激光大气闪烁的分形分析

 采用分形理论分析了激光大气闪烁的统计特征。研究结果表明：在弱起伏条件下，激光大气闪烁的分形维和奇异性随光强起伏的增强而增大，而其长期相关性则减小；不同Fresnel尺度下具有相同闪烁指数的激光大气闪烁的分形特征存在着明显的差别；在强起伏条件下，有限的数据中尚未发现分形维有饱和现象，因此可以用来描述激光大气闪烁的强度。     

Critical features in electromagnetic anomalies detected prior to the L’Aquila earthquake

Earthquakes (EQs) are large-scale fracture phenomena in the Earth’s heterogeneous crust. Fracture-induced physical fields allow a real-time monitoring of damage evolution in materials during mechanical loading. Electromagnetic (EM) emissions in a wide frequency spectrum ranging from kHz to MHz are produced by opening cracks, this can be considered as the so-called precursors of general fracture. We emphasize that the MHz radiation appears earlier than the kHz on both laboratory and geophysical scales. An important challenge in this field of research is to distinguish characteristic epochs in the evolution of precursory EM activity and identify them with the equivalent last stages in the EQ preparation process. Recently, we proposed the following two-stage model. (i) The first epoch, which includes the initial emergent MHz EM emission, is thought to be due to the fracture of a highly heterogeneous system that surrounds a family of large high-strength asperities distributed along the activated fault sustaining the system. (ii) The second epoch, which includes the emergent strong impulsive kHz EM radiation, is due to the fracture of the asperities themselves. A catastrophic EQ of magnitude Mw=6.3 occurred on 6 April, 2009 (06/04/09) in central Italy. The majority of the damage occurred in the city of L’Aquila. Clear kHz–MHz EM anomalies had been detected prior to the L’Aquila EQ. Here, we investigate the seismogenic origin of the MHz part of the anomalies. The analysis, which is in terms of intermittent dynamics of critical fluctuations, reveals that the candidate EM precursor (i) can be described as analogous to a thermal continuous phase transition and (ii) has anti-persistent behavior. These features suggest that this candidate precursor was triggered by microfractures in the highly disordered system that surrounded the backbone of asperities of the activated fault. A criterion for underlying strong critical behavior is introduced. In this field of research, reproducibility of results is desirable; and is best done by analyzing a number of precursory MHz EM emissions. We refer to previous studies of precursory MHz EM activities associated with nine significant EQs that have occurred in Greece in recent years. We conclude that all the MHz EM precursors studied, including the present one, can be described as analogous to a continuous second-order phase transition having strong criticality and anti-persistent behavior.     

Scaling properties and entropy of long-range correlated time series

We calculate the Shannon entropy of a time series by using the probability density functions of the characteristic sizes of the long-range correlated clusters introduced in [A. Carbone, G. Castelli, H.E. Stanley, Phys. Rev. E 69 (2004) 026105]. We define three different measures of the entropy related, respectively, to the length, the duration and the area of the clusters. For all the three cases, the entropy increases as the logarithm of a power of the size with exponents equal to the fractal dimension of the cluster length, duration and area, respectively.     

Fractal analysis on human dynamics of library loans

In this paper, the fractal characteristic of human behaviors is investigated from the perspective of time series constructed with the amount of library loans. The values of the Hurst exponent and length of non-periodic cycle calculated through rescaled range analysis indicate that the time series of human behaviors and their sub-series are fractal with self-similarity and long-range dependence. Then the time series are converted into complex networks by the visibility algorithm. The topological properties of the networks such as scale-free property and small-world effect imply that there is a close relationship among the numbers of repetitious behaviors performed by people during certain periods of time. Our work implies that there is intrinsic regularity in the human collective repetitious behaviors. The conclusions may be helpful to develop some new approaches to investigate the fractal feature and mechanism of human dynamics, and provide some references for the management and forecast of human collective behaviors.     

Statistics of event by event fluctuations

Following Hwa and Wu [R.C. Hwa, Y. Wu, Phys. Rev. C 60 (1999) 0544904], we characterize the fluctuation behavior of the hadron density produced during quark-hadron phase transition, as modeled by a 2D Ising model. Using a recently developed discrete wavelet based approach, the scaling behavior is studied at temperatures below, at and above T_c. At T_c, we find the Hurst exponent H?1, as observed in a recent experimental finding [L. Qin, M. Ta-chung, Phys. Rev. D 72 (2005) 014011]. However, as compared to the R/S analysis, which yields only the Hurst exponent, our local approach finds a correlation behavior and multifractal properties at temperatures below, at and above T_c. We find evidence for a transition from Brownian to fractional Browian motion near T_c. The correlation behavior compares well with the results obtained from a continuous wavelet based average wavelet co-efficient method, as well as with Fourier power spectral analysis.     

