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Long range dependence in the high frequency USD/INR exchange rate

Kumar, Dilip - In: Physica A: Statistical Mechanics and its Applications 396 (2014) C, pp. 134-148

Using high frequency data, this paper examines the long memory property in the unconditional and conditional volatility of the USD/INR exchange rate at different time scales using the Local Whittle (LW), the Exact Local Whittle (ELW) and the FIAPARCH models. Results indicate that the long memory...

Persistent link: https://www.econbiz.de/10010730347

Fluctuation dynamics of exchange rates on Polish financial market

Orłowski, A.; Struzik, Z.R.; Syczewska, E.; … - In: Physica A: Statistical Mechanics and its Applications 344 (2004) 1, pp. 184-189

We show results of local fluctuation analysis, probability distributions, and fractional integration analysis for nominal exchange rates of the Polish zloty versus two foreign currencies (US dollar and German mark/euro). The results confirm the rapid change of the volatility pattern in August...

Persistent link: https://www.econbiz.de/10011062244

Global temperatures and sunspot numbers. Are they related?

Gil-Alana, Luis A.; Yaya, OlaOluwa S.; Shittu, Olanrewaju I. - In: Physica A: Statistical Mechanics and its Applications 396 (2014) C, pp. 42-50

This paper deals with the analysis of global temperatures and sunspot numbers and the relationship between the two. We use techniques based on the concept of long range dependence. For the temperatures, the best specification seems to be a fractionally integrated or I(d) model with an order of...

Persistent link: https://www.econbiz.de/10011062501

Blocks adjustment—reduction of bias and variance of detrended fluctuation analysis using Monte Carlo simulation

Michalski, Sebastian - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 1, pp. 217-242

examined using ARFIMA(p,d,q) generator. Due to the bias of the estimator for anti-persistent processes, we narrowed down the …

Persistent link: https://www.econbiz.de/10011062109

Empirical study of ARFIMA model based on fractional differencing

Xiu, Jin; Jin, Yao - In: Physica A: Statistical Mechanics and its Applications 377 (2007) 1, pp. 138-154

In this paper, we studied the long-term memory of Hong Kong Hang Sheng index using MRS analysis, established ARFIMA … model for it, and detailed the procedure of fractional differencing. Furthermore, we compared the ARFIMA model built by this … information of time series would be lost. The forecast formula of ARFIMA model was corrected according to the method of fractional …

Persistent link: https://www.econbiz.de/10010588698

Scale-free avalanche dynamics in the stock market

Bartolozzi, M.; Leinweber, D.B.; Thomas, A.W. - In: Physica A: Statistical Mechanics and its Applications 370 (2006) 1, pp. 132-139

Self-organized criticality (SOC) has been claimed to play an important role in many natural and social systems. In the present work we empirically investigate the relevance of this theory to stock-market dynamics. Avalanches in stock-market indices are identified using a multi-scale...

Persistent link: https://www.econbiz.de/10010871560

Kernel methods and flexible inference for complex stochastic dynamics

Capobianco, Enrico - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 16, pp. 4077-4098

Approximation theory suggests that series expansions and projections represent standard tools for random process applications from both numerical and statistical standpoints. Such instruments emphasize the role of both sparsity and smoothness for compression purposes, the decorrelation power...

Persistent link: https://www.econbiz.de/10010873605

Masking properties of APD communication systems

Fernandez, J.G.; Larrondo, H.A.; Slavin, H.A.; Levin, D.G. - In: Physica A: Statistical Mechanics and its Applications 328 (2003) 3, pp. 351-359

structures. In a recent paper the capability of wavelets to unmask a message, in cases where a chaotic signal is just added to … with the chaotic signal, is studied here. A representative case employing Daubechies wavelets and a typical Rossler …-oscillator-based communication system is reported. Using a time scaling parameter modifies the spectrum of the mask. The results show that wavelets …

Persistent link: https://www.econbiz.de/10010874519

Multiscale analysis from turbulent time series with wavelet transform

Rodrigues Neto, C; Zanandrea, A; Ramos, F.M; Rosa, R.R; … - In: Physica A: Statistical Mechanics and its Applications 295 (2001) 1, pp. 215-218

We present a multiscale signal analysis based on the multifractal spectrum obtained by the Wavelet Transform Modulus Maxima technique. We analyze time series from turbulent data: the first step is to obtain the PDF of the flutuations for velocities records and then to fit them by means of the...

Persistent link: https://www.econbiz.de/10011057480

Slight parameter changes detection in biological models: a multiresolution approach

Añino, M.M.; Torres, M.E.; Schlotthauer, G. - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 3, pp. 645-664

This paper deals with the automatic detection of slight parameter changes from the analysis of signals generated by nonlinear biological systems. The interest is focused here on investigating particular aspects of the relation between signal analysis and systems dynamics, involving the automatic...

Persistent link: https://www.econbiz.de/10011057808