Multifractal Models

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Multifractal Volatility

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Author : Laurent E. Calvet
Publisher : Academic Press
ISBN 13 : 0080559964
Total Pages : 273 pages
Book Rating : 4.0/5 (85 download)

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Book Synopsis Multifractal Volatility by : Laurent E. Calvet

Download or read book Multifractal Volatility written by Laurent E. Calvet and published by Academic Press. This book was released on 2008-10-13 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. Presents a powerful new technique for forecasting volatility Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research

Multifractal Volatility

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Author : Laurent E. Calvet
Publisher :
ISBN 13 : 9780121500139
Total Pages : 258 pages
Book Rating : 4.5/5 (1 download)

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Book Synopsis Multifractal Volatility by : Laurent E. Calvet

Download or read book Multifractal Volatility written by Laurent E. Calvet and published by . This book was released on 2008 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting volatility is one of the major challenges in the field of finance. Calvet and Fisher present a powerful, new technique for volatility modelling. Their preliminary work has been well-received in the top academic journals and this is the first time they present their research in a comprehensive way.

Multifractal Based Network Traffic Modeling

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Author : Murali Krishna P
Publisher : Springer Science & Business Media
ISBN 13 : 1461504996
Total Pages : 223 pages
Book Rating : 4.4/5 (615 download)

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Book Synopsis Multifractal Based Network Traffic Modeling by : Murali Krishna P

Download or read book Multifractal Based Network Traffic Modeling written by Murali Krishna P and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: This helpful book provides an overview of existing broadband traffic modelling based on the Poisson process and its variants. It also offers very good coverage of models based on self-similar processes. The authors have focused throughout on the problem of broadband traffic modelling.

Fractals and Multifractals in the Geosciences

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Author : Behnam Sadeghi
Publisher : Elsevier
ISBN 13 : 0323908985
Total Pages : 304 pages
Book Rating : 4.3/5 (239 download)

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Book Synopsis Fractals and Multifractals in the Geosciences by : Behnam Sadeghi

Download or read book Fractals and Multifractals in the Geosciences written by Behnam Sadeghi and published by Elsevier. This book was released on 2024-06-03 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fractals and Multifractals in the Geosciences details the application of a wide range of multifractal methods, including many novel ones developed by the author, along with the assessment of uncertainty in sample classification and stability of spatial patterns. This book also provides criteria for selection of the most effective combination of data pre-processing and multifractal modeling to extract desired features or signals in the data. The book specifically aims to introduce, apply, and test novel multifractal models that account directly for changes in relationships between variables, as well as the effects of distance between samples and the source of anomalous metal contents in geoscience samples. Linked to this will be assessment of the effects of different pre-processing of data prior to application of the models and quantification/model uncertainty in geochemical anomaly maps, associated with sample classification and spatial interpolation. Gaussian simulations such as Sequential Gaussian Simulation and Monte Carlo Simulation will be applied to the new multifractal models developed and a suite of existing models, including (simulated) concentration-area, spectrum-area, singularity and other models. Fractals and Multifractals in the Geosciences will be invaluable for mathematical geoscientists, geostatisticians, exploration, applied, urban and environmental geochemists, computational geoscientists, data scientists, and GIS professionals who need to better understand fractal geometry, along with its theory and applications in geochemical anomaly classification to generate maps that are helpful for decision-making for follow-up sampling and explorations. Provides a comprehensive overview of the use of fractal and multifractal modeling methods, with a detailed assessment of uncertainty quantification in samples and classified models Specifically includes novel multifractal models, as well as uncertainty quantification and decision-making methods for use in geosciences and especially geochemistry Includes case studies showing the application of the fractal and multifractal methods detailed in the book

The Oxford Handbook of Computational Economics and Finance

Author : Shu-Heng Chen
Publisher : Oxford University Press
ISBN 13 : 0190877502
Total Pages : 785 pages
Book Rating : 4.1/5 (98 download)

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Book Synopsis The Oxford Handbook of Computational Economics and Finance by : Shu-Heng Chen

Download or read book The Oxford Handbook of Computational Economics and Finance written by Shu-Heng Chen and published by Oxford University Press. This book was released on 2018-01-12 with total page 785 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.

