Multifractal properties of the Indian financial market

We investigate the multifractal properties of the logarithmic returns of the Indian financial indices (BSE & NSE) by applying the multifractal detrended fluctuation analysis. The results are compared with that of the US S&P 500 index. Numerically we find that qth-order generalized Hurst exponents h(q) and τ(q) change with the moments q. The nonlinear dependence of these scaling exponents and the singularity spectrum f(α) show that the returns possess multifractality. By comparing the MF-DFA results of the original series to those for the shuffled series, we find that the multifractality is due to the contributions of long-range correlations as well as the broad probability density function. The financial markets studied here are compared with the Binomial Multifractal Model (BMFM) and have a smaller multifractal strength than the BMFM.     

Spatial evolutionary game with bond dilution

In this paper, we study numerically the prisoner’s dilemma game (PDG) and snowdrift game (SG) on a two-dimensional square lattice with both quenched and annealed bond dilution. For quenched bond dilution, the system undergoes a dynamical transition at the critical occupation probability q^∗, which is higher than the bond percolation transition point for a square lattice. In the critical region, the defined order parameter has a scaling form as P_e∼(q−q^∗)^β for q<q^∗ with the critical exponents β=1.42 for PDG and β=1.52 for SG, which differ from those with quenched site dilution. For annealed bond dilution, the system exhibits a distinct cooperative behavior. We find that the cooperation is much enhanced in the range of small payoff parameters on a lattice with slightly annealed bond dilution.     

Multifractal Formalism for Almost all Self-Affine Measures

We conduct the multifractal analysis of self-affine measures for “almost all” family of affine maps. Besides partially extending Falconer’s formula of L ^q -spectrum outside the range 1 < q ≤ 2, the multifractal formalism is also partially verified.     

On spurious and corrupted multifractality: The effects of additive noise, short-term memory and periodic trends

We study the performance of multifractal detrended fluctuation analysis (MF-DFA) applied to long-term correlated and multifractal data records in the presence of additive white noise, short-term memory and periodicities. Such additions and disturbances that can be typically found in the observational records of various complex systems ranging from climate dynamics to physiology, network traffic, and finance. In monofractal records, we find that (i) additive white noise hardly results in spurious multifractality, but causes underestimated generalized Hurst exponents h(q) for all q values; (ii) short-range correlations lead to pronounced crossovers in the generalized fluctuation functions F_q(s) at positions that decrease with increasing moment q, thus causing significantly overestimated h(q) for small q and spurious multifractality; (iii) periodicities like seasonal trends (with standard deviations comparable with the one of the studied process) result in spurious “reversed” multifractality where h(q) increases with increasing q (except for very short time windows). We also show that in multifractal cascades moderate additions of noise, short-range memory, or periodic trends cause flawed results for h(q) with q<2, while h(q) with q>2 remains nearly unchanged.     

Flip motion of heterogeneous buckled dimers on Ge(0 0 1) by electron injection from STM tip

Surface motion of a topological defect between p(2×2) and c(4×2) structures, a “kink”, across buckled Sn-Ge and Si-Ge dimers on Ge(0 0 1) surfaces was investigated using scanning tunneling microscopy. Energy thresholds of π^∗ electrons for flipping these dimers in the kink are obtained by analyzing the kink surface motion. Electronic states of these systems and energy barriers for flipping the dimers are examined by first-principles calculations for considering elementary processes of the electronically-excited flip motion of the dimers. We propose that the flip motion is caused by a resonant scattering of the π^∗ electrons with localized electronic states at the kink.     

Some observations on Levy stability and intermittency in nucleus-nucleus interactions at SPS energies

The power law relation between higher order and second order scaled factorial moments is studied in one dimensional pseudo-rapidity phase (η) space in the interactions of ³²S beam with CNO, AgBr and Emulsion at incident energy of 200 AGeV. Observation for such a power law may indicate a self similar cascade mechanism in multiparticle production process. The values of slope, β_q are found to be independent of target size. The value of the scaling exponent υ = 1.412 obtained is higher than the critical value υ = 1.304, indicating that no second order phase transition exists in our data. The ratio of anomalous fractal dimensions, d_q/d₂ is found to increase with increase in the order of moments, q. The dependence of d_q/d₂ on q indicates a multifractal structure and the presence of self-similar cascading mechanism in our data. The d_q/d₂ values are well described by the Levy-stable distribution with Levy index μ = 1.562 which is consistent with and lies within the Levy stable region (0 ≤ μ ≤ 2). The multifractal spectrum is concave downward with a maximum at q = 0. The decrease in D_q with increasing q shows that there is a self affine multifractal behaviour in multiparticle production in our data.     

