This paper presents evidence of long-range dependence in bid–ask prices for individual equity prices in the Brazilian stock market. Moreover, using the Hurst exponent calculated by the Local Whittle method as a measure of long-range dependence, we find evidence supporting that bid–ask prices shows a stronger long-range dependence than the one usually found in closing and opening prices. Finally...

Financial time series typically exhibit strong fluctuations that cannot be described by a Gaussian distribution. Recent empirical studies of stock market indices examined whether the distribution P(r) of returns r(tau) after some time tau can be described by a (truncated) Lévy-stable distribution L(alpha)(r) with some index 0<alpha< or =2. While the Lévy distribution cannot be expressed in a cl...

Classical site percolation was used to study numerically the effect of interplane coupling in the range 10(-1)-10(-6) of the in-plane coupling on the static correlation length exponent nu and the critical dimension D. It was found that even for the smallest coupling values the exponents take their three-dimensional (3D) values for sufficiently large system sizes. The percolation threshold p(c),...

We address a lattice based method on small secret exponent attack on RSA scheme. Boneh and Durfee reduced the attack into finding small roots of a bivariate modular equation: x(N+1+y)+1 ≡ 0( mod e), where N is an RSA moduli and e is the RSA public key. Boneh and Durfee proposed a lattice based algorithm for solving the problem. When the secret exponent d is less than N, their method breaks RSA ...

Ecosystems have a limited buffering capacity of multiple ecosystem functions against biodiversity loss (i.e. low multifunctional redundancy). We developed a novel theoretical approach to evaluate multifunctional redundancy in a microbial community using the microbial genome database (MBGD) for comparative analysis. In order to fully implement functional information, we defined orthologue richne...

The translocation dynamics of a polymer chain through a nanopore in the absence of an external driving force is analyzed by means of scaling arguments, fractional calculus, and computer simulations. The problem at hand is mapped on a one-dimensional anomalous diffusion process in terms of the reaction coordinate s (i.e., the translocated number of segments at time t ) and shown to be governed b...

Words in humans follow the so-called Zipf’s law. More precisely, the word frequency spectrum follows a power function, whose typical exponent is β ≈ 2, but significant variations are found. We hypothesize that the full range of variation reflects our ability to balance the goal of communication, i.e. maximizing the information transfer and the cost of communication, imposed by the limitations o...

We derive the fractional master equation with space-dependent anomalous exponent. We analyze the asymptotic behavior of the corresponding lattice model both analytically and by Monte Carlo simulation. We show that the subdiffusive fractional equations with constant anomalous exponent μ in a bounded domain [0,L] are not structurally stable with respect to the nonhomogeneous variations of paramet...

We give a method for obtaining radially symmetric solutions for the critical exponent problem ?u + a(x)u = u q + u 2 ?1 in R N u > 0 and R R N jruj 2 < 1 where, outside a ball centered at the origin, the non-negative function a is bounded from below by a positive constant ao > 0. We remark that, diierently from the literature, we do not require any conditions on a at innnity.

This paper describes, in detail, techniques for measuring the Hurst parameter. Measurements are given on artificial data both in a raw form and corrupted in various ways to check the robustness of the tools in question. Measurements are also given on real data, both new data sets and well-studied data sets. All data and tools used are freely available for download along with simple “recipes” wh...