Fractal Solutions for Understanding Complex Systems in Earth Sciences

Author : V.P. Dimri
Publisher : Springer
ISBN 13 : 3319246755
Total Pages : 159 pages
Book Rating : 4.3/5 (192 download)

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Book Synopsis Fractal Solutions for Understanding Complex Systems in Earth Sciences by : V.P. Dimri

Download or read book Fractal Solutions for Understanding Complex Systems in Earth Sciences written by V.P. Dimri and published by Springer. This book was released on 2015-11-21 with total page 159 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with fractals in understanding problems encountered in earth science, and their solutions. It starts with an analysis of two classes of methods (homogeneous fractals random models, and homogeneous source distributions or “one point” distributions) widely diffused in the geophysical community, especially for studying potential fields and their related source distributions. Subsequently, the use of fractals in potential fields is described by scaling spectral methods for estimation of curie depth. The book also presents an update of the use of the fractal concepts in geological understanding of faults and their significance in geological modelling of hydrocarbon reservoirs. Geophysical well log data provide a unique description of the subsurface lithology; here, the Detrended Fluctuation Analysis technique is presented in case studies located off the west-coast of India. Another important topic is the fractal model of continuum percolation which quantitatively reproduce the flow path geometry by applying the Poiseuille’s equation. The pattern of fracture heterogeneity in reservoir scale of natural geological formations can be viewed as spatially distributed self-similar tree structures; here, the authors present simple analytical models based on the medium structural characteristics to explain the flow in natural fractures. The Fractal Differential Adjacent Segregation (F-DAS) is an unconventional approach for fractal dimension estimation using a box count method. The present analysis provides a better understanding of variability of the system (adsorbents – adsorbate interactions). Towards the end of book, the authors discuss multi-fractal scaling properties of seismograms in order to quantify the complexity associated with high-frequency seismic signals. Finally, the book presents a review on fractal methods applied to fire point processes and satellite time-continuous signals that are sensitive to fire occurrences.

Simulation Technologies in Networking and Communications

Author : Al-Sakib Khan Pathan
Publisher : CRC Press
ISBN 13 : 1482225492
Total Pages : 652 pages
Book Rating : 4.4/5 (822 download)

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Book Synopsis Simulation Technologies in Networking and Communications by : Al-Sakib Khan Pathan

Download or read book Simulation Technologies in Networking and Communications written by Al-Sakib Khan Pathan and published by CRC Press. This book was released on 2014-11-06 with total page 652 pages. Available in PDF, EPUB and Kindle. Book excerpt: Simulation is a widely used mechanism for validating the theoretical models of networking and communication systems. Although the claims made based on simulations are considered to be reliable, how reliable they really are is best determined with real-world implementation trials. Simulation Technologies in Networking and Communications: Selecting the Best Tool for the Test addresses the spectrum of issues regarding the different mechanisms related to simulation technologies in networking and communications fields. Focusing on the practice of simulation testing instead of the theory, it presents the work of more than 50 experts from around the world. Considers superefficient Monte Carlo simulations Describes how to simulate and evaluate multicast routing algorithms Covers simulation tools for cloud computing and broadband passive optical networks Reports on recent developments in simulation tools for WSNs Examines modeling and simulation of vehicular networks The book compiles expert perspectives about the simulation of various networking and communications technologies. These experts review and evaluate popular simulation modeling tools and recommend the best tools for your specific tests. They also explain how to determine when theoretical modeling would be preferred over simulation. This book does not provide a verdict on the best suitable tool for simulation. Instead, it supplies authoritative analyses of the different kinds of networks and systems. Presenting best practices and insights from global experts, the book provides you with an understanding of what to simulate, where to simulate, whether to simulate or not, when to simulate, and how to simulate for a wide range of issues.

Fractal Geometry in Biological Systems

Author : Philip M. Iannaccone
Publisher : CRC Press
ISBN 13 : 9780849376368
Total Pages : 448 pages
Book Rating : 4.3/5 (763 download)

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Book Synopsis Fractal Geometry in Biological Systems by : Philip M. Iannaccone

Download or read book Fractal Geometry in Biological Systems written by Philip M. Iannaccone and published by CRC Press. This book was released on 1996-07-25 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fractal Geometry in Biological Systems was written by the leading experts in the field of mathematics and the biological sciences together. It is intended to inform researchers in the bringing about the fundamental nature of fractals and their widespread appearance in biological systems. The chapters explain how the presence of fractal geometry can be used in an analytical way to predict outcomes in systems, to generate hypotheses, and to help design experiments. The authors make the mathematics accessible to a wide audience and do not assume prior experience in this area.

Economics of Risky Behavior and Sensation Seeking

Author : Horst Entorf
Publisher : Lucius & Lucius DE
ISBN 13 : 3828205763
Total Pages : 137 pages
Book Rating : 4.8/5 (282 download)

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Book Synopsis Economics of Risky Behavior and Sensation Seeking by : Horst Entorf

Download or read book Economics of Risky Behavior and Sensation Seeking written by Horst Entorf and published by Lucius & Lucius DE. This book was released on 2012 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt: No detailed description available for "Economics of Risky Behavior and Sensation Seeking".