Fractal analysis of powder X-ray diffraction patterns

X-ray diffraction (XRD) patterns with broad background are commonly found in the characterization of materials with a certain degree of amorphicity, so the sharp intensity peaks associated with material phases are not well defined. This work used rescaled range (denoted by R/S) analysis, a method intended for fractal analysis of noisy signals, to characterize XRD patterns with broad background. It is found that XRD patterns with broad background are not random at all, but contain information on regularities expressed as autocorrelations of the intensity signal. Sol-gel alumina fired at different temperatures was used as an example to illustrate the applicability of the method. It is shown that fractal R/S analysis is able to locate angular regions that can be associated to ideal International Centre for Diffraction Data Powder Diffraction File (ICDD PDF) lines of diverse alumina phases.     

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.     

The effect of magnetic field and convective flow on nematic director fluctuations

The slow orientational fluctuations of the director in the nematic state of d-PAA have been studied by real-time neutron scattering. By analysis of the measured time series we have derived the Hurst exponentH as a function of the applied magnetic field and of the applied vertical temperature difference of the sample. For zero values of both parameters we foundH0.9, indicating a high degree of temporal correlation between orientational fluctuations. At increasing field or temperature gradientH approaches a value of 0.5, corresponding to zero temporal correlations.     

近地层大气光学湍流的分形和间歇性特征分析

利用光纤湍流测量系统获得了合肥西郊科学岛上气象观测场内下垫面平坦的水面上方0.48m、草地上方1.8m和23m高处的大气折射率起伏的观测数据,采用R/S分析法计算了近地层大气光学湍流的赫斯特指数和分形维数,统计分析了分形维数的日变化特征及概率分布特征。结果表明:对于一天的不同时段,分形维数在一定范围内动态变化,且中午时段相对稳定;在三种下垫面条件下,全天分形维数的值大多在1.3~1.4之间,其最可几概率位于1.35处,从均值来看,草地上方1.8m的分形维数最大,水面上方0.48m次之,草地上方23m处最小。最后,初步探讨了近地层大气光学湍流分形维数、间歇性指数和湍流发展程度的相关性。     

The long-range dependence behavior of the term structure of interest rates in Japan

This paper presents an empirical evidence suggesting that Japanese interest rates for different maturities possess long-range dependence in both mean and volatility. For long-term bonds, predictability in the term structure of interest rates increases with maturity, suggesting that there exists a term premium. Furthermore, the dynamics of short-term interest rates (6 months) is very different from longer term bonds, as the former are anti-persistent, which implies that the zero-interest rate policy is perceived to be temporary.     

混合交通流时间序列的去趋势波动分析

应用去趋势波动分析法研究交通流时间序列的复杂性,探讨了混合交通流时间序列演变行为的标度指数.根据标度指数的变化特征,进而揭示交通流时间序列所具有的长程相关性和短程相关性.通过分析发现,存在一密度ρ,当ρ₁<ρ<ρ₂时,交通流时间序列具有长程相关性;而当ρ<ρ₁或ρ>ρ₂时,交通流时间序列具有短程相关性,即密度的变化影响着标度指数的变化.另外分析了在不同慢车比率条件下时间序列的标度指数,发现慢车比率的变化 关键词： 混合交通流 去趋势波动分析 时间序列 长程相关     

The use of the Hurst exponent to predict changes in trends on the Warsaw Stock Exchange

The local properties of the time series of the evolution of share prices of 126 significant companies traded on the Warsaw Stock Exchange during the period between 1991-2008 have been investigated. The analysis was applied to daily financial returns. I have used the local DFA to obtain the Hurst exponent (diffusion coefficient) while searching for negative correlations by which changes of long-term trends would be effected. A certain evidence, proving that after the signature of anti-correlation-the drop in the Hurst exponent-the change in the trend and in the return rate of an investment is probable, was pointed out. Hence after further investigation this method may be useful as a part of an investment strategy. As the Warsaw Stock Exchange is relatively smaller and younger than other significant world Stock Exchanges-and as the developing market is less efficient-the generalization for others markets needs further investigation.     

On the scaling ranges of detrended fluctuation analysis for long-term memory correlated short series of data

We examine the scaling regime for the detrended fluctuation analysis (DFA)—the most popular method used to detect the presence of long-term memory in data and the fractal structure of time series. First, the scaling range for DFA is studied for uncorrelated data as a function of time series length L$L$ and the correlation coefficient of the linear regression R²$R^2$ at various confidence levels. Next, a similar analysis for artificial short series of data with long-term memory is performed. In both cases the scaling range λ$\lambda$ is found to change linearly—both with L$L$ and R²$R^2$. We show how this dependence can be generalized to a simple unified model describing the relation λ=λ(L,R²,H)$\lambda =\lambda (L,R^2,H)$ where H$H$ (1/2≤H≤1$1/2\le H\le 1$) stands for the Hurst exponent of the long range autocorrelated signal. Our findings should be useful in all applications of DFA technique, particularly for instantaneous (local) DFA where a huge number of short time series has to be analyzed at the same time, without possibility of checking the scaling range in each of them separately.     

