Results 21 to 30 of about 20,055 (271)
On the Estimation Techniques of Hurst exponent [PDF]
Journal of Korea Water Resources Association, 2004 허스트 지수를 산정하기 위하여 기존에 여러 방법론들이 제안되어 왔다. 그러나, 이들 방법론들은 시계열들의 지속성에 대하여 각기 다른 특성들을 보이고 있음을 기존의 연구에서 알 수 있다 따라서 본 연구에서는 수문학에서 주로 이용하고 있는 보정용량, 조정용량, 수정조정용량 방법 이외에 생리학 분야와 전자 분야 등에서 이용되고 있는 1/f 파워 스펙트럼 밀도 분석, DFA, AVT 방법, 최우도법 등을 이용하여 허스트 지수를 산정하여 보았다. 즉, 단기간과 장기간 기억을 가진 카오스와 추계학적 시계열들에 대하여 각각의 방법들을 적용하여 비교 분석하고자 하였으며, 각 방법론들에 대한 장점 및 단점 그리고 한계에 대하여 논의하였다 ...
Byung-Sik Kim +2 more
openaire +1 more source
Alzheimers DementAbstract Background Good sleep quality is essential for both physiological and mental health. It helps in clearing TAU and beta‐amyloid aggregates and consolidating memory, key processes in delaying dementia. Poor sleep is linked to reduced cognitive flexibility in daily life, likely due to decreased brain complexity, reflecting a reduced range of ...
Penalba-Sánchez L +10 more
europepmc +2 more sources
Topics in Cognitive Science, EarlyView., 2023 Abstract Fractal fluctuations are a core concept for inquiries into human behavior and cognition from a dynamic systems perspective. Here, we present a generalized variance method for multivariate detrended fluctuation analysis (mvDFA). The advantage of this extension is that it can be applied to multivariate time series and considers intercorrelation ...
Sebastian Wallot +5 more
wiley +1 more source
Statistical Arbitrage in Emerging Markets: A Global Test of Efficiency
Mathematics, 2021 In this paper, we use a statistical arbitrage method in different developed and emerging countries to show that the profitability of the strategy is based on the degree of market efficiency.
Karen Balladares +3 more
doaj +1 more source
Ljapunov Exponents, Hyperchaos and Hurst Exponent
Zeitschrift für Naturforschung A, 2005 Abstract We consider nonlinear dynamical systems with chaotic and hyperchaotic behaviour.We investigate the behaviour of the Hurst exponent at the transition from chaos to hyperchaos. A two-dimensional coupled logistic map is studied.
Willi-Hans Steeb, Eugenio Cosme Andrieu
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MEASURING HURST EXPONENTS WITH THE FIRST RETURN METHOD [PDF]
Fractals, 1994 The First Return method has proven to be an efficient method for determining the Hurst exponent, H, of self-affine surfaces. We discuss its foundations and some corrections to scaling which must be taken into account for an adequate estimation of H.
Hansen, Alex +2 more
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Determination of the Hurst exponent by use of wavelet transforms [PDF]
Physical Review E, 1998 10 pages RevTeX, 13 Postscript figures.
Simonsen, Ingve +2 more
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Measuring conditional correlation between financial markets' inefficiency
Quantitative Finance and Economics, 2023 Assuming that stock prices follow a multi-fractional Brownian motion, we estimated a time-varying Hurst exponent ($ h_t $). The Hurst value can be considered a relative volatility measure and has been recently used to estimate market inefficiency ...
Fabrizio Di Sciorio +2 more
doaj +1 more source
Review Article: On the relation between the seismic activity and the Hurst exponent of the geomagnetic field at the time of the 2000 Izu swarm [PDF]
Natural Hazards and Earth System Sciences, 2013 Many papers document the observation of earthquake-related precursory signatures in geomagnetic field data. However, the significance of these findings is ambiguous because the authors did not adequately take into account that these signals could have ...
F. Masci, J. N. Thomas
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Fractal Rigidity in Migraine [PDF]
, 2003 We study the middle cerebral artery blood flow velocity (MCAfv) in humans using transcranial Doppler ultrasonography (TCD). Scaling properties of time series of the axial flow velocity averaged over a cardiac beat interval may be characterized by two ...
Glaubic-Latka, Marta +3 more
core +2 more sources