منابع مشابه
Multifractality in Time Series
We apply the concepts of multifractal physics to financial time series in order to characterize the onset of crash for the Standard & Poor’s 500 stock index x(t). It is found that within the framework of multifractality, the ”analogous” specific heat of the S&P500 discrete price index displays a shoulder to the right of the main peak for low values of time lags. On decreasing T , the presence o...
متن کاملApparent multifractality in financial time series
We present a exactly soluble model for financial time series that mimics the long range volatility correlations known to be present in financial data. Although our model is asymptotically ‘monofractal’ by construction, it shows apparent multiscaling as a result of a slow crossover phenomenon on finite time scales. Our results suggest that it might be hard to distinguish apparent and true multif...
متن کاملa time-series analysis of the demand for life insurance in iran
با توجه به تجزیه و تحلیل داده ها ما دریافتیم که سطح درامد و تعداد نمایندگیها باتقاضای بیمه عمر رابطه مستقیم دارند و نرخ بهره و بار تکفل با تقاضای بیمه عمر رابطه عکس دارند
Signal Processing Approach to Study Multifractality and Singularity of Solar Wind Speed Time Series
This paper investigates the nature of the fluctuation of the daily average Solar wind speed time series collected over a period of 2492 days, from 1st January, 1997 to 28th October, 2003. The degree of self-similarity and scalability of the Solar Wind Speed signal has been explored to characterise the signal fluctuation. Multifractal Detrended Fluctuation Analysis (MFDFA) method has been implem...
متن کاملMultifractality, stickiness, and recurrence-time statistics.
We identify the fine structure of resonance islands and the stickiness in chaos through recurrence time statistics (RTS), which is based on the concept of Poincaré recurrences. The projection of recurrence time statistics onto the phase space does give relevant information on the hierarchical and microstructures of the chaotic beach around the islands of a near-integrable system, the annular bi...
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ژورنال
عنوان ژورنال: Journal of Physics A: Mathematical and General
سال: 2000
ISSN: 0305-4470,1361-6447
DOI: 10.1088/0305-4470/33/19/302