Based on measurements in live GPRS networks, the degree of selfsimilarity for the aggregated WAP and WEB traffic is investigated by utilizing six well established Hurst parameter estimators. We show that in particular WAP traffic is long-range dependent and its scaling for time scales below the average page duration is not second order self similar. WAP over UDP can also determine the overall t...

In recent years, numerous publications have identi ed a high number of tra c sources to be of self-similar nature. Such tra c can have a negative impact on traditional queuing systems. This paper presents a call admission control algorithm that uses periodic wavelet analysis applied to tra c measurements to estimate the amount of resources necessary to support a certain set of connections under...

The discovery of the self similarity of Ethernet traac at Bellcore has had a profound eeect on the world of performance modelling. This paper examines the eeects of self similarity of input traac on the performance of a queue. We use a traac characterisation due to Robert and Le Boudec which allows self similar traac with an arbitrary mean and Hurst parameter to be generated. The technique give...

We report numerically and analytically estimated values for the Hurst exponent for a recently proposed non-Markovian walk characterized by amnestically induced persistence. These results are consistent with earlier studies showing that log-periodic oscillations arise only for large memory losses of the recent past. We also report numerical estimates of the Hurst exponent for non-Markovian walks...

The common assumption of universal behavior in stock market data can sometimes lead to false conclusions. In statistical physics, the Hurst exponents characterizing long-range correlations are often closely related to universal exponents. We show, that in the case of time series of the traded value, these Hurst exponents increase logarithmically with company size, and thus are non-universal. Mo...

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. The optimal length of the time-window over which this exponent can be calculated in order to make some meaningful predictions is discussed. Our prediction hypothesis is verified with examples of '29 and '87 c...

Statistics of the Hurst scaling exponents calculated with the use of two methods: recently introduced Detrended Moving Average Analysis(DMA) and Detrended Fluctuation Analysis (DFA)are compared. Analysis is done for artificial stochastic Brownian time series of various length and reveals interesting statistical relationships between two methods. Good agreement between DFA and DMA techniques is ...