Application of Multifractal Statistics Method on Time Series

Yun Fa Li

doi:10.4028/www.scientific.net/AMM.556-562.4559

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vols. 556-562Application of Multifractal Statistics Method on...

Application of Multifractal Statistics Method on Time Series

Abstract:

The fluctuations observed in tokamaks, stellarators and linear machines were similar with turbulent plasma in fusion devices, which were stochastic system, and the application of statistics method on them is studied in depth. First, the relating theories were summarized; Second, the mathematical model of the multifractal process is analyzed; Finally, the simulation on multifractal analysis of plasma turbulence and financial time series is carried out, results show that this method can be applied in time series effectively.

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Periodical:

Applied Mechanics and Materials (Volumes 556-562)

Pages:

4559-4562

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.556-562.4559

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Online since:

May 2014

Authors:

Yun Fa Li*

Keywords:

Financial Time Series, Fluctuations, Multifractal Statistics

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* - Corresponding Author

References

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