Fractional Brownian motion as a rough surface. (English) Zbl 07893014
MSC:
82-XX
Found 187 Documents (Results 1–100)
A multifractal detrended fluctuation analysis approach using generalized functions. (English) Zbl 07845830
MSC:
82-XX
Stability, collapse and hyperchaos in a class of tri-trophic predator-prey models. (English) Zbl 07743297
MSC:
82-XX
On highly skewed fractional log-stable noise sequences and their application. (English) Zbl 07731481
Forecasting the elasticity of variance with LSTM recurrent neural networks. (English) Zbl 1524.91114
Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity. (English) Zbl 1512.91134
Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (English) Zbl 07642780
MSC:
82-XX
Equity premium prediction: taking into account the role of long, even asymmetric, swings in stock market behavior. (English) Zbl 07639878
MSC:
82-XX
Entanglement witness and linear entropy in an open system influenced by FG noise. (English) Zbl 1508.81913
Practical finite difference method for solving multi-dimensional Black-Scholes model in fractal market. (English) Zbl 1498.91499
Quantification of fracture roughness by change probabilities and Hurst exponents. (English) Zbl 1495.86013
Corrupted bifractal features in finite uncorrelated power-law distributed data. (English) Zbl 1528.62048
MSC:
62M10
A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework. (English) Zbl 1493.62500
A novel method for control performance assessment with fractional-order signal processing. (English) Zbl 1492.94035
Domański, Paweł D. (ed.) et al., Outliers in control engineering. Fractional calculus perspective. Based on the 20th world congress of the International Federation of Automatic Control (IFAC), Toulouse, France, July 9–14, 2017. Berlin: De Gruyter. Fract. Calc. Appl. Sci. Eng. 10, 167-186 (2022).
Backlash quantification in control systems using noises with outliers: a benchmark study. (English) Zbl 1492.93197
Domański, Paweł D. (ed.) et al., Outliers in control engineering. Fractional calculus perspective. Based on the 20th world congress of the International Federation of Automatic Control (IFAC), Toulouse, France, July 9–14, 2017. Berlin: De Gruyter. Fract. Calc. Appl. Sci. Eng. 10, 149-156 (2022).
Optimal Hölder continuity and hitting probabilities for SPDEs with rough fractional noises. (English) Zbl 1491.60100
Analog of the Kolmogorov equations for one-dimensional stochastic differential equations controlled by fractional Brownian motion with Hurst exponent \(H\in (0,1)\). (English. Russian original) Zbl 1498.60240
Differ. Equ. 58, No. 1, 9-14 (2022); translation from Differ. Uravn. 58, No. 1, 11-16 (2022).
An entropy-based estimator of the Hurst exponent in fractional Brownian motion. (English) Zbl 07485932
MSC:
82-XX
Testing stationarity of the detrended price return in stock markets. (English) Zbl 07483618
MSC:
82-XX
Hurst exponent estimation of fractional surfaces for mammogram images analysis. (English) Zbl 07482559
MSC:
82-XX
Selfsimilar diffusions. (English) Zbl 1505.60073
The closed-form option pricing formulas under the sub-fractional Poisson volatility models. (English) Zbl 1485.91232
A theoretical framework for the TTA algorithm. (English) Zbl 07482443
MSC:
82-XX
On the distinction between fractal and seasonal dependencies in time series data. (English) Zbl 07468068
An efficient maximum likelihood estimator for two-dimensional fractional Brownian motion. (English) Zbl 07465356
MSC:
62-XX
Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory. (English) Zbl 1533.60047
Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility. (English) Zbl 07456712
MSC:
82-XX
Multifractal detrended fluctuation analysis approach to study period of crisis of YES bank. (English) Zbl 1499.91064
The non-linear relationship between randomness and scaling properties such as fractal dimensions and Hurst exponent in distributed signals. (English) Zbl 1459.94034
MSC:
94A12
Characterization of complex data functions through local persistence of increments. (English) Zbl 1451.62096
A novel \(R/S\) fractal analysis and wavelet entropy characterization approach for robust forecasting based on self-similar time series modeling. (English) Zbl 1482.91200
Generalized Bernoulli process with long-range dependence and fractional binomial distribution. (English) Zbl 1474.60109
Time series analysis of ether cryptocurrency prices: efficiency, predictability, and arbitrage on exchange rates. (English) Zbl 1457.91428
Pichl, Lukáš (ed.) et al., Advanced studies of financial technologies and cryptocurrency markets. Springer: Singapore. 183-196 (2020).
Control performance assessment of the disturbance with fractional order dynamics. (English) Zbl 1454.93171
Lacarbonara, Walter (ed.) et al., Nonlinear dynamics and control. Proceedings of the first international nonlinear dynamics conference, NODYCON 2019, Rome, Italy, February 17–20, 2019. Volume II. Cham: Springer. 255-264 (2020).
Control quality assessment of nonlinear model predictive control using fractal and entropy measures. (English) Zbl 1454.93063
Lacarbonara, Walter (ed.) et al., Nonlinear dynamics and control. Proceedings of the first international nonlinear dynamics conference, NODYCON 2019, Rome, Italy, February 17–20, 2019. Volume II. Cham: Springer. 147-156 (2020).
