2009
DOI: 10.1209/0295-5075/87/28003
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Multifractal properties of elementary cellular automata in a discrete wavelet approach of MF-DFA

Abstract: Europhysics Letters 87 (2009) 28003 celuletas7.tex PACS 89.75.Da -Systems obeying scaling laws PACS 05.45.Tp -Time series analysis PACS 05.40.-a -Fluctuation phenomena, random processes, noise, and Brownian motion In 2005, Nagler and Claussen (Phys. Rev. E 71, 067103 (2005)) investigated the time series of the elementary cellular automata (ECA) for possible (multi)fractal behavior. They eliminated the polynomial background at b through the direct fitting of the polynomial coefficients a and b. We here reconsid… Show more

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Cited by 25 publications
(17 citation statements)
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References 24 publications
(40 reference statements)
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“…But as the values of the Hurst exponent in this case are not significantly far from 0.5, they might have a hint of randomness and this certainly adds to the uncertainty in the forecasting of the present three stock market indices. Study also reveals that both SENSEX and NSE data are multifractal in nature [8][9][10][11][12][13][14][15][16][17][18][19][20]. These two observations point out the possibility of multi-periodic or/and pseudo-periodic behaviour of the SEN-SEX and NIFTY indices.…”
Section: Introductionmentioning
confidence: 92%
“…But as the values of the Hurst exponent in this case are not significantly far from 0.5, they might have a hint of randomness and this certainly adds to the uncertainty in the forecasting of the present three stock market indices. Study also reveals that both SENSEX and NSE data are multifractal in nature [8][9][10][11][12][13][14][15][16][17][18][19][20]. These two observations point out the possibility of multi-periodic or/and pseudo-periodic behaviour of the SEN-SEX and NIFTY indices.…”
Section: Introductionmentioning
confidence: 92%
“…As one practical method to test whether a non-stationary time series has multifractal characteristics, MF-DFA is widely applied in the financial markets [68], molecular biology [73], disaster prevention and control [69], power pricing analysis [74,75] and electricity market [71,76]. Assume the sample X = {x k , k = 1, 2, .…”
Section: Long-term Memorymentioning
confidence: 99%
“…With the aim to have a very acceptable algorithm for the DFA method with much less computational cost and better accuracy, in 2005 Manimaran et al [37] proposed to combine the orthogonal discrete wavelet transform with the DFA procedure. Based on this, Murguía et al [38] implemented and used this approach to investigate the multifractal behavior of the time series of the row-sum signals of certain cellular automata rules [39]. This method is known under the acronym WT-DFA and we use it for the diatom data because of the experience gained with its usage in our previous papers.…”
Section: Dfa Algorithmmentioning
confidence: 99%