Phase Statistics Approach to Time Series Analysis

Ming-Chya, Ming-Chya

doi:10.3938/jkps.50.304

Cited by 9 publications

(1 citation statement)

References 33 publications

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“…The iterations are terminated by a criterion of convergence. 14) Under the procedures of EMD [14][15][16][17][18][19][20] a time series xðtÞ is decomposed into n IMFs c i 's and a residue r n ,…”

Section: Decompositions Of Hp and Lhpmentioning

confidence: 99%

Local Hydrophobicity in Protein Secondary Structure Formation

Tsong

2013

J. Phys. Soc. Jpn.

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In this paper, the effect of local hydrophobicity (LHP) in protein secondary structure formation is investigated using time series analysis approach. The LHP around a residue in a protein is defined as the sum of hydrophobicity (HP) of the surrounding residues within an effective range in a three-dimensional structure. HP and LHP as functions of the linear amino acid sequence are considered as time series, and are decomposed into a number of intrinsic mode functions (IMFs) using the empirical mode decomposition method. Correlation analysis of IMFs of HP and LHP of the wild-type (WT) proteins shows that the relative strength among IMF pairs is associated with the length scales of secondary structures. Examining the variations of secondary structures in mutants from the WT protein as a result of LHP changes, we propose that LHP is a useful parameter to describe secondary structure formation in proteins.

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Section: Decompositions Of Hp and Lhpmentioning

confidence: 99%

Local Hydrophobicity in Protein Secondary Structure Formation

Tsong

2013

J. Phys. Soc. Jpn.

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Application of Empirical Mode Decomposition to Cardiorespiratory Synchronization

Hu²

Understanding Complex Systems

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A scheme based on the empirical mode decomposition (EMD) and synchrogram introduced by Wu and Hu [Phys. Rev. E 74, 051917 (2006)] to study cardiorespiratory synchronization is reviewed. In the scheme, an experimental respiratory signal is decomposed into a set of intrinsic mode functions (IMFs), and one of these IMFs is selected as a respiratory rhythm to construct the cardiorespiratory synchrogram incorporating with heartbeat data. The analysis of 20 data sets from ten young (21-34 years old) and ten elderly (68-81 years old) rigorously screened healthy subjects shows that regularity of respiratory signals plays a dominant role in cardiorespiratory synchronization.

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Damped Oscillatory Behaviors in the Ratios of Stock Market Indices

2015

Proceedings of the International Conference on Social Modeling and Simulation, Plus Econophysics Colloquium 2014

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This article reviews a recent finding on the properties of stock market indices (Wu, Europhys Lett 97:48009, 2012). A stock market index is an average of a group of stock prices with equal or unequal weights. Different stock market indices derived from various combinations of stocks are not expected to have fixed relations among them. From analyzing the daily index ratios of Dow Jones Industry Average (DJIA), NASDAQ, and S&P500 from 1971/02/05 to 2011/06/30 using the empirical mode decomposition, we found that the ratios NASDAQ/DJIA and S&P500/DJIA, normalized to 1971/02/05, approached and then retained the values of 2 and 1, respectively. The temporal variations of the ratios consist of global trends and oscillatory components including a damped oscillation in 8-year cycle and damping factors of 7183 days (NASDAQ/DJIA) and 138,471 days (S&P500/DJIA). Anomalies in the ratios, corresponding to significant increases and decreases of indices, are local events appearing only in the time scale less than 8-year cycle. The converge of the dominant damped oscillatory component implies that representative stocks in the pair-markets become more coherent as time evolves. IntroductionThe study of financial systems using the concepts and theories developed in physics has attracted much attention in recent years . Such study have revealed interesting properties in financial data, which facilitate deeper understanding of the underlying mechanisms of the systems and are essential for sequent modelling. These include financial stylized facts [4, 7-9, 11, 23, 24], such as fat tails in asset return distributions, absence of autocorrelations of asset returns, aggregational normality, asymmetry between rises and falls, volatility clustering [10], phase clustering [13][14][15], and damped oscillation in ratios of stock market indices [22].

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Phase Statistics Approach to Time Series Analysis

Cited by 9 publications

References 33 publications

Local Hydrophobicity in Protein Secondary Structure Formation

Local Hydrophobicity in Protein Secondary Structure Formation

Application of Empirical Mode Decomposition to Cardiorespiratory Synchronization

Damped Oscillatory Behaviors in the Ratios of Stock Market Indices

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