Difference in nature of correlation between NASDAQ and BSE indices

We apply a recently developed wavelet based approach to characterize the correlation and scaling properties of non-stationary financial time series. This approach is local in nature and it makes use of wavelets from the Daubechies family for detrending purpose. The built-in variable windows in wavelet transform makes this procedure well suited for the non-stationary data. We analyze daily price of NASDAQ composite index for a period of 20 years, and BSE sensex index, over a period of 15 years. It is found that the long-range correlation, as well as fractal behavior for both the stock index values differ from each other significantly. Strong non-statistical long-range correlation is observed in BSE index, whose removal revealed a Gaussian random noise character for the corresponding fluctuation. The NASDAQ index, on the other hand, showed a multifractal behavior with long-range statistical correlation.     

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.     

Stochastic modeling approach to the incubation time of prionic diseases

Transmissible spongiform encephalopathies are neurodegenerative diseases for which prions are the attributed pathogenic agents. A widely accepted theory assumes that prion replication is due to a direct interaction between the pathologic (PrP(Sc)) form and the host-encoded (PrP(C)) conformation, in a kind of autocatalytic process. Here we show that the overall features of the incubation time of prion diseases are readily obtained if the prion reaction is described by a simple mean-field model. An analytical expression for the incubation time distribution then follows by associating the rate constant to a stochastic variable log normally distributed. The incubation time distribution is then also shown to be log normal and fits the observed BSE (bovine spongiform encephalopathy) data very well. Computer simulation results also yield the correct BSE incubation time distribution at low PrP(C) densities.     

极端事件再现时间长程相关性与群发性研究

利用百分位阈值方法定义极端事件,从极端事件再现时间的角度,研究了极端事件发生时间间隔的长程相关性.发现若原时间序列具有长程相关性,则它的极端事件再现时间序列也具有长程相关性,计算表明两者的标度指数α相当接近,这一特性与随机产生的再现时间序列有着本质的差别,再现时间序列的长程相关性是由原序列的长程相关性决定的.具有长程相关性的时间序列再现时间的概率分布明显不同于随机序列,其小值再现时间的概率较大,反映出极端事件的群发现象.本文根据这一特征定义了再现时间的群发性指数,发现时间序列的长程相关性是导     

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     

Stock Index Prediction Based on Time Series Decomposition and Hybrid Model

The stock index is an important indicator to measure stock market fluctuation, with a guiding role for investors’ decision-making, thus being the object of much research. However, the stock market is affected by uncertainty and volatility, making accurate prediction a challenging task. We propose a new stock index forecasting model based on time series decomposition and a hybrid model. Complete Ensemble Empirical Mode Decomposition with Adaptive Noise (CEEMDAN) decomposes the stock index into a series of Intrinsic Mode Functions (IMFs) with different feature scales and trend term. The Augmented Dickey Fuller (ADF) method judges the stability of each IMFs and trend term. The Autoregressive Moving Average (ARMA) model is used on stationary time series, and a Long Short-Term Memory (LSTM) model extracts abstract features of unstable time series. The predicted results of each time sequence are reconstructed to obtain the final predicted value. Experiments are conducted on four stock index time series, and the results show that the prediction of the proposed model is closer to the real value than that of seven reference models, and has a good quantitative investment reference value.     

Asset returns and volatility clustering in financial time series

An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation functions of absolute returns is actually directly related to the degree of clustering of large fluctuations within the financial time series. We also introduce an index to quantitatively measure the clustering behaviour of fluctuations in these time series and show that big losses in financial markets usually lump more severely than big gains. We further give examples to demonstrate that comparing to conventional methods, our index enables one to extract more information from the financial time series.     

Solving the BSE with an Integral Representation in Minkowski Space

Special method of solution of BSE in Minkowski space is presented. Perturbation theory integral representation is introduced for BSE and the applicability is discussed beyond the simplest kernel and constituent propagator approximation.     

红外导引头高速流场及其对光线传输影响的数值模拟

研究红外光线经过高速流场时由于折射产生的瞄视误差(BSE),对于红外末制导拦截弹的命中精度有重要意义。考虑高温真实气体效应,求解热化学非平衡Navier-Stokes(N-S)方程得到导引头的流场,采用光线追迹的方法,对红外光线经过流场后到达导引头光学窗口的瞄视误差进行了计算分析,研究了光线入射角、飞行马赫数、攻角、高度及红外导引头外形对瞄视误差的影响。     

基于概率密度分布型变化的突变检测新途径

对于一个稳定的动力系统而言,系统变量的概率密度具有较为稳定的分布型,而当系统的动力学结构发生变化后可能会导致系统变量的分布型发生不同程度的变化.鉴于此,本文从识别系统变量的概率密度分布的微小变化角度出发,将描述时间序列概率分布特征的偏度系数和峰度系数应用于时间序列的突变检测中.数值试验结果表明,偏度系数和峰度系数对突变信号具有很好的识别能力,进而揭示了一条检测突变的新途径.进一步的研究表明,新方法的检测结果对于子序列长度的选择具有较小的依赖性.     

