Modeling electricity spot prices using mean-reverting multifractal processes

We discuss stochastic modeling of volatility persistence and anti-correlations in electricity spot prices, and for this purpose we present two mean-reverting versions of the multifractal random walk (MRW). In the first model the anti-correlations are modeled in the same way as in an Ornstein-Uhlenbeck process, i.e. via a drift (damping) term, and in the second model the anti-correlations are included by letting the innovations in the MRW model be fractional Gaussian noise with H < 1/2. For both models we present approximate maximum likelihood methods, and we apply these methods to estimate the parameters for the spot prices in the Nordic electricity market. The maximum likelihood estimates show that electricity spot prices are characterized by scaling exponents that are significantly different from the corresponding exponents in stock markets, confirming the exceptional nature of the electricity market. In order to compare the damped MRW model with the fractional MRW model we use ensemble simulations and wavelet-based variograms, and we observe that certain features of the spot prices are better described by the damped MRW model. The characteristic correlation time is estimated to approximately half a year.Comment: 13 pages, 4 figures, 2 table

Measuring the Direction and Angular Velocity of a Black Hole Accretion Disk via Lagged Interferometric Covariance

We show that interferometry can be applied to study irregular, rapidly rotating structures, as are expected in the turbulent accretion flow near a black hole. Specifically, we analyze the lagged covariance between interferometric baselines of similar lengths but slightly different orientations. For a flow viewed close to face-on, we demonstrate that the peak in the lagged covariance indicates the direction and angular velocity of the emission pattern from the flow. Even for moderately inclined flows, the covariance robustly estimates the flow direction, although the estimated angular velocity can be significantly biased. Importantly, measuring the direction of the flow as clockwise or counterclockwise on the sky breaks a degeneracy in accretion disk inclinations when analyzing time-averaged images alone. We explore the potential efficacy of our technique using three-dimensional, general relativistic magnetohydrodynamic (GRMHD) simulations, and we highlight several baseline pairs for the Event Horizon Telescope (EHT) that are well-suited to this application. These results indicate that the EHT may be capable of estimating the direction and angular velocity of the emitting material near Sagittarius A*, and they suggest that a rotating flow may even be utilized to improve imaging capabilities.Comment: 8 Pages, 4 Figures, accepted for publication in Ap

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

Long-term X-ray variability of Swift J1644+57

We studied the X-ray timing and spectral variability of the X-ray source Sw J1644+57, a candidate for a tidal disruption event. We have separated the long-term trend (an initial decline followed by a plateau) from the short-term dips in the Swift light-curve. Power spectra and Lomb-Scargle periodograms hint at possible periodic modulation. By using structure function analysis, we have shown that the dips were not random but occurred preferentially at time intervals ~ [2.3, 4.5, 9] x 10^5 s and their higher-order multiples. After the plateau epoch, dipping resumed at ~ [0.7, 1.4] x 10^6 s and their multiples. We have also found that the X-ray spectrum became much softer during each of the early dip, while the spectrum outside the dips became mildly harder in its long-term evolution. We propose that the jet in the system undergoes precession and nutation, which causes the collimated core of the jet briefly to go out of our line of sight. The combined effects of precession and nutation provide a natural explanation for the peculiar patterns of the dips. We interpret the slow hardening of the baseline flux as a transition from an extended, optically thin emission region to a compact, more opaque emission core at the base of the jet.Comment: 16 pages, 12 figures. Accepted by MNRAS on 2012 Feb 11; minor improvements in the introduction and discussion from the previous arXiv versio

Arnold maps with noise: Differentiability and non-monotonicity of the rotation number

Arnold's standard circle maps are widely used to study the quasi-periodic route to chaos and other phenomena associated with nonlinear dynamics in the presence of two rationally unrelated periodicities. In particular, the El Nino-Southern Oscillation (ENSO) phenomenon is a crucial component of climate variability on interannual time scales and it is dominated by the seasonal cycle, on the one hand, and an intrinsic oscillatory instability with a period of a few years, on the other. The role of meteorological phenomena on much shorter time scales, such as westerly wind bursts, has also been recognized and modeled as additive noise. We consider herein Arnold maps with additive, uniformly distributed noise. When the map's nonlinear term, scaled by the parameter $\epsilon$, is sufficiently small, i.e. $\epsilon < 1$, the map is known to be a diffeomorphism and the rotation number $\rho_{\omega}$ is a differentiable function of the driving frequency $\omega$. We concentrate on the rotation number's behavior as the nonlinearity becomes large, and show rigorously that $\rho _{\omega }$ is a differentiable function of $\omega$, even for $\epsilon \geq 1$, at every point at which the noise-perturbed map is mixing. We also provide a formula for the derivative of the rotation number. The reasoning relies on linear-response theory and a computer-aided proof. In the diffeomorphism case of $\epsilon <1$, the rotation number $\rho_{\omega }$ behaves monotonically with respect to $\omega$. We show, using again a computer-aided proof, that this is not the case when $\epsilon \geq 1$ and the map is not a diffeomorphism.Comment: Electronic copy of final peer-reviewed manuscript accepted for publication in the Journal of Statistical Physic