We measure the influence of different time-scales on the intraday dynamics of financial markets. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying measures of complexity: 1) an amplitude scaling exponent and 2) an entropy-like measure. We apply these measures to intraday, 30-second sampled prices ...

We examine problem of existence of stationary random fields with linear regressions and quadratic conditional variances, introduced by Bryc [2]. Distributions of the fields are identified and almost complete description of the possible sets of parameters defining the first two conditional moments is given. This note almost solves Bryc’s problem concerning fields undetermined by moments the only...

The home range dynamics of eleven roe deer (Capreolus capreolus) females were studied from 1995 to 1999 in the Foreste Casentinesi National Park, northern Apennines, Tuscany, Italy. The study area is mountainous with almost complete forest cover (95%) and snow usually falls from late October to April. Data were collected with radio-tracking techniques: the annual and bimonthly home range, the o...

—A new multiscale implementation of non-local means filtering for image denoising is proposed. The proposed algorithm also introduces a modification of similarity measure for patch comparison. The standard Euclidean norm is replaced by weighted Euclidean norm for patch based comparison. Assuming the patch as an oriented surface, notion of normal vector patch is being associated with each patch....

Let (Ω,A, μ) be a probability space with a bijective, bimeasurable and measure preserving transformation T . For a measurable function f on Ω, (f ◦ T )i is a (strictly) stationary process and reciprocally, any (strictly) stationary process can be represented in this way. We shall denote Uf = f ◦ T ; U is a unitary operator in L. The function f will be supposed to have a zero mean. (Fi)i∈Z, wher...

We present a novel approach for continuous detection and tracking of moving objects observed by multiple stationary cameras. We address the tracking problem by simultaneously modeling motion and appearance of the moving objects. The object’s appearance is represented using color distribution model invariant to 2D rigid and scale transformation. It provides an efficient blob similarity measure f...

We consider spin-flip dynamics of configurations in $\{-1,1\}^{\mathbb{Z}^d}$, and study the time evolution concentration inequalities. For "weakly interacting" we show that Gaussian bound is conserved course it satisfied by unique stationary Gibbs measure. Next that, for a general class translation-invariant dynamics, impossible to evolve finite from low-temperature state towards measure satis...

The statistical discrimination and clustering literature has studied the problem of identifying similarities in time series data. Some studies use non-parametric approaches for splitting a set of time series into clusters by looking at their Euclidean distances in the space of points. A new measure of distance between time series based on the normalized periodogram is proposed. Simulation resul...

We study the problem of the rigorous computation of the stationary measure of an IFS described by a stochastic mixture of two or more dynamical systems which are either all uniformly expanding on the interval, either all contractive. In the expanding case, the associated transfer operators satisfy a LasotaYorke inequality, and we compute rigorously the approximations in the L1 norm. The rigorou...

On-line, spatially localized information about internal network performance can greatly assist dynamic routing algorithms and traffic transmission protocols. However, it is impractical to measure network traffic at all points in the network. A promising alternative is to measure only at the edge of the network and infer internal behavior from these measurements. In this paper we concentrate on ...