Arbitrary-order Hilbert spectral analysis for time series possessing scaling statistics: comparison study with detrended fluctuation analysis and wavelet leaders

Multifractal analysis of financial markets: a review

Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking analogy with hydrodynamic turbulence, from which the idea of multifractality originated, multifractal analysis of financial markets has bloomed, forming one of the main directions of econophysics. We review the multifractal analysis methods and multifractal models adopted in or invented for financial time series and their subtle properties, which are applicable to time series in other disciplines. We survey the cumulating evidence for the presence of multifractality in financial time series in different markets and at different time periods and discuss the sources of multifractality. The usefulness of multifractal analysis in quantifying market inefficiency, in supporting risk management and in developing other applications is presented. We finally discuss open problems and further directions of multifractal analysis.

Scaling Properties of Atmospheric Wind Speed in Mesoscale Range

The scaling properties of turbulent flows are well established in the inertial sub-range. However, those of the synoptic-scale motions are less known, also because of the difficult analysis of data presenting nonstationary and periodic features. Extensive analysis of experimental wind speed data, collected at the Mauna Loa Observatory of Hawaii, is performed using different methods. Empirical Mode Decomposition, interoccurrence times statistics, and arbitrary-order Hilbert spectral analysis allow to eliminate effects of large-scale modulations, and provide scaling properties of the field fluctuations (Hurst exponent, interoccurrence distribution, and intermittency correction). The obtained results suggest that the mesoscale wind dynamics owns features which are typical of the inertial sub-range turbulence, thus extending the validity of the turbulent cascade phenomenology to scales larger than observed before.

On the Motion of Spikes: Turbulent-Like Neuronal Activity in the Human Basal Ganglia

Neuronal signals are usually characterized in terms of their discharge rate, a description inadequate to account for the complex temporal organization of spike trains. Complex temporal properties, which are characteristic of neuronal systems, can only be described with the appropriate, complex mathematical tools. Here, I apply high order structure functions to the analysis of neuronal signals recorded from parkinsonian patients during functional neurosurgery, recovering multifractal properties. To achieve an accurate model of such multifractality is critical for understanding the basal ganglia, since other non-linear properties, such as entropy, depend on the fractal properties of complex systems. I propose a new approach to the study of neuronal signals: to study spiking activity in terms of the velocity of spikes, defining it as the inverse function of the instantaneous frequency. I introduce a neural field model that includes a non-linear gradient field, representing neuronal excitability, and a diffusive term to consider the physical properties of the electric field. Multifractality is present in the model for a range of diffusion coefficients, and multifractal temporal properties are mirrored into space. The model reproduces the behavior of human basal ganglia neurons and shows that it is like that of turbulent fluids. The results obtained from the model predict that passive electric properties of neuronal activity, including ephaptic coupling, are far more relevant to the human brain than what is usually considered: passive electric properties determine the temporal and spatial organization of neuronal activity in the neural tissue.

Uncovering inequality through multifractality of land prices: 1912 and contemporary Kyoto

Multifractal analysis offers a number of advantages to measure spatial economic segregation and inequality, as it is free of categories and boundaries definition problems and is insensitive to some shape-preserving changes in the variable distribution. We use two datasets describing Kyoto land prices in 1912 and 2012 and derive city models from this data to show that multifractal analysis is suitable to describe the heterogeneity of land prices. We found in particular a sharp decrease in multifractality, characteristic of homogenisation, between older Kyoto and present Kyoto, and similarities both between present Kyoto and present London, and between Kyoto and Manhattan as they were a century ago. In addition, we enlighten the preponderance of spatial distribution over variable distribution in shaping the multifractal spectrum. The results were tested against the classical segregation and inequality indicators, and found to offer an improvement over those.

Extremal-point density of scaling processes: From fractional Brownian motion to turbulence in one dimension

In recent years several local extrema-based methodologies have been proposed to investigate either the nonlinear or the nonstationary time series for scaling analysis. In the present work, we study systematically the distribution of the local extrema for both synthesized scaling processes and turbulent velocity data from experiments. The results show that for the fractional Brownian motion (fBm) without intermittency correction the measured extremal-point-density (EPD) agrees well with a theoretical prediction. For a multifractal random walk (MRW) with the lognormal statistics, the measured EPD is independent of the intermittency parameter μ, suggesting that the intermittency correction does not change the distribution of extremal points but changes the amplitude. By introducing a coarse-grained operator, the power-law behavior of these scaling processes is then revealed via the measured EPD for different scales. For fBm the scaling exponent ξ(H) is found to be ξ(H)=H, where H is Hurst number, while for MRW ξ(μ) shows a linear relation with the intermittency parameter μ. Such EPD approach is further applied to the turbulent velocity data obtained from a wind tunnel flow experiment with the Taylor scale λ-based Reynolds number Re_{λ}=720, and a turbulent boundary layer with the momentum thickness θ based Reynolds number Re_{θ}=810. A scaling exponent ξ≃0.37 is retrieved for the former case. For the latter one, the measured EPD shows clearly four regimes, which agrees well with the corresponding sublayer structures inside the turbulent boundary layer.

