Some stylized facts of the Bitcoin market [PDF]
, 2017 In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigates some statistical properties of the Bitcoin market.
Bariviera, Aurelio F. +3 more
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Comparative study of nonlinear properties of EEG signals of a normal person and an epileptic patient [PDF]
, 2009 Background: Investigation of the functioning of the brain in living systems has been a major effort amongst scientists and medical practitioners. Amongst the various disorder of the brain, epilepsy has drawn the most attention because this disorder can ...
A Krakovská +37 more
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Complexity signatures in the geomagnetic H component recorded by the Tromsø magnetometer (70° N, 19° E) over the last quarter of a century [PDF]
Nonlinear Processes in Geophysics, 2014 Solar disturbances, depending on the orientation of the interplanetary magnetic field, typically result in perturbations of the geomagnetic field as observed by magnetometers on the ground.
C. M. Hall
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HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS [PDF]
International Journal of Theoretical and Applied Finance, 2019 The inverse Lamperti transform of a fractional Brownian motion (fBm) is a stationary process. We determine the empirical Hurst exponent of such a composite process with the help of a regression of the log absolute moments of its increments, at various scales, on the corresponding log scales.
openaire +2 more sources
Searching for long memory effects in time series of central Europe stock market indices
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2008 This article deals with one of the important parts of applying chaos theory to financial and capital markets – namely searching for long memory effects in time series of financial instruments.
Luboš Střelec
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Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents? [PDF]
Physica A: Statistical Mechanics and its Applications, 2015 In this note, we investigate possible relationships between the bivariate Hurst exponent $H_{xy}$ and an average of the separate Hurst exponents $\frac{1}{2}(H_x+H_y)$. We show that two cases are well theoretically founded. These are the cases when $H_{xy}=\frac{1}{2}(H_x+H_y)$ and $H_{xy}\frac{1}{2}(H_x+H_y)$ is not possible regardless of stationarity
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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
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Can One Make Any Crash Prediction in Finance Using the Local Hurst Exponent Idea?
, 2003 We apply the Hurst exponent idea for investigation of DJIA index time-series data. The behavior of the local Hurst exponent prior to drastic changes in financial series signal is analyzed.
Ausloos +24 more
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Stock price fluctuations and the mimetic behaviors of traders [PDF]
, 2006 We give a stochastic microscopic modelling of stock markets driven by continuous double auction. If we take into account the mimetic behavior of traders, when they place limit order, our virtual markets shows the power-law tail of the distribution of ...
Albert +11 more
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INTERPRETATION OF VIBRATION SIGNALS OF COMPLEX ROTOR SYSTEM BASED ON FRACTAL ANALYSIS
Авіаційно-космічна техніка та технологія, 2019 The work analyzes vibration signals obtained by simulating a turbine of a complex rotor system, for example, an aviation gas turbine engine, under conditions of stationary and non-stationary excitations. Four modes of vibration excitation are considered:
Надія Іванівна Бурау +1 more
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