We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Long-Range Correlations and Characterization of Financial and Volcanic Time Series.
- Authors
Mariani, Maria C.; Asante, Peter K.; Bhuiyan, Md Al Masum; Beccar-Varela, Maria P.; Jaroszewicz, Sebastian; Tweneboah, Osei K.
- Abstract
In this study, we use the Diffusion Entropy Analysis (DEA) to analyze and detect the scaling properties of time series from both emerging and well established markets as well as volcanic eruptions recorded by a seismic station, both financial and volcanic time series data have high frequencies. The objective is to determine whether they follow a Gaussian or Lévy distribution, as well as establish the existence of long-range correlations in these time series. The results obtained from the DEA technique are compared with the Hurst R/S analysis and Detrended Fluctuation Analysis (DFA) methodologies. We conclude that these methodologies are effective in classifying the high frequency financial indices and volcanic eruption data—the financial time series can be characterized by a Lévy walk while the volcanic time series is characterized by a Lévy flight.
- Subjects
TIME series analysis; LEVY processes; VOLCANIC eruptions; GAUSSIAN distribution; BROWNIAN motion
- Publication
Mathematics (2227-7390), 2020, Vol 8, Issue 3, p441
- ISSN
2227-7390
- Publication type
Article
- DOI
10.3390/math8030441