Texturing and Modeling

Author : David S. Ebert
Publisher : Academic Press
ISBN 13 : 1483297020
Total Pages : 363 pages
Book Rating : 4.4/5 (832 download)

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Book Synopsis Texturing and Modeling by : David S. Ebert

Download or read book Texturing and Modeling written by David S. Ebert and published by Academic Press. This book was released on 2014-05-19 with total page 363 pages. Available in PDF, EPUB and Kindle. Book excerpt: Congratulations to Ken Perlin for his 1997 Technical Achievement Award from the Academy of Motion Picture Arts and Science Board of Governors, given in recognition of the development of "Turbulence", Perlin Noise, a technique discussed in this book which is used to produce natural appearing textures on computer-generated surfaces for motion picture visual effects. Dr. Perlin joins Darwyn Peachey (co-developer of RenderMan(R), also discussed in the book) in being honored with this prestigious award. * * Written at a usable level by the developers of the techniques* Serves as a source book for those writing rendering systems, shaders, and animations.* Discusses the design and implementation of noise functions.* Contains procedural modeling of gases, hypertextures, mountains, and landscapes.* Provides a toolbox of specific procedures and basic primitive functions for producing realistic images.* Procedures are presented in C code segments or in Renderman shading language. * 3.5" disk contains the code from within the book for easy implementation

Financial Econometrics and Empirical Market Microstructure

Author : Anil K. Bera
Publisher : Springer
ISBN 13 : 3319099469
Total Pages : 282 pages
Book Rating : 4.3/5 (19 download)

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Book Synopsis Financial Econometrics and Empirical Market Microstructure by : Anil K. Bera

Download or read book Financial Econometrics and Empirical Market Microstructure written by Anil K. Bera and published by Springer. This book was released on 2014-11-18 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in the availability of very large databases, in capabilities for massive data mining, as well as progress in complex systems theory, multi-agent simulation and computational social science open the possibility of modeling phenomena never before successfully achieved. This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the socio-economics system evolution with a focus on financial markets powered by the high-frequency data analysis.

Small-Angle Scattering (Neutrons, X-Rays, Light) from Complex Systems

Author : Eugen Mircea Anitas
Publisher : Springer
ISBN 13 : 3030266125
Total Pages : 116 pages
Book Rating : 4.0/5 (32 download)

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Book Synopsis Small-Angle Scattering (Neutrons, X-Rays, Light) from Complex Systems by : Eugen Mircea Anitas

Download or read book Small-Angle Scattering (Neutrons, X-Rays, Light) from Complex Systems written by Eugen Mircea Anitas and published by Springer. This book was released on 2019-08-08 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book addresses the basic physical phenomenon of small-angle scattering (SAS) of neutrons, x-rays or light from complex hierarchical nano- and micro-structures. The emphasis is on developing theoretical models for the material structure containing self-similar or fractal clusters. Within the suggested framework, key approaches for extracting structural information from experimental scattering data are investigated and presented in detail. The range of parameters which can be obtained pave the road towards a better understanding of the correlations between geometrical and various physical properties (electrical, magnetic, mechanical, optical, dynamical, transport etc.) in fractal nano- and micro-materials.

Matrix-analytic Methods

Author : Guy Latouche
Publisher : World Scientific
ISBN 13 : 9789812777164
Total Pages : 440 pages
Book Rating : 4.7/5 (771 download)

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Book Synopsis Matrix-analytic Methods by : Guy Latouche

Download or read book Matrix-analytic Methods written by Guy Latouche and published by World Scientific. This book was released on 2002 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: Matrix-analytic methods are fundamental to the analysis of a family of Markov processes rich in structure and of wide applicability. They are extensively used in the modelling and performance analysis of computer systems, telecommunication networks, network protocols and many other stochastic systems of current commercial and engineering interest.This volume deals with: (1) various aspects of the theory of block-structured Markov chains; (2) analysis of complex queueing models; and (3) parameter estimation and specific applications to such areas as cellular mobile systems, FS-ALOHA, the Internet and production systems.

