نتایج جستجو برای: multifractal model

تعداد نتایج: 2106700  

2009
WEI-XING ZHOU

We perform a systematic investigation on the components of the empirical multifractality of financial returns using the daily data of Dow Jones Industrial Average from 26 May 1896 to 27 April 2007 as an example. The temporal structure and fat-tailed distribution of the returns are considered as possible influence factors. The multifractal spectrum of the original return series is compared with ...

2000
J. F. Muzy

In this paper, we provide a simple, “generic” interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that in this context 1/f power spectra, as recently observed in Ref. [20], naturally emerge. We then propose a simple solvable “stochastic volatility” model for return fluctuations. This model is able to reproduce mos...

2007
Ruipeng Liu T. Di Matteo Thomas Lux

In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the Markov-switching multifractal model (MSM). In order to see how well the estimated models capture the temporal dependence of the data, we estimate and compare the scaling ex...

2000
A. M. Tarquis J. C. Losada R. Sarmiento R. M. Benito

Relations between the frequency map of a generic Hamiltonian model, describing the vibrational dynamics of the LiNC/LiCN molecular system, and its chaotic behavior are discussed. The scaling structure of the local frequency map is studied based on the multifractal analysis. This approach allows different behaviors to be recognized as well as to study the evolution of the molecular system at dif...

2004
P. Oświȩcimka J. Kwapień

By applying the multifractal detrended fluctuation analysis to the high-frequency tick-bytick data from Deutsche Börse both in the price and in the time domains, we investigate multifractal properties of the time series of logarithmic price increments and inter-trade intervals of time. We show that both quantities reveal multiscaling and that this result holds across different stocks. The origi...

1999
Leo Kadanoff Jane Wang Roberto Benzi

This is a paper about multifractal scaling and dissipation in a shell model of turbulence, called the Gledzer-Ohkitani-Yamada (GOY) model. This set of equations describes a one-dimensional cascade of energy towards higher wave vectors. When the model is chaotic, the high-wave-vector velocity is a product of roughly independent multipliers, one for each logarithmic momentum shell. The appropriat...

2001
Thomas Nowotny Ulrich Behn

The local magnetization in the one-dimensional random-field Ising model is essentially the sum of two effective fields with multifractal probability measure. The probability measure of the local magnetization is thus the convolution of two multifractals. In this paper we prove relations between the multifractal properties of two measures and the multifractal properties of their convolution. The...

2001
Richard M. Dansereau Witold Kinsner

This paper introduces a new class of fractal dimension measures which we call relative multifractal measures. The relative multifractal measures developed are formed through a melding of the Rényi dimension spectrum, which is based on the Rényi generalized entropy, and relative entropy as given with the Kullback-Leibler distance. This new class of multifractal measures is then used to find the ...

2005
José Gaite

– We examine the proposal that a model of the large-scale matter distribution consisting of randomly placed haloes with power-law profile, as opposed to a fractal model, can account for the observed power-law galaxy-galaxy correlations. We conclude that such model, which can actually be considered as a degenerate multifractal model, is not realistic but suggests a new picture of multifractal mo...

2003
Bin Shi Kevin Moloney Virginia Emery Julie Jacko Francois Sainfort Brani Vidakovic

Multifractality present in high frequency pupil diameter measurements, usually connected with irregular scaling behavior and self-similarity, is modelled with statistical accuracy. A multifractal spectrum is used to discriminate pupil behavior measurements from four groups differing in ocular pathology. Broadness and the spectrum maximum, two measures characterizing the multifractal spectrum of...

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