Fractal growth of deposited films in tokamaks

Surface topography of some amorphous films from the T-10 tokamak has been analyzed by using the scanning tunnel microscope. Film surfaces on the scale from ∼10 nm to ∼100 μm have stochastic topography and a hierarchy of granularity. Fractal geometry and statistical physics techniques have been used to study a variety of irregular films within a common framework of the invariance under scaling. Quantitative analysis of a local fracture surface has been made. Experimental probability density functions of surface height increments resemble the Cauchy distribution rather than the Gaussian function. Stochastic topography of the film surface is characterized by the Hurst exponent in the range of 0.68-0.85, indicating non-trivial self-similarity of the structure. A fractality (porosity) of deposited films has to be considered as a critical issue of the tritium inventory in fusion devices. The process of film growth on plasma-facing materials (PFMs) in tokamaks is considered in a frame of the surface growth problem.     

Self-affine and ARX-models zonation of well logging data

Zonation of time series into models which their parameters are piecewise constant are important and well-studied problems. Geophysical well logging data often show a complex pattern due to their multifractal nature. In a multifractal system, any pieces of it are established by a distinct exponent that can characterize them. This feature has the capability to cluster them. Self-affine zonation by Auto Regressive model with exogenous inputs (ARX) is a new approach which places well logging segments in the clusters which are more self-affine against the other clusters. This approach was performed and compared with a conventional ARX zonation in the well logging data of three different oilfields in southern parts of Iran. The results showed a good accuracy for detecting homogeneous lithological segments and led to a precise interpretation process to update the reservoir architecture.     

The effects of observational correlated noises on multifractal detrended fluctuation analysis

We have numerically investigated the effects that observational correlated noises have on the generalized Hurst exponents, h(q)$h\left(q\right)$, estimated by using the multifractal generalization of detrended fluctuation analysis (MF-DFA). More precisely, artificially generated stochastic binomial multifractals with increased amount of colored noises were analyzed via MF-DFA. It has been recently shown that for moderate additions of white noise, the generalized Hurst exponents are significantly underestimated for q<2$q<2$ and they are nearly unchanged for q≥2$q\ge 2$ [J. Ludescher, M.I. Bogachev, J.W. Kantelhardt, A.Y. Schumann, A. Bunde, On spurious and corrupted multifractality: the effects of additive noise, short- term memory and periodic trends, Physica A 390 (2011) 2480–2490]. In this paper, we have found that h(q)$h\left(q\right)$ with q≥2$q\ge 2$ are also affected when correlated noises are considered. This is due to the fact that the spurious correlations influence the scaling behaviors associated to large fluctuations. The results obtained are significant for practical situations, where noises with different correlations are inherently present.     

The application of Hölder exponent to traffic congestion warning

In this paper, we applied multifractal modeling techniques to analyze the traffic data collected from the Beijing Yuquanying. The results indicated that multifractal characteristics obviously exist in the traffic system; the degree of fractality of these traffic data tends to increase as the traffic system becomes congested; the Hölder exponent that measures the local rate of fractality may be used as indicators to predict the presence of the traffic congestion.     

The local Hurst exponent of the financial time series in the vicinity of crashes on the Polish stock exchange market

We investigate the local fractal properties of the financial time series based on the whole history evolution (1991–2007) of the Warsaw Stock Exchange Index (WIG), connected with the largest developing financial market in Europe. Calculating the so-called local time-dependent Hurst exponent for the WIG time series we find the dependence between the behavior of the local fractal properties of the WIG time series and the crashes’ appearance on the financial market. We formulate the necessary conditions based on the behavior which have to be satisfied if the rupture or crash point is expected soon. As a result we show that the signal to sell or the signal to buy on the stock exchange market can be translated into evolution pattern. We also find a relation between the rate of the drop and the total correction the WIG index gains after the crash. The current situation on the market, particularly related to the recent Fed intervention in September ’07, is also discussed.     

Effects of Different Connectivity Topologies in Small World Networks on EEG-Like Activities

Based on our previously pulse-coupled integrate-and-fire neuron model in small world networks, we investigate the effects of different connectivity topologies on complex behavior of electroencephalographic-like signals produced by this model. We show that several times series analysis methods that are often used for analyzing complex behavior of electroencephalographic-like signals, such as reconstruction of the phase space, correlation dimension, fractal dimension, and the Hurst exponent within the rescaled range analysis (R/S). We find that the different connectivity topologies lead to different dynamical behaviors in models of integrate-and-fire neurons.     

Precise (m,k)-Zipf diagram analysis of mathematical and financial time series when m=6, k=2

For studying short-range time correlations in financial signals, we have envisaged to combine the Zipf method and the i-variability diagrams (VD) as useful tools. The 2-VD describes the local curvature short-range correlations. We have resulted into ranking the 2-VD data according to their frequency of occurrence. After having tested the ideas and estimated the error bars on a Brownian motion signal, we have examined two stocks, i.e. SGP and OXHP closing price and volume of transaction long series. A precise (m,k)-Zipf diagram analysis when m=6, k=2 has been shown to lead to a non-immediate information on the signal behavior, even taking into account error bars. The set of curvatures (translated into “words”) indicates a Brownian motion-like set for the closing price local curvature of such signals over a 6 day span. Moreover, it has been shown that the conjecture about a simple relationship between the Hurst exponent H and the ζ exponent of Zipf plots does not seem to be substantiated here.