Source traac streams as well as aggregated traac ows often exhibit long-range-dependent (LRD) properties. In this work, we model traac streams using multi-plicative multifractal processes. We develop two type of models, the multifractal point processes and multifractal counting processes. We demonstrate our model to eeectively track the behavior exhibited by the system driven by the actual traf...

In this paper we present some new results in the framework of multifractal performance analysis including both the characterization and modeling of multifractal network traffic, and also the multifractal queueing performance analysis. We first propose a new multifractal traffic model for network traffic based on the combination of a multiplicative cascade with an independent lognormal process. ...

This paper introduces multifractal theory into the research of chaotic channels, and a novel model of chaotic channel is established from nonlinear science standpoint. By studying the relationship between multifractal dimensions and work environments, increments probability distribution, and statistical self-similarity of low power line communication (L-PLC) channel which is a typical chaotic c...

In this paper, we compare the portfolio allocation model of multifractal detrended Fluctuation approach with the modern efficient frontier model and the asset allocation model from Chinese institution fund, the risk-return performance of the multifractal detrended Fluctuation turns out to be more optimal portfolio allocation than that from Chinese institution fund and the conclusions have impli...

Previous multifractal spectrum theories can only reflect that an object is multifractal and few explicit expressions of f(α) can be obtained for the practical application of nonlinearity measure. In this paper, an analytical model for multifractal systems is developed by combining and improving the Jake model, Tyler fractal model and Gompertz curve, which allows one to obtain explicit expressio...

Abstract. We present the results on the modelling and synthesis of broadband traffic processes namely ethernet inter-arrival times using the VVGM (variable variance gaussian multiplier) multiplicative multifractal model. This model is shown to be more appropriate for modelling network traffic which possess time varying scaling/self-similarity and burstiness. The model gives a simple and efficie...

Source traffic streams as well as aggregated traffic flows often exhibit long-range-dependent (LRD) properties. In this paper, we model each traffic stream component through the multiplicative multifractal counting process traffic model. We prove that the superposition of a finite number of multiplicative multifractal traffic streams results in another multifractal stream. This property makes t...

This paper proposes a novel multifractal traffic model, and an associated parameter fitting procedure, based on stochastic L-Systems, which were introduced by biologist A. Lindenmayer as a method to model plant growth. We provide a detailed comparison with a related multifractal model based on conservative cascades. Our results, that include applying the fitting procedure to real observed data ...

This paper presents the multifractal model of asset returns (“MMAR”), based upon the pioneering research into multifractal measures by Mandelbrot (1972, 1974). The multifractal model incorporates two elements of Mandelbrot’s past research that are now well-known in finance. First, the MMAR contains long-tails, as in Mandelbrot (1963), which focused on Lévy-stable distributions. In contrast to M...

Software development is difficult to model, particularly the noisy, non-stationary signals of changes per time unit, extracted from version control systems (VCSs). Currently researchers are utilizing timeseries analysis tools such as ARIMA to model these signals extracted from a project’s VCS. Unfortunately current approaches are not very amenable to the underlying power-law distributions of th...