Intrinsic flow structure and multifractality in two-dimensional bacterial turbulence

The active interaction between the bacteria and fluid generates turbulent structures even at zero Reynolds number. The velocity of such a flow obtained experimentally has been quantitatively investigated based on streamline segment analysis. There is a clear transition at about 16 times the organism body length separating two different scale regimes, which may be attributed to the different influence of the viscous effect. Surprisingly the scaling extracted from the streamline segment indicates the existence of scale similarity even at the zero Reynolds number limit. Moreover, the multifractal feature can be quantitatively described via a lognormal formula with the Hurst number H=0.76 and the intermittency parameter μ=0.20, which is coincidentally in agreement with the three-dimensional hydrodynamic turbulence result. The direction of cascade is measured via the filter-space technique. An inverse energy cascade is confirmed. For the enstrophy, a forward cascade is observed when r/R≤3, and an inverse one is observed when r/R>3, where r and R are the separation distance and the bacteria body size, respectively. Additionally, the lognormal statistics is verified for the coarse-grained energy dissipation and enstrophy, which supports the lognormal formula to fit the measured scaling exponent.

Forecasting stochastic neural network based on financial empirical mode decomposition

In an attempt to improve the forecasting accuracy of stock price fluctuations, a new one-step-ahead model is developed in this paper which combines empirical mode decomposition (EMD) with stochastic time strength neural network (STNN). The EMD is a processing technique introduced to extract all the oscillatory modes embedded in a series, and the STNN model is established for considering the weight of occurrence time of the historical data. The linear regression performs the predictive availability of the proposed model, and the effectiveness of EMD-STNN is revealed clearly through comparing the predicted results with the traditional models. Moreover, a new evaluated method (q-order multiscale complexity invariant distance) is applied to measure the predicted results of real stock index series, and the empirical results show that the proposed model indeed displays a good performance in forecasting stock market fluctuations.

Intermittency measurement in two-dimensional bacterial turbulence

In this paper, an experimental velocity database of a bacterial collective motion, e.g., Bacillus subtilis, in turbulent phase with volume filling fraction 84% provided by Professor Goldstein at Cambridge University (UK), was analyzed to emphasize the scaling behavior of this active turbulence system. This was accomplished by performing a Hilbert-based methodology analysis to retrieve the scaling property without the β-limitation. A dual-power-law behavior separated by the viscosity scale ℓ_{ν} was observed for the qth-order Hilbert moment L_{q}(k). This dual-power-law belongs to an inverse-cascade since the scaling range is above the injection scale R, e.g., the bacterial body length. The measured scaling exponents ζ(q) of both the small-scale (k>k_{ν}) and large-scale (k<k_{ν}) motions are convex, showing the multifractality. A log-normal formula was put forward to characterize the multifractal intensity. The measured intermittency parameters are μ_{S}=0.26 and μ_{L}=0.17, respectively, for the small- and large-scale motions. It implies that the former cascade is more intermittent than the latter one, which is also confirmed by the corresponding singularity spectrum f(α) versus α. Comparison with the conventional two-dimensional Ekman-Navier-Stokes equation, a continuum model indicates that the origin of the multifractality could be a result of some additional nonlinear interaction terms, which deservers a more careful investigation.

Quantitative Assessment of Heart Rate Dynamics during Meditation: An ECG Based Study with Multi-Fractality and Visibility Graph

The cardiac dynamics during meditation is explored quantitatively with two chaos-based non-linear techniques viz. multi-fractal detrended fluctuation analysis and visibility network analysis techniques. The data used are the instantaneous heart rate (in beats/minute) of subjects performing Kundalini Yoga and Chi meditation from PhysioNet. The results show consistent differences between the quantitative parameters obtained by both the analysis techniques. This indicates an interesting phenomenon of change in the complexity of the cardiac dynamics during meditation supported with quantitative parameters. The results also produce a preliminary evidence that these techniques can be used as a measure of physiological impact on subjects performing meditation.

Using Continuous Glucose Monitoring Data and Detrended Fluctuation Analysis to Determine Patient Condition: A Review

Patients admitted to critical care often experience dysglycemia and high levels of insulin resistance, various intensive insulin therapy protocols and methods have attempted to safely normalize blood glucose (BG) levels. Continuous glucose monitoring (CGM) devices allow glycemic dynamics to be captured much more frequently (every 2-5 minutes) than traditional measures of blood glucose and have begun to be used in critical care patients and neonates to help monitor dysglycemia. In an attempt to obtain a better insight relating biomedical signals and patient status, some researchers have turned toward advanced time series analysis methods. In particular, Detrended Fluctuation Analysis (DFA) has been a topic of many recent studies in to glycemic dynamics. DFA investigates the "complexity" of a signal, how one point in time changes relative to its neighboring points, and DFA has been applied to signals like the inter-beat-interval of human heartbeat to differentiate healthy and pathological conditions. Analyzing the glucose metabolic system with such signal processing tools as DFA has been enabled by the emergence of high quality CGM devices. However, there are several inconsistencies within the published work applying DFA to CGM signals. Therefore, this article presents a review and a "how-to" tutorial of DFA, and in particular its application to CGM signals to ensure the methods used to determine complexity are used correctly and so that any relationship between complexity and patient outcome is robust.

