Scale free effects in world currency exchange network

A large collection of daily time series for 60 world currencies' exchange rates is considered. The correlation matrices are calculated and the corresponding Minimal Spanning Tree (MST) graphs are constructed for each of those currencies used as reference for the remaining ones. It is shown that multiplicity of the MST graphs' nodes to a good approximation develops a power like, scale free distribution with the scaling exponent similar as for several other complex systems studied so far. Furthermore, quantitative arguments in favor of the hierarchical organization of the world currency exchange network are provided by relating the structure of the above MST graphs and their scaling exponents to those that are derived from an exactly solvable hierarchical network model. A special status of the USD during the period considered can be attributed to some departures of the MST features, when this currency (or some other tied to it) is used as reference, from characteristics typical to such a hierarchical clustering of nodes towards those that correspond to the random graphs. Even though in general the basic structure of the MST is robust with respect to changing the reference currency some trace of a systematic transition from somewhat dispersed -- like the USD case -- towards more compact MST topology can be observed when correlations increase.Comment: Eur. Phys. J. B (2008) in pres

World currency exchange rate cross-correlations

World currency network constitutes one of the most complex structures that is associated with the contemporary civilization. On a way towards quantifying its characteristics we study the cross correlations in changes of the daily foreign exchange rates within the basket of 60 currencies in the period December 1998 -- May 2005. Such a dynamics turns out to predominantly involve one outstanding eigenvalue of the correlation matrix. The magnitude of this eigenvalue depends however crucially on which currency is used as a base currency for the remaining ones. Most prominent it looks from the perspective of a peripheral currency. This largest eigenvalue is seen to systematically decrease and thus the structure of correlations becomes more heterogeneous, when more significant currencies are used as reference. An extreme case in this later respect is the USD in the period considered. Besides providing further insight into subtle nature of complexity, these observations point to a formal procedure that in general can be used for practical purposes of measuring the relative currencies significance on various time horizons.Comment: 4 pages, 3 figures, LaTe

Accuracy analysis of the box-counting algorithm

Accuracy of the box-counting algorithm for numerical computation of the fractal exponents is investigated. To this end several sample mathematical fractal sets are analyzed. It is shown that the standard deviation obtained for the fit of the fractal scaling in the log-log plot strongly underestimates the actual error. The real computational error was found to have power scaling with respect to the number of data points in the sample ($n_{tot}$). For fractals embedded in two-dimensional space the error is larger than for those embedded in one-dimensional space. For fractal functions the error is even larger. Obtained formula can give more realistic estimates for the computed generalized fractal exponents' accuracy.Comment: 3 figure

Decay of Nuclear Giant Resonances: Quantum Self-similar Fragmentation

Scaling analysis of nuclear giant resonance transition probabilities with increasing level of complexity in the background states is performed. It is found that the background characteristics, typical for chaotic systems lead to nontrivial multifractal scaling properties.Comment: 4 pages, LaTeX format, pc96.sty + 2 eps figures, accepted as: talk at the 8th Joint EPS-APS International Conference on Physics Computing (PC'96, 17-21. Sept. 1996), to appear in the Proceeding

Different fractal properties of positive and negative returns

We perform an analysis of fractal properties of the positive and the negative changes of the German DAX30 index separately using Multifractal Detrended Fluctuation Analysis (MFDFA). By calculating the singularity spectra $f(\alpha)$ we show that returns of both signs reveal multiscaling. Curiously, these spectra display a significant difference in the scaling properties of returns with opposite sign. The negative price changes are ruled by stronger temporal correlations than the positive ones, what is manifested by larger values of the corresponding H\"{o}lder exponents. As regards the properties of dominant trends, a bear market is more persistent than the bull market irrespective of the sign of fluctuations.Comment: presented at FENS2007 conference, 8 pages, 4 Fig

On the Non-Gaussianity Observed in the COBE-DMR Sky Maps

In this paper we pursue the origin of the non-Gaussianity determined by a bispectrum analysis of the COBE-DMR 4-year sky maps. The robustness of the statistic is demonstrated by the rebinning of the data into 12 coordinate systems. By computing the bispectrum statistic as a function of various data partitions - by channel, frequency, and time interval, we show that the observed non-Gaussian signal is driven by the 53 GHz data. This frequency dependence strongly rejects the hypothesis that the signal is cosmological in origin. A jack-knife analysis of the coadded 53 and 90 GHz sky maps reveals those sky pixels to which the bispectrum statistic is particularly sensitive. We find that by removing data from the 53 GHz sky maps for periods of time during which a known systematic effect perturbs the 31 GHz channels, the amplitudes of the bispectrum coefficients become completely consistent with that expected for a Gaussian sky. We conclude that the non-Gaussian signal detected by the normalised bispectrum statistic in the publicly available DMR sky maps is due to a systematic artifact. The impact of removing the affected data on estimates of the normalisation of simple models of cosmological anisotropy is negligible.Comment: 14 pages, plus 8 Postscript and 3 GIF figures. LaTeX2e document using AASTeX v5.0 macros. Revised version accepted for publication in the Astrophysical Journal: small changes to the text, minor modifications to figures 1 and