Results 51 to 60 of about 3,005 (164)
MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS [PDF]
Mathematical Finance, 2013 The aim of this work is to advocate the use of multifractional Brownian motion (mBm) as a relevant model in financial mathematics. mBm is an extension of fractional Brownian motion where the Hurst parameter is allowed to vary in time. This enables the possibility to accommodate for varying local regularity, and to decouple it from long‐range dependence
Corlay, Sylvain +2 more
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ESC Heart Failure, Volume 12, Issue 2, Page 980-997, April 2025.Abstract Heart failure (HF) creates a considerable clinical, humanistic and economic burden on patients and caregivers as well as on healthcare systems. To attenuate the significant burden of HF, there is a need for enhanced management of patients with HF.
Javed Butler +8 more
wiley +1 more source
Multifractal Analysis of Hydrologic Data Using Wavelet Methods and Fluctuation Analysis
Discrete Dynamics in Nature and Society, 2017 We study the multifractal properties of water level with a high-frequency and massive time series using wavelet methods (estimation of Hurst exponents, multiscale diagram, and wavelet leaders for multifractal analysis (WLMF)) and multifractal detrended ...
Tongzhou Zhao +3 more
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Towards Multifractional Calculus [PDF]
Frontiers in Physics, 2018 After motivating the need of a multiscale version of fractional calculus in quantum gravity, we review current proposals and the program to be carried out in order to reach a viable definition of scale-dependent fractional operators. We present different types of multifractional Laplacians and comment on their known or expected properties.
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Journal of Forecasting, EarlyView.ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann +2 more
wiley +1 more source
Geofluids, 2020 Reservoir pore space assessment is of great significance for petroleum exploration and production. However, it is difficult to describe the pore characteristics of deep-buried dolomite reservoirs with the traditional linear method because these rocks ...
Xiaojun Zhang +3 more
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Energies, 2023 Analyzing and mastering the fractal features of coal-measure sedimentary rocks is crucial for accurately describing the pore structure of coalbed methane resources.
Na Zhang +5 more
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MULTIFRACTAL FLUCTUATIONS IN FINANCE [PDF]
International Journal of Theoretical and Applied Finance, 2000 We consider the structure functions S(q)(τ), i.e. the moments of order q of the increments X(t + τ)-X(t) of the Foreign Exchange rate X(t) which give clear evidence of scaling (S(q)(τ)∝τζ(q)). We demonstrate that the nonlinearity of the observed scaling exponent ζ(q) is incompatible with monofractal additive stochastic models usually introduced in ...
F. Schmitt, D. Schertzer, S. Lovejoy
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Interplay Between Green Investment and Market Price Premia in Global Shipping
International Journal of Finance &Economics, EarlyView.ABSTRACT Existing research emphasises that the driver of green investment is its future profitability. This paper shows that other investors' decisions also influence green investment. We take the example of scrubber installation in shipping, which is optional by regulation but has an established market for trading its underlying asset.
Yao Shi +4 more
wiley +1 more source
Multivariate Multifractal Detrending Moving Average Analysis of Air Pollutants
Mathematics, 2021 One of the most challenging endeavors of contemporary research is to describe and analyze the dynamic behavior of time series arising from real-world systems.
Milena Kojić +3 more
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