Boundary critical behaviour of two-dimensional random Potts models

Using extensive Monte Carlo simulations, transfer matrix techniques and conformal invariance, ferromagnetic random q-state Potts models for are studied in the vicinity of the critical temperature. In particular the surface and bulk magnetization exponents and are found monotonically increasing with q. At the critical temperature, different moments (n) of the magnetization profiles are calculated which are all found to accurately follow predictions of conformal invariance. The critical correlation functions show multifractal behaviour, the decay exponents of the different moments both in the volume and at the surface, are n-dependent. Received 4 June 1999     

True and apparent scaling: The proximity of the Markov-switching multifractal model to long-range dependence

In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the Markov-switching multifractal (MSM) model. In order to see how well the estimated model captures the temporal dependence of the data, we estimate and compare the scaling exponents H(q) (for q=1,2) for both empirical data and simulated data of the MSM model. In most cases the multifractal model appears to generate ‘apparent’ long memory in agreement with the empirical scaling laws.     

Multifractal analysis of polyalanines time series

Multifractal properties of the energy time series of short α-helix structures, specifically from a polyalanine family, are investigated through the MF-DFA technique (multifractal detrended fluctuation analysis). Estimates for the generalized Hurst exponent h(q) and its associated multifractal exponents τ(q) are obtained for several series generated by numerical simulations of molecular dynamics in different systems from distinct initial conformations. All simulations were performed using the GROMOS force field, implemented in the program THOR. The main results have shown that all series exhibit multifractal behavior depending on the number of residues and temperature. Moreover, the multifractal spectra reveal important aspects of the time evolution of the system and suggest that the nucleation process of the secondary structures during the visits on the energy hyper-surface is an essential feature of the folding process.     

Cross-correlations between West Texas Intermediate crude oil and the stock markets of the BRIC

In this paper, we investigate the cross-correlation properties between West Texas Intermediate crude oil and the stock markets of the BRIC. We use not only the qualitative analysis of the cross-correlation test, but also take the quantitative analysis of the MF-DXA, confirming the cross-correlation relationship between West Texas Intermediate crude oil and the stock markets of the BRIC (Brazil, Russia, India and China) respectively, which have strongly multifractal features, and the cross-correlations are more strongly multifractal in the short term than in the long term. Furthermore, based on the multifractal spectrum, we also find the multifractality strength between the crude oil WTI and Chinese stock market is stronger than the multifractality strength of other pairs. Based on the Iraq war (Mar 20, 2003) and the Financial crisis in 2008, we divide sample period into four segments to research the degree of the multifractal (ΔH$\Delta H$) and the market efficiency (and the risk). Finally, we employ the technique of the rolling window to calculate the time-varying EI  (efficiency index) and dependent on the EI  , we can easily observe the change of stock markets. Furthermore, we explore the relationship between bivariate cross-correlation exponents (_Hxy(q)$H_{xy}\left(q\right)$) and the generalized Hurst exponents.     

Scaling characteristics in aftershock sequence of earthquake

The possible scale-invariant behavior and the clustering characteristics in aftershock sequence of Chi-Chi (Taiwan) main earthquake (ASCCME) that occurred in 1999/9/20/17/47 were investigated by means of some statistical tools: histogram, spectral analysis, and fractal theory. The examined data were constructed from the aftershocks that occurred at the locations defined at longitude 120.1–121.3 and latitude 23.3–24.5 during the 1999/9/20/17/47–1999/9/24/08/13 period. It was found that the aftershock sequence exhibited the characteristic right-skewed frequency distribution and could be well described with the lognormal distribution. Long-term memory and the possibility of scale invariance were first roughly identified through the analysis of autocorrelation and power spectrum, respectively. Scale invariance was clearly revealed with the aid of box-counting method and the box dimension was shown to be a decreasing function of the threshold magnitude level, i.e., the weak and intense regions scaled differently. To verify the existence of multifractal characteristics, the aftershock sequence was transferred into a useful compact form through the multifractal formalism, namely, the τ(q)–q and f(α)–α plots. The analysis confirmed the existence of multifractal characteristics in the examined aftershock sequence. The origin of both the pronounced right-skewness and multifractal phenomena in aftershock sequence might be interpreted in terms of the multiplicative cascade process of the stress in the Earth's crust. A simple two-scale Cantor set with unequal scales and weights was then used to fit the calculated τ(q)–q plot. This model fitted remarkably well the entire spectrum of scaling exponents of the examined ASCCME.     

Relationships of exponents in multifractal detrended fluctuation analysis and conventional multifractal analysis

Multifractal detrended fluctuation analysis (MF-DFA) is a relatively new method of multifractal analysis. It is extended from detrended fluctuation analysis (DFA), which was developed for detecting the long-range correlation and the fractal properties in stationary and non-stationary time series. Although MF-DFA has become a widely used method, some relationships among the exponents established in the original paper seem to be incorrect under the general situation. In this paper, we theoretically and experimentally demonstrate the invalidity of the expression τ(q)=qh(q)-1 stipulating the relationship between the multifractal exponent τ(q) and the generalized Hurst exponent h(q). As a replacement, a general relationship is established on the basis of the universal multifractal formalism for the stationary series as τ(q)=qh(q)-qH'-1, where H' is the nonconservation parameter in the universal multifractal formalism. The singular spectra, α and f(α), are also derived according to this new relationship.     

