Multifractal Analysis of Human Heartbeat in Sleep

We study the dynamical properties of heart rate variability （HRV） in sleep by analysing the scaling behaviour with the multifractal detrended fluctuation analysis method. It is well known that heart rate is regulated by the interaction of two branches of the autonomic nervous system： the parasympathetic and sympathetic nervous systems. By investigating the multifractal properties of light, deep, rapid-eye-movement （REM） sleep and wake stages, we firstly find an increasing multifractal behaviour during REM sleep which may be caused by augmented sympathetic activities relative to non-REM sleep. In addition, the investigation of long-range correlations of HRV in sleep with second order detrended fluctuation analysis presents irregular phenomena. These findings may be helpful to understand the underlying regulating mechanism of heart rate by autonomic nervous system during wake-sleep transitions.     

The world according to Rényi: thermodynamics of multifractal systems

We discuss basic statistical properties of systems with multifractal structure. This is possible by extending the notion of the usual Gibbs-Shannon entropy into more general framework—Rényi’s information entropy. We address the renormalization issue for Rényi’s entropy on (multi)fractal sets and consequently show how Rényi’s parameter is connected with multifractal singularity spectrum. The maximal entropy approach then provides a passage between Rényi’s information entropy and thermodynamics of multifractals. Important issues such as Rényi’s entropy versus Tsallis-Havrda-Charvat entropy and PDF reconstruction theorem are also studied. Finally, some further speculations on a possible relevance of our approach to cosmology are discussed.     

Classification of Multiscaling in Fracture and Fragmentation

We propose a method to classify multifractal properties, which have been found in many systems. We then study the multifractal properties previously found in various models of fracture and fragmentation, and show explicitly that they indeed fall into the two classes proposed in our method. Several interesting features are also revealed.     

Electronic properties of one-dimensional quasilattices

We study the on-site model of a new class of one-dimensional qusiperiodic lattices, for which the substitution rules areBBA, andABAB. By means of the renormalization-group approach, a interesting multifractal specrral behavior has been found, which has been confirmed by numerical simulation. A Cantor-like energy spectra is obtained by using the Kohmoto-Kadanaff-Tang (KKT) renormalization-group method. Three kinds of wave-function behavior (extended, localized, and intemediate states) are definitely found.     

Detrended fluctuation analysis of intertrade durations

The intraday pattern, long memory, and multifractal nature of the intertrade durations, which are defined as the waiting times between two consecutive transactions, are investigated based upon the limit order book data and order flows of 23 liquid Chinese stocks listed on the Shenzhen Stock Exchange in 2003. An inverse U-shaped intraday pattern in the intertrade durations with an abrupt drop in the first minute of the afternoon trading is observed. Based on a detrended fluctuation analysis, we find a crossover of power-law scaling behaviors for small box sizes (trade numbers in boxes) and large box sizes and strong evidence in favor of long memory in both regimes. In addition, the multifractal nature of intertrade durations in both regimes is confirmed by a multifractal detrended fluctuation analysis for individual stocks with a few exceptions in the small-duration regime. The intraday pattern has little influence on the long memory and multifractality.     

Low q-moment multifractal analysis of Gold price, Dow Jones Industrial Average and BGL-USD exchange rate

An estimate of the low q-moment values of the assumed multifractal spectrum of Gold price, Dow Jones Industrial Average (DJIA) and Bulgarian Lev - USA Dollar (BGL-USD) exchange rate over a 6 1/2 year time span has been made. The findings can be compared to the analysis made on 23 foreign currency exchange rates by Vandewalle and Ausloos but there is a clear indication of some differences. Comparison to fractional Brownian motion is made. The analysis shows that these three financial data are not likely fractal but rather multifractal indeed. Received 17 October 1998 and Received in final form 2 November 1998     

Multifractality of Brownian motion near absorbing polymers

We characterize the multifractal behavior of Brownian motion in the vicinity of an absorbing star polymer. We map the problem to an O(M)-symmetric phi(4)-field theory relating higher moments of the Laplacian field of Brownian motion to corresponding composite operators. The resulting spectra of scaling dimensions of these operators display the convexity properties that are necessarily found for multifractal scaling but unusual for power of field operators in field theory. Using a field-theoretic renormalization group approach we obtain the multifractal spectrum for absorption at the core of a polymer star as an asymptotic series. We evaluate these series using resummation techniques.     

Entropy computing via integration over fractal measures

We discuss the properties of invariant measures corresponding to iterated function systems (IFSs) with place-dependent probabilities and compute their Renyi entropies, generalized dimensions, and multifractal spectra. It is shown that with certain dynamical systems, one can associate the corresponding IFSs in such a way that their generalized entropies are equal. This provides a new method of computing entropy for some classical and quantum dynamical systems. Numerical techniques are based on integration over the fractal measures. (c) 2000 American Institute of Physics.     

