We have performed detailed multifractal analysis on the minutely volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function χq(s) scales as a power law with respect to box size s. The scaling exponents τ(q) form a nonlinear function of q. Statistical tests based on bootstrapping show that the extracted multifractal nat...

Title of Dissertation: MULTIFRACTAL INTERNET TRAFFIC MODEL AND ACTIVE QUEUE MANAGEMENT Jia-Shiang Jou, Doctor of Philosophy, 2003 Dissertation directed by: Professor John S. Baras Department of Electrical and Computer Engineering We propose a multilevel (hierarchical) ON/OFF model to simultaneously capture the mono/multifractal behavior of Internet traffic. Parameter estimation methods are deve...

In this paper, we develop a new multiscale modeling framework for characterizing positive-valued data with longrange-dependent correlations (1=f noise). Using the Haar wavelet transform and a special multiplicative structure on the wavelet and scaling coefficients to ensure positive results, the model provides a rapid O(N) cascade algorithm for synthesizing N point data sets. We study both the ...

Frame duration is an essential parameter to ensure correct application of multifractal signal processing. This paper aims to identify the multifractal nature of speech signals through theoretical study and experimental verification. One important part of this pursuit is to select adequate ranges of frame duration that effectively display evidence of multifractal nature. An overview of multifrac...

The effect of bulk dissipation on non critical sandpile models is studied using both multifractal and finite size scaling analyses. We show numerically that the local limited (LL) model exhibits a crossover from multifractal to self-similar behavior as the control parameters h ext and ǫ turn towards their critical values, i.e. h ext → 0 + and ǫ → ǫ c. The critical exponents are not universal an...

We have performed detailed multifractal analysis on the minutely volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function χq(s) scales as a power law with respect to box size s. The scaling exponents τ(q) form a nonlinear function of q. Statistical tests based on bootstrapping show that the extracted multifractal nat...

We examine the performance of volatility models that incorporate features such as long (short) memory, regime-switching and multifractality along with two competing distributional assumptions of the error component, i.e. Normal vs Student-t. Our precise contribution is twofold. First, we introduce a new model to the family of Markov-Switching Multifractal models of asset returns (MSM), namely, ...

Recently, many lines of investigation in neuroscience and statistical physics have converged to raise the hypothesis that the underlying pattern of neuronal activation which results in electroencephalography (EEG) signals is nonlinear, with self-affine dynamics, while scalp-recorded EEG signals themselves are nonstationary. Therefore, traditional methods of EEG analysis may miss many properties...

Moments of the measure defined by products of random deviates are considered with the aim of reproducing the multifractal spectrum of the DiffusionLimited Aggregation (DLA) . appeared in: Journal of Technical Physics 37 (1996), pp.441-444 In 1981 Witten and Sander have proposed the Diffusion-Limited Aggregation (DLA) model [1] leading to the formation of fractal patterns. The growth process of ...