266 research outputs found
On the interplay between multiscaling and stocks dependence
We find a nonlinear dependence between an indicator of the degree of
multiscaling of log-price time series of a stock and the average correlation of
the stock with respect to the other stocks traded in the same market. This
result is a robust stylized fact holding for different financial markets. We
investigate this result conditional on the stocks' capitalization and on the
kurtosis of stocks' log-returns in order to search for possible confounding
effects. We show that a linear dependence with the logarithm of the
capitalization and the logarithm of kurtosis does not explain the observed
stylized fact, which we interpret as being originated from a deeper
relationship.Comment: 19 pages, 8 figures, 9 table
Long-range fluctuations and multifractality in connectivity density time series of a wind speed monitoring network
This paper studies the daily connectivity time series of a wind
speed-monitoring network using multifractal detrended fluctuation analysis. It
investigates the long-range fluctuation and multifractality in the residuals of
the connectivity time series. Our findings reveal that the daily connectivity
of the correlation-based network is persistent for any correlation threshold.
Further, the multifractality degree is higher for larger absolute values of the
correlation threshol
A critical look at power law modelling of the Internet
This paper takes a critical look at the usefulness of power law models of the
Internet. The twin focuses of the paper are Internet traffic and topology
generation. The aim of the paper is twofold. Firstly it summarises the state of
the art in power law modelling particularly giving attention to existing open
research questions. Secondly it provides insight into the failings of such
models and where progress needs to be made for power law research to feed
through to actual improvements in network performance.Comment: To appear Computer Communication
A New Estimator of Intrinsic Dimension Based on the Multipoint Morisita Index
The size of datasets has been increasing rapidly both in terms of number of
variables and number of events. As a result, the empty space phenomenon and the
curse of dimensionality complicate the extraction of useful information. But,
in general, data lie on non-linear manifolds of much lower dimension than that
of the spaces in which they are embedded. In many pattern recognition tasks,
learning these manifolds is a key issue and it requires the knowledge of their
true intrinsic dimension. This paper introduces a new estimator of intrinsic
dimension based on the multipoint Morisita index. It is applied to both
synthetic and real datasets of varying complexities and comparisons with other
existing estimators are carried out. The proposed estimator turns out to be
fairly robust to sample size and noise, unaffected by edge effects, able to
handle large datasets and computationally efficient
Modelling the Self-similarity in Complex Networks Based on Coulomb's Law
Recently, self-similarity of complex networks have attracted much attention.
Fractal dimension of complex network is an open issue. Hub repulsion plays an
important role in fractal topologies. This paper models the repulsion among the
nodes in the complex networks in calculation of the fractal dimension of the
networks. The Coulomb's law is adopted to represent the repulse between two
nodes of the network quantitatively. A new method to calculate the fractal
dimension of complex networks is proposed. The Sierpinski triangle network and
some real complex networks are investigated. The results are illustrated to
show that the new model of self-similarity of complex networks is reasonable
and efficient.Comment: 25 pages, 11 figure
Fractal Physiology and the Fractional Calculus: A Perspective
This paper presents a restricted overview of Fractal Physiology focusing on the complexity of the human body and the characterization of that complexity through fractal measures and their dynamics, with fractal dynamics being described by the fractional calculus. Not only are anatomical structures (Grizzi and Chiriva-Internati, 2005), such as the convoluted surface of the brain, the lining of the bowel, neural networks and placenta, fractal, but the output of dynamical physiologic networks are fractal as well (Bassingthwaighte et al., 1994). The time series for the inter-beat intervals of the heart, inter-breath intervals and inter-stride intervals have all been shown to be fractal and/or multifractal statistical phenomena. Consequently, the fractal dimension turns out to be a significantly better indicator of organismic functions in health and disease than the traditional average measures, such as heart rate, breathing rate, and stride rate. The observation that human physiology is primarily fractal was first made in the 1980s, based on the analysis of a limited number of datasets. We review some of these phenomena herein by applying an allometric aggregation approach to the processing of physiologic time series. This straight forward method establishes the scaling behavior of complex physiologic networks and some dynamic models capable of generating such scaling are reviewed. These models include simple and fractional random walks, which describe how the scaling of correlation functions and probability densities are related to time series data. Subsequently, it is suggested that a proper methodology for describing the dynamics of fractal time series may well be the fractional calculus, either through the fractional Langevin equation or the fractional diffusion equation. A fractional operator (derivative or integral) acting on a fractal function, yields another fractal function, allowing us to construct a fractional Langevin equation to describe the evolution of a fractal statistical process. Control of physiologic complexity is one of the goals of medicine, in particular, understanding and controlling physiological networks in order to ensure their proper operation. We emphasize the difference between homeostatic and allometric control mechanisms. Homeostatic control has a negative feedback character, which is both local and rapid. Allometric control, on the other hand, is a relatively new concept that takes into account long-time memory, correlations that are inverse power law in time, as well as long-range interactions in complex phenomena as manifest by inverse power-law distributions in the network variable. We hypothesize that allometric control maintains the fractal character of erratic physiologic time series to enhance the robustness of physiological networks. Moreover, allometric control can often be described using the fractional calculus to capture the dynamics of complex physiologic networks
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