基于小波的雷暴强放电前地面电场的多重分形分析

根据远离平衡的复杂系统演化的雪崩性和自相似倍增串级性，强调了多重分形工具的重要；利用青藏高原中部地区雷暴放电的地面电场仪资料，基于多重分形谱的小波估计方法，对强放电前雷电活动的多重分形特征进行了分析，发现多重分形谱可用推广的多重分形二项倍增串级模式描述，强放电前放电过程具有强烈的奇异性和明显的多重分形性，谱宽度Δα＞1.6，最小标度指数α_min＜-0.3；随着放电的活跃，Δα表现出明显的增加，而强的放电则发生在随后Δα的高值区或下降区，并对相关的原因进行了讨论. 关键词： 多重分形 雪崩 倍增串级 小波 闪电放电     

Multifractal analysis and randomness of almost periodic forced two-level systems

Numerical results of multifractal analysis of the (quantum) dynamics of forced two-level systems under some almost periodic time dependence are reported. The aims are to check the presence of multifractal characteristics of these systems, and also to inspect if different degrees of aperiodicities in the force are transferred to the system dynamics. Although the dynamics present signatures of the randomness of the perturbation, it does not follow strictly its autocorrelation type. The wavelet transform is the tool used to carry out the multifractal analysis.     

On a general concept of multifractality: Multifractal spectra for dimensions,entropies, and Lyapunov exponents. Multifractal rigidity

We introduce the mathematical concept of multifractality and describe various multifractal spectra for dynamical systems, including spectra for dimensions and spectra for entropies. We support the study by providing some physical motivation and describing several nontrivial examples. Among them are subshifts of finite type and one-dimensional Markov maps. An essential part of the article is devoted to the concept of multifractal rigidity. In particular, we use the multifractal spectra to obtain a "physical" classification of dynamical systems. For a class of Markov maps, we show that, if the multifractal spectra for dimensions of two maps coincide, then the maps are differentiably equivalent. (c) 1997 American Institute of Physics.     

Generalizing the wavelet-based multifractal formalism to random vector fields: application to three-dimensional turbulence velocity and vorticity data

We use singular value decomposition techniques to generalize the wavelet transform modulus maxima method to the multifractal analysis of vector-valued random fields. The method is calibrated on synthetic multifractal 2D vector measures and monofractal 3D fractional Brownian vector fields. We report the results of some application to the velocity and vorticity fields issued from 3D isotropic turbulence simulations. This study reveals the existence of an intimate relationship between the singularity spectra of these two vector fields which are found significantly more intermittent than previously estimated from longitudinal and transverse velocity increment statistics.     

Modeling electricity spot and futures price dependence: A multifrequency approach

Electricity prices are known to exhibit multifractal properties. We accommodate this finding by investigating multifractal models for electricity prices. In this paper we propose a flexible Copula-MSM (Markov Switching Multifractal) approach for modeling spot and weekly futures price dynamics. By using a conditional copula function, the framework allows us to separately model the dependence structure, while enabling use of multifractal stochastic volatility models to characterize fluctuations in marginal returns. An empirical experiment is carried out using data from Nord Pool. A study of volatility forecasting performance for electricity spot prices reveals that multifractal techniques are a competitive alternative to GARCH models. We also demonstrate how the Copula-MSM model can be employed for finding optimal portfolios, which minimizes the Conditional Value-at-Risk.     

A new transition for projections of multifractal measures and random maps

Typical projections of simple multifractal measures with generalized dimensionsD _q onto subspaces of dimensionD are considered. It is known that forD _o > D almost all projections have Euclidean support. Here it is shown that if in additionD increases beyondD, a typical projection changes from a singular continuous distribution to an absolutely continuous measure with a squareintegrable, or even differentiable density, and thus from a multifractal to an ordinary distribution with trivial singularity spectrum. Since projections of strictly self-similar measures can be regarded as invariant distributions of iterated function systems, such a transition is found also there and is expected to occur in related systems.     

Visibility graph approach to exchange rate series

By means of a visibility graph, we investigate six important exchange rate series. It is found that the series convert into scale-free and hierarchically structured networks. The relationship between the scaling exponents of the degree distributions and the Hurst exponents obeys the analytical prediction for fractal Brownian motions. The visibility graph can be used to obtain reliable values of Hurst exponents of the series. The characteristics are explained by using the multifractal structures of the series. The exchange rate of EURO to Japanese Yen is widely used to evaluate risk and to estimate trends in speculative investments. Interestingly, the hierarchies of the visibility graphs for the exchange rate series of these two currencies are significantly weak compared with that of the other series.     

Modeling an efficient Brownian heat engine

We discuss various properties of a homogeneous random multifractal process, which are related to the issue of scale correlations. By design, the process has no built-in scale correlations. However, when it comes to observables like breakdown coefficients, which are based on a coarse-graining of the multifractal field, scale correlations do appear. In the log-normal limit of the model process, the conditional distributions and moments of breakdown coefficients reproduce the observations made in fully developed small-scale turbulence. These findings help to understand several puzzling empirical details, which have been extracted from turbulent data already some time ago.     

A multifractal study of wave functions in 1-D quasicrystals

Using multifractal analysis we study extended, self-similar and non-self-similar type of wave functions in the Fibonacci model. Extended states arising due to commutation of transfer matrices for certain blocks of atoms in quasiperiodic systems are shown to have the same signature as the Bloch states in terms of the singularity spectrum withf(α)=α=1. Numerically, however, the extended states show a typical multifractal behaviour for finite chain lengths. Finite size scaling corrections yield results consistent with that obtained analytically. The self-similar states at the band edges show a multifractal behaviour and they are energy dependent in the case of blocks of atoms arranged in a Fibonacci sequence. For non-self-similar states we obtain a non-monotonic behaviour off(α) as a function of the chain length. We also show that in cases where extended states exist, the cross-over from extended to non-self-similar states in gradual.