Analyticity and Mixing Properties for Random Cluster Model with q >0 on ℤ d

We study the Random Cluster Model on ℤ ^d for p near either 0 or 1 and for all q > 0 and we prove by mean of cluster expansion methods the analyticity of the pressure and finite connectivities in both regimes. These results are valid also in the regime q < 1 and they imply that percolation probability is strictly less than 1.     

Energy exchange in fast optical soliton collisions as a random cascade model

We study the dynamics of a probe soliton propagating in an optical fiber and exchanging energy in fast collisions with a random sequence of pump solitons. The energy exchange is induced by Raman scattering or by cubic nonlinear loss/gain. We show that the equation describing the dynamics of the probe soliton's amplitude has the same form as the equation for the local space average of energy dissipation in random cascade models in turbulence. We characterize the statistics of the probe soliton's amplitude by the τq exponents from multifractal theory and by the Cramér function S(x). We find that the nth moment of the two-time correlation function and the bit-error-rate contribution from amplitude decay exhibit power-law behavior as functions of propagation distance, where the exponents can be expressed in terms of τq or S(x).     

Erratic fluctuations in 14.5A GeV/c 28Si−AgBr Collisions

Analysis of multiparticle production data on 14.5A GeV/c ²⁸Si?AgBr collisions in terms of erraticity is carried out and the results are compared with those obtained from the Monte Carlo simulated data (using event generator HIJING). It is shown that like the multifractal spectrum through G _qmoments, erraticity spectrum may also be constructed from the observed power-law behaviour of the erraticity moments. Further, for examining the dominance of statistical fluctuations over the erraticity behaviour, correlation-free Monte Carlo events are simulated and analyzed. A comparison of the experimental and simulation results indicates that the fluctuations observed in the case of experimental data are not only because of the statistical reasons, but may have some dynamical origin.     

Multifractal description of wind power fluctuations using arbitrary order Hilbert spectral analysis

The objectives are to study and model the aggregate wind power fluctuations dynamics in the multifractal framework. We present here the analysis of aggregate power output sampled at 1 Hz during three years. We decompose the data into several Intrinsic Mode Functions (IMFs) using Empirical Mode Decomposition (EMD). We use a new approach, arbitrary order Hilbert spectral analysis, a combination of the EMD approach with Hilbert spectral analysis (or Hilbert–Huang Transform) and the classical structure-function analysis to extract the scaling exponents or multifractal spectrum ζ(q)$\zeta \left(q\right)$: this function provides a full characterization of a process at all intensities and all scales. The application of both methods, i.e. structure-function and arbitrary-order Hilbert spectral analyses, gives similar results indicating that the aggregate power output from a wind farm, possesses intermittent and multifractal properties. In order to check this result, we generate stochastic simulations of a Multifractal Random Walk (MRW) using a log-normal stochastic equation. We show that the simulation results are fully compatible with the experimental results.     

Some observations related to intermittency and multifractality in Si and C-nucleus collisions at

An attempt is made to study the existence of dynamical fluctuations of relativistic particles using the methods of modified multifractal moments, G_q, and scaled factorial moments, F_q, in terms of new scaled variable X(η) suggested by Bialas and Gazdzicki. For this purpose analyses of experimental and UrQMD data involving interactions of ²⁸Si and ¹²C nuclei at with nuclear emulsion are used. The variation of lnG_q and lnF_q with lnM in pseudorapidity (η) phase space reveals power law behaviour. The values of slopes, τ_q and _q determined from the analyses of G_q and F_q moments are discussed. The generalized fractal dimensions, D_q, determined from the above methods are found to decrease with the order of the moments, q, indicating multifractality in multiparticle production. It is also observed that the spectral function f(α_q) for heavier projectile is much broader than for lighter beam due to larger number of participating nucleons present in heavier projectile.     

Fluctuation study of pionisation in ultrarelativistic nucleus-nucleus interaction

The scaled factorial moments and the multifractal moments have been investigated in different??-intervals to study the dynamical fluctuation of pions produced in 200 AGeV³²S-Ag/Br interaction. In order to investigate the detail characteristics of intermittency behaviour, theF-moments are extracted up to the eighth order of moments in differentM-intervals. The analysis indicates a non-thermal phase transition and different regime of particle production during the hadronisation process.     

Fluctuation study of pionisation in ultrarelativistic nucleus-nucleus interaction

The scaled factorial moments and the multifractal moments have been investigated in differentη-intervals to study the dynamical fluctuation of pions produced in 200 AGeV³²S-Ag/Br interaction. In order to investigate the detail characteristics of intermittency behaviour, theF-moments are extracted up to the eighth order of moments in differentM-intervals. The analysis indicates a non-thermal phase transition and different regime of particle production during the hadronisation process.