Unfolding the procedure of characterizing recorded ultra low frequency, kHZ and MHz electromagetic anomalies prior to the L'Aquila earthquake as pre-seismic ones. Part I

Ultra low frequency, kHz and MHz electromagnetic anomalies were recorded prior to the L'Aquila catastrophic earthquake that occurred on April 6, 2009. The main aims of this contribution are: (i) To suggest a procedure for the designation of detected EM anomalies as seismogenic ones. We do not expect to be possible to provide a succinct and solid definition of a pre-seismic EM emission. Instead, we attempt, through a multidisciplinary analysis, to provide elements of a definition. (ii) To link the detected MHz and kHz EM anomalies with equivalent last stages of the L'Aquila earthquake preparation process. (iii) To put forward physically meaningful arguments to support a way of quantifying the time to global failure and the identification of distinguishing features beyond which the evolution towards global failure becomes irreversible. The whole effort is unfolded in two consecutive parts. We clarify we try to specify not only whether or not a single EM anomaly is pre-seismic in itself, but mainly whether a combination of kHz, MHz, and ULF EM anomalies can be characterized as pre-seismic one

L\'{e}vy scaling: the Diffusion Entropy Analysis applied to DNA sequences

We address the problem of the statistical analysis of a time series generated by complex dynamics with a new method: the Diffusion Entropy Analysis (DEA) (Fractals, {\bf 9}, 193 (2001)). This method is based on the evaluation of the Shannon entropy of the diffusion process generated by the time series imagined as a physical source of fluctuations, rather than on the measurement of the variance of this diffusion process, as done with the traditional methods. We compare the DEA to the traditional methods of scaling detection and we prove that the DEA is the only method that always yields the correct scaling value, if the scaling condition applies. Furthermore, DEA detects the real scaling of a time series without requiring any form of de-trending. We show that the joint use of DEA and variance method allows to assess whether a time series is characterized by L\'{e}vy or Gauss statistics. We apply the DEA to the study of DNA sequences, and we prove that their large-time scales are characterized by L\'{e}vy statistics, regardless of whether they are coding or non-coding sequences. We show that the DEA is a reliable technique and, at the same time, we use it to confirm the validity of the dynamic approach to the DNA sequences, proposed in earlier work.Comment: 24 pages, 9 figure

Effectiveness of Measures of Performance During Speculative Bubbles

Statistical analysis of financial data most focused on testing the validity of Brownian motion (Bm). Analysis performed on several time series have shown deviation from the Bm hypothesis, that is at the base of the evaluation of many financial derivatives. We inquiry in the behavior of measures of performance based on maximum drawdown movements (MDD), testing their stability when the underlying process deviates from the Bm hypothesis. In particular we consider the fractional Brownian motion (fBm), and fluctuations estimated empirically on raw market data. The case study of the rising part of speculative bubbles is reported

A brief history of long memory: Hurst, Mandelbrot and the road to ARFIMA

Long memory plays an important role in many fields by determining the behaviour and predictability of systems; for instance, climate, hydrology, finance, networks and DNA sequencing. In particular, it is important to test if a process is exhibiting long memory since that impacts the accuracy and confidence with which one may predict future events on the basis of a small amount of historical data. A major force in the development and study of long memory was the late Benoit B. Mandelbrot. Here we discuss the original motivation of the development of long memory and Mandelbrot's influence on this fascinating field. We will also elucidate the sometimes contrasting approaches to long memory in different scientific communitiesComment: 40 page

Horizontal visibility graphs transformed from fractional Brownian motions: Topological properties versus Hurst index

Nonlinear time series analysis aims at understanding the dynamics of stochastic or chaotic processes. In recent years, quite a few methods have been proposed to transform a single time series to a complex network so that the dynamics of the process can be understood by investigating the topological properties of the network. We study the topological properties of horizontal visibility graphs constructed from fractional Brownian motions with different Hurst index $H\in(0,1)$. Special attention has been paid to the impact of Hurst index on the topological properties. It is found that the clustering coefficient $C$ decreases when $H$ increases. We also found that the mean length $L$ of the shortest paths increases exponentially with $H$ for fixed length $N$ of the original time series. In addition, $L$ increases linearly with respect to $N$ when $H$ is close to 1 and in a logarithmic form when $H$ is close to 0. Although the occurrence of different motifs changes with $H$, the motif rank pattern remains unchanged for different $H$. Adopting the node-covering box-counting method, the horizontal visibility graphs are found to be fractals and the fractal dimension $d_B$ decreases with $H$. Furthermore, the Pearson coefficients of the networks are positive and the degree-degree correlations increase with the degree, which indicate that the horizontal visibility graphs are assortative. With the increase of $H$, the Pearson coefficient decreases first and then increases, in which the turning point is around $H=0.6$. The presence of both fractality and assortativity in the horizontal visibility graphs converted from fractional Brownian motions is different from many cases where fractal networks are usually disassortative.Comment: 12 pages, 8 figure

Multifractal Characterization of Protein Contact Networks

The multifractal detrended fluctuation analysis of time series is able to reveal the presence of long-range correlations and, at the same time, to characterize the self-similarity of the series. The rich information derivable from the characteristic exponents and the multifractal spectrum can be further analyzed to discover important insights about the underlying dynamical process. In this paper, we employ multifractal analysis techniques in the study of protein contact networks. To this end, initially a network is mapped to three different time series, each of which is generated by a stationary unbiased random walk. To capture the peculiarities of the networks at different levels, we accordingly consider three observables at each vertex: the degree, the clustering coefficient, and the closeness centrality. To compare the results with suitable references, we consider also instances of three well-known network models and two typical time series with pure monofractal and multifractal properties. The first result of notable interest is that time series associated to proteins contact networks exhibit long-range correlations (strong persistence), which are consistent with signals in-between the typical monofractal and multifractal behavior. Successively, a suitable embedding of the multifractal spectra allows to focus on ensemble properties, which in turn gives us the possibility to make further observations regarding the considered networks. In particular, we highlight the different role that small and large fluctuations of the considered observables play in the characterization of the network topology

Long-Range Dependence in Financial Markets: a Moving Average Cluster Entropy Approach

A perspective is taken on the intangible complexity of economic and social systems by investigating the underlying dynamical processes that produce, store and transmit information in financial time series in terms of the \textit{moving average cluster entropy}. An extensive analysis has evidenced market and horizon dependence of the \textit{moving average cluster entropy} in real world financial assets. The origin of the behavior is scrutinized by applying the \textit{moving average cluster entropy} approach to long-range correlated stochastic processes as the Autoregressive Fractionally Integrated Moving Average (ARFIMA) and Fractional Brownian motion (FBM). To that end, an extensive set of series is generated with a broad range of values of the Hurst exponent $H$ and of the autoregressive, differencing and moving average parameters $p,d,q$. A systematic relation between \textit{moving average cluster entropy}, \textit{Market Dynamic Index} and long-range correlation parameters $H$, $d$ is observed. This study shows that the characteristic behaviour exhibited by the horizon dependence of the cluster entropy is related to long-range positive correlation in financial markets. Specifically, long range positively correlated ARFIMA processes with differencing parameter $d\simeq 0.05$, $d\simeq 0.15$ and $d\simeq 0.25$ are consistent with \textit{moving average cluster entropy} results obtained in time series of DJIA, S\&P500 and NASDAQ