Similar Search Results

Scaling and memory in the return intervals of realized volatility

Ren, Fei; Gu, Gao-Feng; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 22, pp. 4787-4796

We perform return interval analysis of 1-min realized volatility defined by the sum of absolute high-frequency intraday returns for the Shanghai Stock Exchange Composite Index (SSEC) and 22 constituent stocks of SSEC. The scaling behavior and memory effect of the return intervals between...

Persistent link: https://www.econbiz.de/10011064679

Research on the relationship between the multifractality and long memory of realized volatility in the SSECI

Jia, Zhanliang; Cui, Meilan; Li, Handong - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 3, pp. 740-749

We examine the multifractal properties of the realized volatility (RV) and realized bipower variation (RBV) series in the Shanghai Stock Exchange Composite Index (SSECI) by using the multifractal detrended fluctuation analysis (MF-DFA) method. We find that there exist distinct multifractal...

Persistent link: https://www.econbiz.de/10010588424

The Hurst exponents of Nitzschia sp. diatom trajectories observed by light microscopy

Murguía, J.S.; Rosu, H.C.; Jimenez, A.; … - In: Physica A: Statistical Mechanics and its Applications 417 (2015) C, pp. 176-184

wavelet transform. In this way, we determined the Hurst parameters, in two orthogonal directions, which characterize the … depend on the number of abrupt turns that occur in the diatom trajectory and on the type of wavelet, although their mean …

Persistent link: https://www.econbiz.de/10011077835

Wavelet correlation coefficient of ‘strongly correlated’ time series

Razdan, Ashok - In: Physica A: Statistical Mechanics and its Applications 333 (2004) C, pp. 335-342

In this paper, wavelet concepts are used to study two ‘strongly correlated’ financial time series. Apart from obtaining … wavelet spectra, we also calculate the wavelet correlation coefficient and show that strong correlation or strong anti …

Persistent link: https://www.econbiz.de/10010872729

Spectral analysis and generation of certain highly oscillatory curves related to chaos

Chen, Goong; Mariani, Maria Christina; SenGupta, Indranil; … - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 4, pp. 1453-1468

Highly oscillatory phenomena are omnipresent in applications. Two important underlying sources are stochastic fluctuations and deterministic randomness. In this paper, we will present heuristics, theorems, and a few illustrations on the Fourier spectrum and deterministic random time series,...

Persistent link: https://www.econbiz.de/10010873083

Application of multifractal wavelet analysis to spontaneous fermentation processes

Ibarra-Junquera, V.; Murguía, J.S.; Escalante-Minakata, P. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 12, pp. 2802-2808

the redox potential to the biomass concentrations in the first step. Next, a multifractal wavelet analysis is performed … multifractal wavelet analysis is presented, as well as its direct experimental application at the laboratory level. …

Persistent link: https://www.econbiz.de/10011063668

Detection of changes in the fractal scaling of heart rate and speed in a marathon race

Billat, Véronique L.; Mille-Hamard, Laurence; Meyer, Yves - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 18, pp. 3798-3808

runners was performed using the detrended fluctuation analysis (DFA) and the wavelet based structure function. We considered … behavior. The scaling exponents α1 and α2 of HR and α1 of S, increased during the race (p<0.01) as did the HR wavelet scaling …

Persistent link: https://www.econbiz.de/10011064008

Wavelet analysis and nonlinear dynamics in a nonextensive setting

Gamero, L.G.; Plastino, A.; Torres, M.E. - In: Physica A: Statistical Mechanics and its Applications 246 (1997) 3, pp. 487-509

We undertake the study of signals originated in time-dependent nonlinear systems by recourse to a wavelet …

Persistent link: https://www.econbiz.de/10010587641

Detection of delay time between the alterations of cardiac rhythm and periodic breathing

Figliola, A.; Rosso, O.A.; Serrano, E. - In: Physica A: Statistical Mechanics and its Applications 327 (2003) 1, pp. 174-179

Analysis of time-series multichannel physiological data were performed using wavelets. Wavelet provides a time … necessary to detect stationary phenomena or characterize time–frequency structures. A natural idea is to combine wavelet …

Persistent link: https://www.econbiz.de/10010589502

Breaks or long memory behavior: An empirical investigation

Charfeddine, Lanouar; Guégan, Dominique - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 22, pp. 5712-5726

, detrended fluctuation analysis (DFA), the exact local Whittle (ELW) method, and wavelet methods) we show that, even if the …

Persistent link: https://www.econbiz.de/10010591065