Some examples of negative feedback in the Earth climate system

Temporal variability of daily time series for total solar irradiance at the top of the atmosphere, the Microwave Sounding Unit (MSU) based global, hemispherical and zonal average temperature for the lower troposphere and stratosphere together with 5 surface air temperature data, measured at various meteorological stations have been studied by means of the structure function. From the growth rate of the structure function in the time interval between 32 and 4096 days it follows that the variability of the series represents an anti-persistent (AP) behavior. This property in turn shows a domination of negative feedback in the physical system generating the lower tropospheric temperature variability. Distribution of the increments over various ranges and correlations between them are calculated in order to determine the quantitative characteristics describing temporal variability.     

Calibration of a Bonner sphere extension (BSE) for high-energy neutron spectrometry

In a recent work, we constructed modular multisphere system which expands upon the design of an existing, commercially available Bonner sphere system by adding concentric shells of copper, tungsten, or lead. Our modular multisphere system is referred to as the Bonner Sphere Extension (BSE). The BSE was tested in a high energy neutron beam (thermal to 800 MeV) at Los Alamos Neutron Science Center and provided improvement in the measurement of the neutron spectrum in the energy regions above 20 MeV when compared to the standard BSS (Burgett, 2008 and Howell et al., 2009).However, when the initial test of the system was carried-out at LANSCE, the BSE had not yet been calibrated. Therefore the objective of the present study was to perform calibration measurements. These calibration measurements were carried out using monoenergetic neutron ISO 8529-1 reference beams at the Physikalisch-Technische Bundesanstalt (PTB), Braunschweig, Germany. The following monoenergetic reference beams were used for these experiments: 14.8 MeV, 1.2 MeV, 565 keV, and 144 keV. Response functions for the BSE were calculated using the Monte Carlo N-Particle Code, eXtended (MCNPX). The percent difference between the measured and calculated responses was calculated for each sphere and energy. The difference between measured and calculated responses for individual spheres ranged between 7.9 % and 16.7 % and the arithmetic mean for all spheres was (10.9 ± 1.8) %. These sphere specific correction factors will be applied for all future measurements carried-out with the BSE.     

Multifractal detrended fluctuation analysis of the Chinese stock index futures market

Based on the multifractal detrended fluctuation analysis (MF-DFA) and multifractal spectrum analysis, this paper empirically studies the multifractal properties of the Chinese stock index futures market. Using a total of 2942 ten-minute closing prices, we find that the Chinese stock index futures returns exhibit long-range correlations and multifractality, making the single-scale index insufficient to describe the futures price fluctuations. Further, by comparing the original time series with the transformed time series through shuffling procedure and phase randomization procedure, we show the existence of two different sources of the multifractality for the Chinese stock index futures market. Our results suggest that the multifractality is mainly due to long-range correlations, although the fat-tailed probability distributions also contribute to such multifractal behaviour.     

可压缩混合层光学传输效应理论分析与实验研究

利用量级分析和风洞实验研究了可压缩混合层流动第二发展阶段气动光学效应的规律性.理论分析主要针对二维大尺度结构存在时视线误差(boresight error,BSE)与混合层流场及其特征参数之间的关系进行了讨论.研究结果表明:在混合层发展的第二阶段,时均BSE与对流马赫数呈现出复杂的非线性关系;同时还发现流场中的湍动能和混合层界面处的雷诺应力分布也是影响时均BSE的重要因素;采用细光束穿越混合层流场的风洞试验结果主要证实了时均BSE与对流马赫数之间的非线性关系.     

Entropy correlation distance method. The Euro introduction effect on the Consumer Price Index

The idea of entropy was introduced in thermodynamics, but it can be used in time series analysis. There are various ways to define and measure the entropy of a system. Here the so called Theil index, which is often used in economy and finance, is applied as it were an entropy measure. In this study the time series are remapped through the Theil index. Then the linear correlation coefficient between the remapped time series is evaluated as a function of time and time window size and the corresponding statistical distance is defined. The results are compared with the the usual correlation distance measure for the time series themselves. As an example this entropy correlation distance method (ECDM) is applied to several series, as those of the Consumer Price Index (CPI) in order to test some so called globalisation processes. Distance matrices are calculated in order to construct two network structures which are next analysed. The role of two different time scales introduced by the Theil index and a correlation coefficient is also discussed. The evolution of the mean distance between the most developed countries is presented and the globalisation periods of the prices discussed. It is finally shown that the evolution of mean distance between the most developed countries on several networks follows the process of introducing the European currency — the Euro. It is contrasted to the GDP based analysis. It is stressed that the entropy correlation distance measure is more suitable in detecting significant changes, like a globalisation process than the usual statistical (correlation based) measure.     

