Analysis of Non-stationary Data for Heart-Rate Fluctuations in Terms of Drift and Diffusion Coefficients

We describe a method for analyzing the stochasticity in the non-stationary data for the beat-to-beat fluctuations in the heart rates of healthy subjects, as well as those with congestive heart failure. The method analyzes the returns time series of the data as a Markov process, and computes the Markov time scale, i.e., the time scale over which the data are a Markov process. We also construct an effective stochastic continuum equation for the return series. We show that the drift and diffusion coefficients, as well as the amplitude of the returns time series for healthy subjects are distinct from those with CHF. Thus, the method may potentially provide a diagnostic tool for distinguishing healthy subjects from those with congestive heart failure, as it can distinguish small differences between the data for the two classes of subjects in terms of well-defined and physically-motivated quantities.Comment: 6 pages, two columns, 6 figure

Statistical Properties of the Interbeat Interval Cascade in Human Subjects

Statistical properties of interbeat intervals cascade are evaluated by considering the joint probability distribution $P(\Delta x_2,\tau_2;\Delta x_1,\tau_1)$ for two interbeat increments $\Delta x_1$ and $\Delta x_2$ of different time scales $\tau_1$ and $\tau_2$. We present evidence that the conditional probability distribution $P(\Delta x_2,\tau_2|\Delta x_1,\tau_1)$ may obey a Chapman-Kolmogorov equation. The corresponding Kramers-Moyal (KM) coefficients are evaluated. It is shown that while the first and second KM coefficients, i.e., the drift and diffusion coefficients, take on well-defined and significant values, the higher-order coefficients in the KM expansion are very small. As a result, the joint probability distributions of the increments in the interbeat intervals obey a Fokker-Planck equation. The method provides a novel technique for distinguishing the two classes of subjects in terms of the drift and diffusion coefficients, which behave differently for two classes of the subjects, namely, healthy subjects and those with congestive heart failure.Comment: 5 pages, 6 figure

Uncertainty in the Fluctuations of the Price of Stocks

We report on a study of the Tehran Price Index (TEPIX) from 2001 to 2006 as an emerging market that has been affected by several political crises during the recent years, and analyze the non-Gaussian probability density function (PDF) of the log returns of the stocks' prices. We show that while the average of the index did not fall very much over the time period of the study, its day-to-day fluctuations strongly increased due to the crises. Using an approach based on multiplicative processes with a detrending procedure, we study the scale-dependence of the non-Gaussian PDFs, and show that the temporal dependence of their tails indicates a gradual and systematic increase in the probability of the appearance of large increments in the returns on approaching distinct critical time scales over which the TEPIX has exhibited maximum uncertainty.Comment: 5 pages, 5 figures. Accepted to appear in IJMP

Uncertainty in the Fluctuations of the Price of Stocks

Abstract We report on a study of the Tehran Price Index (TEPIX) from 2001 to 2006 as an emerging market that has been affected by several political crises during the recent years, and analyze the non-Gaussian probability density function (PDF) of the log returns of the stocks' prices. We show that while the average of the index did not fall very much over the time period of the study, its day-to-day fluctuations strongly increased due to the crises. Using an approach based on multiplicative processes with a detrending procedure, we study the scale-dependence of the non-Gaussian PDFs, and show that the temporal dependence of their tails indicates a gradual and systematic increase in the probability of the appearance of large increments in the returns on approaching distinct critical time scales over which the TEPIX has exhibited maximum uncertainty. PACS number(s): 89.65.Gh, 89.75.-k

Markov Properties of Electrical Discharge Current Fluctuations in Plasma

Using the Markovian method, we study the stochastic nature of electrical discharge current fluctuations in the Helium plasma. Sinusoidal trends are extracted from the data set by the Fourier-Detrended Fluctuation analysis and consequently cleaned data is retrieved. We determine the Markov time scale of the detrended data set by using likelihood analysis. We also estimate the Kramers-Moyal's coefficients of the discharge current fluctuations and derive the corresponding Fokker-Planck equation. In addition, the obtained Langevin equation enables us to reconstruct discharge time series with similar statistical properties compared with the observed in the experiment. We also provide an exact decomposition of temporal correlation function by using Kramers-Moyal's coefficients. We show that for the stationary time series, the two point temporal correlation function has an exponential decaying behavior with a characteristic correlation time scale. Our results confirm that, there is no definite relation between correlation and Markov time scales. However both of them behave as monotonic increasing function of discharge current intensity. Finally to complete our analysis, the multifractal behavior of reconstructed time series using its Keramers-Moyal's coefficients and original data set are investigated. Extended self similarity analysis demonstrates that fluctuations in our experimental setup deviates from Kolmogorov (K41) theory for fully developed turbulence regime.Comment: 25 pages, 9 figures and 4 tables. V3: Added comments, references, figures and major correction

Uncertainty in the Fluctuations of the Price of Stocks

We report on a study of the Tehran Price Index (TEPIX) from 2001 to 2006 as an emerging market that has been affected by several political crises during the recent years, and analyze the non-Gaussian probability density function (PDF) of the log returns of the stocks' prices. We show that while the average of the index did not fall very much over the time period of the study, its day-to-day fluctuations strongly increased due to the crises. Using an approach based on multiplicative processes with a detrending procedure, we study the scale-dependence of the non-Gaussian PDFs, and show that the temporal dependence of their tails indicates a gradual and systematic increase in the probability of the appearance of large increments in the returns on approaching distinct critical time scales over which the TEPIX has exhibited maximum uncertainty.