We have applied the Zipf method to extract the ζ ′ exponent for seven financial indices (DAX, FTSE; DJIA, NASDAQ, S&P500; Hang-Seng and Nikkei 225), after having translated the signals into a text based on two letters. We follow considerations based on the signal Hurst exponent and the notion of a time dependent Zipf law and exponent in order to implement two simple investment strategies for su...

In this short paper, we propose a new multi-fractal flow model, aiming to provide a possible explanation for the crossover phenomena that appear in the estimation of Hurst exponent for network traffic. It is shown that crossover occurs if the network flow consists of several components with different Hurst components. Our results indicate that this model might be useful in network traffic model...

Valve stiction is the most common root of oscillation faults in process control systems, and it can cause severe deterioration performance system instability, ultimately impacting product quality safety. A new method for detecting valve stiction, based on dynamic slow feature analysis (DSFA) Hurst exponent, proposed this paper. The first utilizes DSFA to extract features (SFs) from preprocessed...

Long-range dependent (LRD) self-similar chaotic behaviour has been found to be present in internet traffic by many researchers. The ‘Hurst exponent’, H, is used as a measure of the degree of long-range dependence. A variety of techniques exist for estimating the Hurst exponent; these deliver a variable efficacy of estimation. Whilst ways of exploiting these techniques for control and optimizati...

The discrete-time fractional Gaussian noise (DFGN) has been proven to be a regular process. Therefore, an autoregressive (AR) model of an infinite order can describe DFGN based on Wold and Kolmogorov theorems. A fast estimation algorithm on the Hurst exponent of DFGN or discrete-time fractional Brownian motion (DFBM) has been proposed, but the algorithm did not consider the order selection of A...

We investigated the differences in brain fMRI signal complexity in patients with schizophrenia while performing the Cyberball social exclusion task, using measures of Sample entropy and Hurst exponent (H). 13 patients meeting diagnostic and Statistical Manual of Mental Disorders, 4th Edition (DSM IV) criteria for schizophrenia and 16 healthy controls underwent fMRI scanning at 1.5 T. The fMRI d...