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Scaling, stability and distribution of the high-frequency returns of the IBEX35 index
nancial time series high-frequency returns generalized hyperbolic distributions Levy-stable distributions scaling laws tail behaviour
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2012/9/14
Abstract.In this paper we perform a statistical analysis of the high-frequency re-turns of theIbex35Madrid stock exchange index. We nd that its probability distri-bution seems to be stable over di er...
On the scaling ranges of detrended fluctuation analysis for long-memory correlated short series of data
scaling range detrended fluctuation analysis Hurst exponent power laws time series long memory econophysics complex systems
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2012/9/14
We examine the scaling regime for the detrended fluctuation analysis (DFA) -the most popular method used to detect the presence of long memory in data and
the fractal structure of time series. First,...
Superfamily classification of nonstationary time series based on DFA scaling exponents
Superfamily classification DFA scaling exponents
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2010/11/3
The superfamily phenomenon of time series with different dynamics can be charac-terized by the motif rank patterns observed in the nearest-neighbor networks of the time series in phase space. However,...