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:: World Financial 2014-2016 Market Bubbles: Oil Negative - US Dollar Positive
Autorzy:: Wątorek, M.
Drożdż, S.
Oświęcimka, P.
Powiązania:: https://bibliotekanauki.pl/articles/1398840.pdf
Data publikacji:: 2016-05
Wydawca:: Polska Akademia Nauk. Instytut Fizyki PAN
Tematy:: 64.60.Ht
89.65.Gh
05.45.Df
Opis:: Based on the log-periodic power law methodology, with the universal preferred scaling factor λ ≈2, the negative bubble on the oil market in 2014-2016 has been detected. Over the same period a positive bubble on the so-called commodity currencies expressed in terms of the US dollar appears to take place with the oscillation pattern which largely is mirror reflected relative to oil price oscillation pattern. It documents recent strong anticorrelation between the dynamics of the oil price and of the USD. A related forecast made at the time of FENS 2015 conference (beginning of November) turned out to be quite satisfactory. These findings provide also further indication that such a log-periodically accelerating down-trend signals termination of the corresponding decreases.
Źródło:: Acta Physica Polonica A; 2016, 129, 5; 932-936
0587-4246
1898-794X
Pojawia się w:: Acta Physica Polonica A
Dostawca treści:: Biblioteka Nauki

Artykuł

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