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Data Analysis papers — page 119

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Detrending Moving Average variance: a derivation of the scaling law
The Hurst exponent H of long range correlated series can be estimated by means of the Detrending Moving Average (DMA) method. A computational tool defined within the algorithm is the generalized…
Sergio Arianos, Anna CarboneAug 31, 2006
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Monte Carlo simulation of virtual Compton scattering below pion threshold
This paper describes the Monte Carlo simulation developed specifically for the VCS experiments below pion threshold that have been performed at MAMI and JLab. This simulation generates events…
P. Janssens, L. Van Hoorebeke, H. Fonvieille et al.Aug 31, 2006
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Power-law distribution of individual Hirsch indices, the comparison of merits in different fields, and the relation to a Pareto distribution
A data set of Hirsch indices, h, for Finnish scientists in certain fields is statistically analyzed and fitted to h(n) =Pnp for the n-th most-quoted scientist. The precoefficient P is…
Pekka PyykkoAug 29, 2006
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Coupled continuous time random walks in finance
Continuous time random walks (CTRWs) are used in physics to model anomalous diffusion, by incorporating a random waiting time between particle jumps. In finance, the particle jumps are log-returns…
Mark M. Meerschaert, Enrico ScalasAug 29, 2006
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Maximizing Modularity is hard
Several algorithms have been proposed to compute partitions of networks into communities that score high on a graph clustering index called modularity. While publications on these algorithms…
U. Brandes, D. Delling, M. Gaertler et al.Aug 25, 2006
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Signal discovery in sparse spectra: a Bayesian analysis
A Bayesian analysis of the probability of a signal in the presence of background is developed, and criteria are proposed for claiming evidence for, or the discovery of a signal. The method is general…
Allen Caldwell, Kevin KröningerAug 25, 2006
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The art of fitting financial time series with Levy stable distributions
This paper illustrates a procedure for fitting financial data with α-stable distributions. After using all the available methods to evaluate the distribution parameters, one can qualitatively…
Enrico Scalas, Kyungsik KimAug 23, 2006
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Extract Signals by Fitting χ2 Distribution of the Kinematic Fit
In measuring the radiative decays at BESII, contribution of the background is serious in most of the final states. To extract the number of signal events, a fit to the χ2 distribution of…
Ping Rong-Gang, Mo Xiao-Hu, Du Shu-Xian et al.Aug 22, 2006
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Updating Probabilities
We show that Skilling's method of induction leads to a unique general theory of inductive inference, the method of Maximum relative Entropy (ME). The main tool for updating probabilities is the…
Ariel Caticha, Adom GiffinAug 17, 2006
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The Error in the Two Envelopes Paradox
The "paradox" arises in the Two Envelopes Paradox from the incorrect formulation of the argument. The infomation given is misused and therefore the results are incorrect for the question…
Adom GiffinAug 17, 2006
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Information filtering via Iterative Refinement
With the explosive growth of accessible information, expecially on the Internet, evaluation-based filtering has become a crucial task. Various systems have been devised aiming to sort through large…
P. Laureti, L. Moret, Y. -C. Zhang et al.Aug 16, 2006
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The dependence structure for PARMA models with alpha-stable innovations
In this paper we investigate the dependence structure for PARMA models (i.e. ARMA models with periodic coefficients) with symmetric alpha-stable innovations. In this case the covariance function is…
Joanna Nowicka-Zagrajek, Agnieszka WylomanskaAug 13, 2006
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Medium and Small Scale Analysis of Financial Data
A stochastic analysis of financial data is presented. In particular we investigate how the statistics of log returns change with different time delays τ. The scale dependent behaviour of financial…
Andreas P. Nawroth, Joachim PeinkeAug 9, 2006
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Hoelder-exponent-MFDFA-based test for long-range correlations in pseudorandom sequences
We discuss the problem for detecting long-range correlations in sequences of values obtained by generators of pseudo-random numbers. The basic idea is that the Hölder exponent for a sufficiently…
Nikolay K. Vitanov, Kh. Tarnev, H. KantzAug 7, 2006
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Multiscale reconstruction of time series
A new method is proposed which allows a reconstruction of time series based on higher order multiscale statistics given by a hierarchical process. This method is able to model the time series not…
A. P. Nawroth, J. PeinkeAug 7, 2006
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Fractal Analysis of River Flow Fluctuations (with Erratum)
We use some fractal analysis methods to study river flow fluctuations. The result of the Multifractal Detrended Fluctuation Analysis (MF-DFA) shows that there are two crossover timescales at…
M. Sadegh Movahed, Evalds HermanisAug 4, 2006
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Multifractal Properties of the Ukraine Stock Market
Recently the statistical characterizations of financial markets based on physics concepts and methods attract considerable attentions. We used two possible procedures of analyzing multifractal…
A. Ganchuk, V. Derbentsev, V. SolovievAug 1, 2006
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Critical dynamics and global persistence exponent on Taiwan financial market
We investigated the critical dynamics on the daily Taiwan stock exchange index (TSE) from 1971 to 2005, and the 5-min intraday data from 1996 to 2005. A global persistence exponent θp was…
I-Chun Chen, Hsen-Che Tseng, Ping-Cheng Li et al.Aug 1, 2006
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Correlation of worldwide markets' entropies: time-scale approach
We use a new method of studying the Hurst exponent with time and scale dependency. This new approach allow us to recover the major events affecting worldwide markets (such as the September 11th…
J. A. O. Matos, S. M. A. Gama, H. J. Ruskin et al.Jul 31, 2006
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Minimum Entropy Density Method for the Time Series Analysis
The entropy density is an intuitive and powerful concept to study the complicated nonlinear processes derived from physical systems. We develop the minimum entropy density method (MEDM) to detect the…
Jeong Won Lee, Joongwoo Brian Park, Hang-Hyun Jo et al.Jul 30, 2006
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Frequency analysis of tick quotes on the foreign exchange market and agent-based modeling: A spectral distance approach
High-frequency financial data of the foreign exchange market (EUR/CHF, EUR/GBP, EUR/JPY, EUR/NOK, EUR/SEK, EUR/USD, NZD/USD, USD/CAD, USD/CHF, USD/JPY, USD/NOK, and USD/SEK) are analyzed by utilizing…
Aki-Hiro SatoJul 29, 2006
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Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays
In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of…
Giuseppe Garofalo, Alessandro SansoneJul 29, 2006
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Beyond the average: detecting global singular nodes from local features in complex networks
Deviations from the average can provide valuable insights about the organization of natural systems. This article extends this important principle to the more systematic identification and analysis…
Luciano da F. Costa, Marcus Kaiser, Claus HilgetagJul 29, 2006
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On the maximum drawdown during speculative bubbles
A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls…
Giulia Rotundo, Mauro NavarraJul 27, 2006
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Econophysics of interest rates and the role of monetary policy
This paper presents empirical evidence using recently developed techniques in econophysics suggesting that the degree of long-range dependence in interest rates depends on the conduct of monetary…
Daniel O. Cajueiro, Benjamin M. TabakJul 26, 2006
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