Multifractal analysis of information processing in hippocampal neural ensembles during working memory under Δ⁹-tetrahydrocannabinol administration

BACKGROUND

Multifractal analysis quantifies the time-scale-invariant properties in data by describing the structure of variability over time. By applying this analysis to hippocampal interspike interval sequences recorded during performance of a working memory task, a measure of long-range temporal correlations and multifractal dynamics can reveal single neuron correlates of information processing.

NEW METHOD

Wavelet leaders-based multifractal analysis (WLMA) was applied to hippocampal interspike intervals recorded during a working memory task. WLMA can be used to identify neurons likely to exhibit information processing relevant to operation of brain-computer interfaces and nonlinear neuronal models.

RESULTS

Neurons involved in memory processing ("Functional Cell Types" or FCTs) showed a greater degree of multifractal firing properties than neurons without task-relevant firing characteristics. In addition, previously unidentified FCTs were revealed because multifractal analysis suggested further functional classification. The cannabinoid type-1 receptor (CB1R) partial agonist, tetrahydrocannabinol (THC), selectively reduced multifractal dynamics in FCT neurons compared to non-FCT neurons.

COMPARISON WITH EXISTING METHODS

WLMA is an objective tool for quantifying the memory-correlated complexity represented by FCTs that reveals additional information compared to classification of FCTs using traditional z-scores to identify neuronal correlates of behavioral events.

CONCLUSION

z-Score-based FCT classification provides limited information about the dynamical range of neuronal activity characterized by WLMA. Increased complexity, as measured with multifractal analysis, may be a marker of functional involvement in memory processing. The level of multifractal attributes can be used to differentially emphasize neural signals to improve computational models and algorithms underlying brain-computer interfaces.

Lagrangian single-particle turbulent statistics through the Hilbert-Huang transform

The Hilbert-Huang transform is applied to analyze single-particle Lagrangian velocity data from numerical simulations of hydrodynamic turbulence. The velocity trajectory is described in terms of a set of intrinsic mode functions C(i)(t) and of their instantaneous frequency ω(i)(t). On the basis of this decomposition we define the ω-conditioned statistical moments of the C(i) modes, named q-order Hilbert spectra (HS). We show that such quantities have enhanced scaling properties as compared to traditional Fourier transform- or correlation-based (structure functions) statistical indicators, thus providing better insights into the turbulent energy transfer process. We present clear empirical evidence that the energylike quantity, i.e., the second-order HS, displays a linear scaling in time in the inertial range, as expected from a dimensional analysis. We also measure high-order moment scaling exponents in a direct way, without resorting to the extended self-similarity procedure. This leads to an estimate of the Lagrangian structure function exponents which are consistent with the multifractal prediction in the Lagrangian frame as proposed by Biferale et al. [Phys. Rev. Lett. 93, 064502 (2004)].

Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series

Notwithstanding the significant efforts to develop estimators of long-range correlations (LRC) and to compare their performance, no clear consensus exists on what is the best method and under which conditions. In addition, synthetic tests suggest that the performance of LRC estimators varies when using different generators of LRC time series. Here, we compare the performances of four estimators [Fluctuation Analysis (FA), Detrended Fluctuation Analysis (DFA), Backward Detrending Moving Average (BDMA), and Centred Detrending Moving Average (CDMA)]. We use three different generators [Fractional Gaussian Noises, and two ways of generating Fractional Brownian Motions]. We find that CDMA has the best performance and DFA is only slightly worse in some situations, while FA performs the worst. In addition, CDMA and DFA are less sensitive to the scaling range than FA. Hence, CDMA and DFA remain "The Methods of Choice" in determining the Hurst index of time series.

Introduction to multifractal detrended fluctuation analysis in matlab

Fractal structures are found in biomedical time series from a wide range of physiological phenomena. The multifractal spectrum identifies the deviations in fractal structure within time periods with large and small fluctuations. The present tutorial is an introduction to multifractal detrended fluctuation analysis (MFDFA) that estimates the multifractal spectrum of biomedical time series. The tutorial presents MFDFA step-by-step in an interactive Matlab session. All Matlab tools needed are available in Introduction to MFDFA folder at the website www.ntnu.edu/inm/geri/software. MFDFA are introduced in Matlab code boxes where the reader can employ pieces of, or the entire MFDFA to example time series. After introducing MFDFA, the tutorial discusses the best practice of MFDFA in biomedical signal processing. The main aim of the tutorial is to give the reader a simple self-sustained guide to the implementation of MFDFA and interpretation of the resulting multifractal spectra.