Multi-scale correlations in different futures markets

In the present work we investigate the multiscale nature of the correlations for high frequency data (1 minute) in different futures markets over a period of two years, starting on the 1st of January 2003 and ending on the 31st of December 2004. In particular, by using the concept of "local" Hurst exponent, we point out how the behaviour of this parameter, usually considered as a benchmark for persistency/antipersistency recognition in time series, is largely time-scale dependent in the market context. These findings are a direct consequence of the intrinsic complexity of a system where trading strategies are scale-adaptive. Moreover, our analysis points out different regimes in the dynamical behaviour of the market indices under consideration.Comment: 14 pages and 25 figure

Wavelets techniques for pointwise anti-Holderian irregularity

In this paper, we introduce a notion of weak pointwise Holder regularity, starting from the de nition of the pointwise anti-Holder irregularity. Using this concept, a weak spectrum of singularities can be de ned as for the usual pointwise Holder regularity. We build a class of wavelet series satisfying the multifractal formalism and thus show the optimality of the upper bound. We also show that the weak spectrum of singularities is disconnected from the casual one (denoted here strong spectrum of singularities) by exhibiting a multifractal function made of Davenport series whose weak spectrum di ers from the strong one

Renormalization flow for extreme value statistics of random variables raised to a varying power

Using a renormalization approach, we study the asymptotic limit distribution of the maximum value in a set of independent and identically distributed random variables raised to a power q(n) that varies monotonically with the sample size n. Under these conditions, a non-standard class of max-stable limit distributions, which mirror the classical ones, emerges. Furthermore a transition mechanism between the classical and the non-standard limit distributions is brought to light. If q(n) grows slower than a characteristic function q*(n), the standard limit distributions are recovered, while if q(n) behaves asymptotically as k.q*(n), non-standard limit distributions emerge.Comment: 21 pages, 1 figure,final version, to appear in Journal of Physics

Solar Wind Turbulence and the Role of Ion Instabilities

International audienc

The Natural Statistics of Audiovisual Speech

Humans, like other animals, are exposed to a continuous stream of signals, which are dynamic, multimodal, extended, and time varying in nature. This complex input space must be transduced and sampled by our sensory systems and transmitted to the brain where it can guide the selection of appropriate actions. To simplify this process, it's been suggested that the brain exploits statistical regularities in the stimulus space. Tests of this idea have largely been confined to unimodal signals and natural scenes. One important class of multisensory signals for which a quantitative input space characterization is unavailable is human speech. We do not understand what signals our brain has to actively piece together from an audiovisual speech stream to arrive at a percept versus what is already embedded in the signal structure of the stream itself. In essence, we do not have a clear understanding of the natural statistics of audiovisual speech. In the present study, we identified the following major statistical features of audiovisual speech. First, we observed robust correlations and close temporal correspondence between the area of the mouth opening and the acoustic envelope. Second, we found the strongest correlation between the area of the mouth opening and vocal tract resonances. Third, we observed that both area of the mouth opening and the voice envelope are temporally modulated in the 2–7 Hz frequency range. Finally, we show that the timing of mouth movements relative to the onset of the voice is consistently between 100 and 300 ms. We interpret these data in the context of recent neural theories of speech which suggest that speech communication is a reciprocally coupled, multisensory event, whereby the outputs of the signaler are matched to the neural processes of the receiver

Long memory estimation for complex-valued time series

Long memory has been observed for time series across a multitude of fields and the accurate estimation of such dependence, e.g. via the Hurst exponent, is crucial for the modelling and prediction of many dynamic systems of interest. Many physical processes (such as wind data), are more naturally expressed as a complex-valued time series to represent magnitude and phase information (wind speed and direction). With data collection ubiquitously unreliable, irregular sampling or missingness is also commonplace and can cause bias in a range of analysis tasks, including Hurst estimation. This article proposes a new Hurst exponent estimation technique for complex-valued persistent data sampled with potential irregularity. Our approach is justified through establishing attractive theoretical properties of a new complex-valued wavelet lifting transform, also introduced in this paper. We demonstrate the accuracy of the proposed estimation method through simulations across a range of sampling scenarios and complex- and real-valued persistent processes. For wind data, our method highlights that inclusion of the intrinsic correlations between the real and imaginary data, inherent in our complex-valued approach, can produce different persistence estimates than when using real-valued analysis. Such analysis could then support alternative modelling or policy decisions compared with conclusions based on real-valued estimation