Temat: 05.45.Df - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Effect of Detrending on Multifractal Characteristics
Autorzy:: Oświęcimka, P.
Drożdż, S.
Kwapień, J.
Górski, A.
Powiązania:: https://bibliotekanauki.pl/articles/1400181.pdf
Data publikacji:: 2013-03
Wydawca:: Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:: 05.45.Df
05.45.Tp
89.75.-k
Opis:: Different variants of multifractal detrended fluctuation analysis technique are applied in order to investigate various (artificial and real-world) time series. Our analysis shows that the calculated singularity spectra are very sensitive to the order of the detrending polynomial used within the multifractal detrended fluctuation analysis method. The relation between the width of the multifractal spectrum (as well as the Hurst exponent) and the order of the polynomial used in calculation is evident. Furthermore, type of this relation itself depends on the kind of analyzed signal. Therefore, such an analysis can give us some extra information about the correlative structure of the time series being studied.
Źródło:: Acta Physica Polonica A; 2013, 123, 3; 597-603
0587-4246
1898-794X
Pojawia się w:: Acta Physica Polonica A
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 2.

Tytuł:: Fractals, Log-Periodicity and Financial Crashes
Autorzy:: Oświęcimka, P.
Drożdż, S.
Kwapień, J.
Górski, A.
Powiązania:: https://bibliotekanauki.pl/articles/1538497.pdf
Data publikacji:: 2010-04
Wydawca:: Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:: 52.35.Mw
05.45.Df
05.70.Jk
Opis:: Presence of self-similar patterns in the financial dynamics is by now well established and even convincingly quantified within the multifractal formalism. Here we focus attention on one particular aspect of this self-similarity which potentially is related to the discrete-scale invariance underlying the system composition and manifests itself by the log-periodic oscillations cascading self-similarly through various time scales. Such oscillations accumulate at the turning (critical) points that in the financial dynamics are often identified as crashes. This property thus allows us to develop a methodology that may be useful also for prediction. A model Weierstrass-type function is used to illustrate the relevant effects and several examples demonstrating that such effects in the real financial markets take place indeed, are reviewed.
Źródło:: Acta Physica Polonica A; 2010, 117, 4; 637-639
0587-4246
1898-794X
Pojawia się w:: Acta Physica Polonica A
Dostawca treści:: Biblioteka Nauki

Artykuł

Skocz do pozycji: 3.

Tytuł:: Accuracy Analysis of the Box-Counting Algorithm
Autorzy:: Górski, A.
Drożdż, S.
Mokrzycka, A.
Pawlik, J.
Powiązania:: https://bibliotekanauki.pl/articles/1408964.pdf
Data publikacji:: 2012-02
Wydawca:: Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:: 05.45.Df
02.60.Gf
47.52.+j
Opis:: Accuracy of the box-counting algorithm for numerical computation of the fractal exponents is investigated. To this end several sample mathematical fractal sets are analyzed. It is shown that the standard deviation obtained for the fit of the fractal scaling in the log-log plot strongly underestimates the actual error. The real computational error was found to have power scaling with respect to the number of data points in the sample $(n_{tot})$. For fractals embedded in two-dimensional space the error is larger than for those embedded in one-dimensional space. For fractal functions the error is even larger. Obtained formula can give more realistic estimates for the computed generalized fractal exponents' accuracy.
Źródło:: Acta Physica Polonica A; 2012, 121, 2B; B-28-B-30
0587-4246
1898-794X
Pojawia się w:: Acta Physica Polonica A
Dostawca treści:: Biblioteka Nauki

Artykuł

Informacja