A time-series approach to measuring node similarity in networks and its application to community detection

A central concept in network analysis is that of similarity between nodes. In this paper, we introduce a dynamic time-series approach to quantifying the similarity between nodes in networks. The problem of measuring node similarity is exquisitely embedded into the framework of time series for state evolution of nodes. We develop a deterministic parameter-free diffusion model to drive the dynamic evolution of node states, and produce a unique time series for each source node. Then we introduce a measure quantifying how far all the other nodes are located from each source one. Following this measure, a quantity called dissimilarity index is proposed to signify the extent of similarity between nodes. Thereof, our dissimilarity index gives a deep and natural integration between the local and global perspectives of topological structure of networks. Furthermore, we apply our dissimilarity index to unveil community structure in networks, which verifies the proposed dissimilarity index.     

Probability distribution function and multiscaling properties in the Korean stock market

We consider the probability distribution function (pdf) and the multiscaling properties of the index and the traded volume in the Korean stock market. We observed the power law of the pdf at the fat tail region for the return, volatility, the traded volume, and changes of the traded volume. We also investigate the multifractality in the Korean stock market. We consider the multifractality by the detrended fluctuation analysis (MFDFA). We observed the multiscaling behaviors for index, return, traded volume, and the changes of the traded volume. We apply MFDFA method for the randomly shuffled time series to observe the effects of the autocorrelations. The multifractality is strongly originated from the long time correlations of the time series.     

Correlation between the molecular chirality index and the spontaneous polarisation in series of smectic C* liquid crystals

A correlation between spontaneous polarisation and the chirality index of the constituent molecules, multiplied by the molecular transverse dipole, has been considered for five series of ferroelectric smectic C* liquid crystals. A good correlation has been found within each series, and it has been shown that the scaled chirality index may be used to estimate the spontaneous polarisation in a series of smectic C* mesogens with small systematic changes of the molecular structure. At the same time one cannot expect any significant correlation between the polarisation and the chirality index for smectic C* materials of sufficiently different structure because the spontaneous polarisation may be significantly effected by some details of the molecule's structure including the orientation of the transverse dipole with respect to the primary short molecular axis.     

滑动移除小波分析法在动力学结构突变检验中的应用

标度指数计算的即时性与准确性对相关时间序列的动力学结构突变分析至关重要,然而现有方法在即时性与准确性上一直无法兼顾.将小波分析方法与滑动移除窗口技术相融合,提出一种新的动力学结构突变检测方法——滑动移除小波分析法.通过选取不同的滑动移除窗口,分别对构建的线性、非线性理想时间序列进行动力学结构突变分析,结果表明不论是线性时间序列还是非线性时间序列,滑动移除小波分析能够准确地检测到序列的动力学结构突变点及突变区间,对于滑动移除窗口长度依赖性较小,具有很强的稳定性,而且在计算速度上明显优于滑动移除重标极差和滑动移除方差分析方法,将在大数据处理中具有一定的优势.同时分别对线性、非线性理想时间序列添加高斯白噪声,结果表明滑动移除小波分析具有很强的抗噪能力,能够准确地检测到加噪后序列的突变点.对佛坪站日最高温度实测资料的动力学结构突变的准确检测进一步验证了该方法的有效性.滑动移除小波分析法可为具有相关性的系统动力学结构突变的快速、准确检测提供一种途径.     

Modeling,validation and performance evaluation of body shadowing effect in ultra-wideband networks

Ultra-Wideband (UWB) is an emerging wireless technology with high data rates and low transmission power, which is very suitable for high-speed, short-range multimedia applications such as the Internet Protocol Television (IPTV) indoor distribution. However, human body shadowing is very common in any office or household environment, and can dramatically affect the UWB link performance when the significant propagation paths are blocked. In this paper, we build an analytical model for the Body Shadowing Effect (BSE) on indoor UWB channels based on the IEEE 802.15.3a standard and the channel reciprocity property. The BSE model and the reciprocity property of UWB channels in both the baseband and the radio frequency band are validated with extensive measurement. We further apply the extended BSE model in the analysis of application-layer Quality-of-Service (QoS) metrics for IPTV services, and derive the packet loss rate of the IPTV streams analytically and obtain the admission region to ensure the QoS. The work is of particular importance for the performance evaluation of UWB networks and the service provisioning for IPTV indoor distribution.