Analysis and Design of Advanced Multiservice Networks Supporting Mobility, Multimedia, and Internetworking

Author : Jose Brazio
Publisher : Springer Science & Business Media
ISBN 13 : 0387281738
Total Pages : 260 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Analysis and Design of Advanced Multiservice Networks Supporting Mobility, Multimedia, and Internetworking by : Jose Brazio

Download or read book Analysis and Design of Advanced Multiservice Networks Supporting Mobility, Multimedia, and Internetworking written by Jose Brazio and published by Springer Science & Business Media. This book was released on 2006-07-02 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent trend towards the interoperability of traditionally separate networks, such as terrestrial, wireless/cellular, and satellite, for the support of multimedia applications poses new and significantly challenging problems to network design. This book reports on the state-of-the-art work developed during the four years of operation of the COST 279 Action, Analysis and Design of Advanced Multiservice Networks supporting Mobility, Multimedia, and Internetworking, by its participating researchers, originating from over 40 research institutions from the academic, industrial, and telecom operator worlds. The work includes both fundamental, methodological, and applied aspects of network performance evaluation and design. Analysis and Design of Advanced Multiservice Networks Supporting Mobility, Multimedia, and Internetworking contains a detailed account of the work developed, supported on an extensive bibliography of material published in the peer-reviewed literature. It contains the following six chapters: IP-Based NetworksQueueing Models Traffic Measurement, Characterization, and ModelingWireless NetworksOptical NetworksPeer-to-Peer Services Analysis and Design of Advanced Multiservice Networks Supporting Mobility, Multimedia, and Internetworking will appeal to both practitioners of network design, and to researchers aiming to map future directions in networking research.

Geostatistics Wollongong '96

Author : Ernest Y. Baafi
Publisher : Springer Science & Business Media
ISBN 13 : 9780792344957
Total Pages : 720 pages
Book Rating : 4.3/5 (449 download)

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Book Synopsis Geostatistics Wollongong '96 by : Ernest Y. Baafi

Download or read book Geostatistics Wollongong '96 written by Ernest Y. Baafi and published by Springer Science & Business Media. This book was released on 1997 with total page 720 pages. Available in PDF, EPUB and Kindle. Book excerpt: The papers in this volume provide a comprehensive account of the current methods and work in geostatistics, including recent theoretical developments and applications. Topics featured include: stochastic simulations, space-time modelling, and Bayesian framework.

Fractal Geometry and Stochastics

Author : Christoph Bandt
Publisher : Birkhäuser
ISBN 13 : 3034877552
Total Pages : 250 pages
Book Rating : 4.0/5 (348 download)

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Book Synopsis Fractal Geometry and Stochastics by : Christoph Bandt

Download or read book Fractal Geometry and Stochastics written by Christoph Bandt and published by Birkhäuser. This book was released on 2013-11-27 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fractal geometry is a new and promising field for researchers from different disciplines such as mathematics, physics, chemistry, biology and medicine. It is used to model complicated natural and technical phenomena. The most convincing models contain an element of randomness so that the combination of fractal geometry and stochastics arises in between these two fields. It contains contributions by outstanding mathematicians and is meant to highlight the principal directions of research in the area. The contributors were the main speakers attending the conference "Fractal Geometry and Stochastics" held at Finsterbergen, Germany, in June 1994. This was the first international conference ever to be held on the topic. The book is addressed to mathematicians and other scientists who are interested in the mathematical theory concerning: • Fractal sets and measures • Iterated function systems • Random fractals • Fractals and dynamical systems, and • Harmonic analysis on fractals. The reader will be introduced to the most recent results in these subjects. Researchers and graduate students alike will benefit from the clear expositions.

Fractal Models in the Earth Sciences

Author : Gabor Korvin
Publisher : Elsevier Publishing Company
ISBN 13 :
Total Pages : 432 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Fractal Models in the Earth Sciences by : Gabor Korvin

Download or read book Fractal Models in the Earth Sciences written by Gabor Korvin and published by Elsevier Publishing Company. This book was released on 1992 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: A fractal is a mathematical set or object whose form is extremely irregular and/or fragmented at all scales. So reads Mandelbrot's definition of the term which he coined and widely popularised in his famous monographs. This volume presents the first systematic summary of the fractal models that have been proposed to explain the irregular features and phenomena of the Earth -- from meandering rivers and rugged coastlines to the pore space of reservoir sandstones and the prediction of earthquakes. No previous knowledge of fractals is assumed. Connections and analogies with other fields of natural and technical sciences (physics, biology, fractography, etc.) are always pointed out. More than 300 illustrations are included, demonstrating how fractal geometry reveals astonishing similarities between natural phenomena at widely different scales. The readership for this book is wide and includes: geological scientists, oceanographers, and meteorologists involved in describing and analysing irregular spatial data; as well as applied mathematicians, physicists and computer scientists looking for new fields of research.