 3, pp. 320-328

Scaling behavior of a self-affine fractal interface is examined in fracture lines deduced in cement blocks, approximately 5 cm × 20 cm × 41 cm. Ecah fracture line generated is scanned and digitized to obtain the interface height h(x) as a function of position x. From this, the interface with...

Persistent link: https://www.econbiz.de/10011062978

A characterization of self-affine processes in finance through the scaling function

Resta, Marina; Sciutti, Davide - Society for Computational Economics - SCE

from the defnition of self-affinity (self-similarity) given By Castaing in the feld of fully developed turbulence, a … probability density functions of the increments of self-similar processes at finer and coarser scales through a self-affinity … Castaing’s formula it is possible to find the scaling function as the Laplace transform of a proper self–affinity kernel; b …

Persistent link: https://www.econbiz.de/10005706832