Market efficiency, liquidity, and multifractality of Bitcoin: a dynamic study. (English) Zbl 1437.91421
Limit theorems for functions of a fractional Brownian motion. (English. Russian original) Zbl 1437.62088
Theory Probab. Appl. 65, No. 1, 32-48 (2020); translation from Teor. Veroyatn. Primen. 65, No. 1, 42-62 (2020).
Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion. (English) Zbl 1440.60027
Exploring the financial risk of a temperature index: a fractional integrated approach. (English) Zbl 1430.91107
General fractal topography: an open mathematical framework to characterize and model mono-scale-invariances. (English) Zbl 1468.28006
MSC:
28A80
Method for estimating the Hurst exponent of fractional Brownian motion. (English. Russian original) Zbl 1442.62048
Dokl. Math. 100, No. 3, 564-567 (2019); translation from Dokl. Akad. Nauk, Ross. Akad. Nauk 489, No. 5, 456-460 (2019).
Correlation between the Hurst exponent and the maximal Lyapunov exponent: examining some low-dimensional conservative maps. (English) Zbl 1514.37104
Multifractal detrended cross correlation analysis of neuro-degenerative diseases – an in depth study. (English) Zbl 1515.92039
MSC:
92C50
A novel method for control performance assessment with fractional order signal processing and its application to semiconductor manufacturing. (English) Zbl 1461.94039
Degradation trend prediction for rotating machinery using long-range dependence and particle filter approach. (English) Zbl 1461.62207
An empirical study on using Hurst exponent estimation methods for pricing call options by fractional Black-Scholes model. (English) Zbl 1409.91238
Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates. (English) Zbl 1499.62118
The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios. (English) Zbl 1400.91675
Time structure of complex systems: a methodical review. (Russian. English summary) Zbl 1413.62137
Properties and Hurst exponent estimation of the circularly-symmetric fractional Brownian motion. (English) Zbl 1379.60044
Modeling stock market dynamics with stochastic differential equation driven by fractional Brownian motion: a Bayesian method. (English) Zbl 1463.62351
Application of fractal on the fluids. (English) Zbl 1444.76082
Jia, Yingmin (ed.) et al., Proceedings of the 2015 Chinese intelligent systems conference, CISC’15, Yangzhou, China. Volume 2. Berlin: Springer. Lect. Notes Electr. Eng. 360, 463-469 (2016).
On the relationship between the Hurst exponent, the ratio of the mean square successive difference to the variance, and the number of turning points. (English) Zbl 1400.62199
MSC:
62M10
Statistical analysis of digital images of periodic fibrous structures using generalized Hurst exponent distributions. (English) Zbl 1400.94009
Non linear approach to study the dynamics of neurodegenerative diseases by multifractal detrended cross-correlation analysis–A quantitative assessment on gait disease. (English) Zbl 1400.92248
Hurst exponent estimation of self-affine time series using quantile graphs. (English) Zbl 1400.94048
MSC:
94A12
Evidence of chaos in EEG signals: an application to BCI. (English) Zbl 1359.92065
Azar, Ahmad Taher (ed.) et al., Advances in chaos theory and intelligent control. Cham: Springer (ISBN 978-3-319-30338-3/hbk; 978-3-319-30340-6/ebook). Studies in Fuzziness and Soft Computing 337, 609-625 (2016).
Simulation of collisionless ultrarelativistic electron-proton plasma dynamics in a self-consistent electromagnetic field. (English. Russian original) Zbl 1417.82027
Comput. Math. Math. Phys. 56, No. 9, 1611-1619 (2016); translation from Zh. Vychisl. Mat. Mat. Fiz. 56, No. 9, 1635-1644 (2016).
Alternative measure of multifractal content and its application in finance. (English) Zbl 1415.91328
On fractal nature of groundwater level fluctuations due to rainfall process. (English) Zbl 1355.37094
Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents? (English) Zbl 1400.60048
MSC:
60G18
Hurst exponent of very long birth time series in XX century Romania. Social and religious aspects. (English) Zbl 1400.91446
Fractal and multifractal analysis of the rise of oxygen in Earth’s early atmosphere. (English) Zbl 1353.86021
Empiric analysis on fractal characteristics of freeway traffic flow. (Empiric alanalysis on fractal characteristics of freeway traffic flow.) (Chinese. English summary) Zbl 1349.90201
Introducing an interpolation method to efficiently implement an approximate maximum likelihood estimator for the Hurst exponent. (English) Zbl 1342.65024
Wavelet and fractal methods with environmental applications. (English) Zbl 1332.62362
Siddiqi, Abul Hasan (ed.) et al., Mathematical models, methods and applications. Papers based on invited and contributory talks given at the 11th international biennial conference on emerging mathematical methods, models and algorithms for science and technology, Greater Noida, India, December 15–16, 2012. Singapore: Springer (ISBN 978-981-287-971-4/hbk; 978-981-287-973-8/ebook). Industrial and Applied Mathematics, 173-195 (2015).
On the fractal characterization of a system for tradings on Eurozone stocks. (English) Zbl 1418.91487
Faggini, Marisa (ed.) et al., Complexity in economics: cutting edge research. Cham: Springer. New Econ. Windows, 63-80 (2014).
Long range dependence of the Shanghai stock market and pricing of European option. (Chinese. English summary) Zbl 1313.91200
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