Relevant bibliographies by topics / Multiscaling of Moments

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Academic literature on the topic 'Multiscaling of Moments'

Author: Grafiati
Published: 9 March 2023
Last updated: 31 July 2025

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Journal articles on the topic "Multiscaling of Moments"

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Marinari, E., V. Martin-Mayor, G. Parisi, F. Ricci-Tersenghi, and J. J. Ruiz-Lorenzo. "Multiscaling in the 3D critical site-diluted Ising ferromagnet." Journal of Statistical Mechanics: Theory and Experiment 2024, no. 1 (2024): 013301. http://dx.doi.org/10.1088/1742-5468/ad13fe.

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Abstract We study numerically the appearance of multiscaling behavior in the 3D ferromagnetic Ising site-diluted model, in the form of a multifractal distribution of the decay exponents for the spatial correlation functions at the critical temperature. We have computed the exponents of the long-distance decay of higher moments of the correlation function, up to the 10th power, by studying three different quantities: global susceptibilities, local susceptibilities and correlation functions. We have found very clear evidence of multiscaling behavior.
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Andreoli, Alessandro, Francesco Caravenna, Paolo Dai Pra, and Gustavo Posta. "Scaling and Multiscaling in Financial Series: A Simple Model." Advances in Applied Probability 44, no. 4 (2012): 1018–51. http://dx.doi.org/10.1239/aap/1354716588.

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We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate, and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a crossover in the log-return distribution from power-law tails (small time) to a Gaussian behavior (large time), slow decay in the volatility autocorrelation, and multiscaling of moments. Despite its few parameters, the model is able to fit several key features of the time series of financial indexes, such as the Dow Jones Industrial Average, with remarkable a
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Andreoli, Alessandro, Francesco Caravenna, Paolo Dai Pra, and Gustavo Posta. "Scaling and Multiscaling in Financial Series: A Simple Model." Advances in Applied Probability 44, no. 04 (2012): 1018–51. http://dx.doi.org/10.1017/s0001867800006030.

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We propose a simple stochastic volatility model which is analytically tractable, very easy to simulate, and which captures some relevant stylized facts of financial assets, including scaling properties. In particular, the model displays a crossover in the log-return distribution from power-law tails (small time) to a Gaussian behavior (large time), slow decay in the volatility autocorrelation, and multiscaling of moments. Despite its few parameters, the model is able to fit several key features of the time series of financial indexes, such as the Dow Jones Industrial Average, with remarkable a
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Terdik, Gy, W. A. Woyczynski, and A. Piryatinska. "Fractional- and integer-order moments, and multiscaling for smoothly truncated Lévy flights." Physics Letters A 348, no. 3-6 (2006): 94–109. http://dx.doi.org/10.1016/j.physleta.2005.08.083.

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Harris, D., A. Seed, M. Menabde, and G. Austin. "Factors affecting multiscaling analysis of rainfall time series." Nonlinear Processes in Geophysics 4, no. 3 (1997): 137–56. http://dx.doi.org/10.5194/npg-4-137-1997.

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Abstract. Simulations based on random multiplicative cascade models are used to investigate the uncertainty in estimates of parameters characterizing the multiscaling nature of rainfall time series. The principal parameters used and discussed are the spectral exponent, β, and the K(q) function which characterizes the scaling of the moments. By simulating a large number of series, the sampling variability of parameter estimates in relation to the length of the time series is assessed and found to be in excess of 10%-20% for fields less than ~104 points in length. The issue of long time series w
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Saa, A., G. Gascó, J. B. Grau, J. M. Antón, and A. M. Tarquis. "Comparison of gliding box and box-counting methods in river network analysis." Nonlinear Processes in Geophysics 14, no. 5 (2007): 603–13. http://dx.doi.org/10.5194/npg-14-603-2007.

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Abstract. We use multifractal analysis to estimate the Rényi dimensions of river basins by two different partition methods. These methods differ in the way that the Euclidian plane support of the measure is covered, partitioning it by using mutually exclusive boxes or by gliding a box over the plane. Images of two different drainage basins, for the Ebro and Tajo rivers, located in Spain, were digitalized with a resolution of 0.5 km, giving image sizes of 617×1059 pixels and 515×1059, respectively. Box sizes were chosen as powers of 2, ranging from 2×4 pixels to 512×1024 pixels located within t
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Gagnon, J. S., S. Lovejoy, and D. Schertzer. "Multifractal earth topography." Nonlinear Processes in Geophysics 13, no. 5 (2006): 541–70. http://dx.doi.org/10.5194/npg-13-541-2006.

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Abstract. This paper shows how modern ideas of scaling can be used to model topography with various morphologies and also to accurately characterize topography over wide ranges of scales. Our argument is divided in two parts. We first survey the main topographic models and show that they are based on convolutions of basic structures (singularities) with noises. Focusing on models with large numbers of degrees of freedom (fractional Brownian motion (fBm), fractional Levy motion (fLm), multifractal fractionally integrated flux (FIF) model), we show that they are distinguished by the type of unde
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Harris, D., M. Menabde, A. Seed, and G. Austin. "Breakdown coefficients and scaling properties of rain fields." Nonlinear Processes in Geophysics 5, no. 2 (1998): 93–104. http://dx.doi.org/10.5194/npg-5-93-1998.

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Abstract. The theory of scale similarity and breakdown coefficients is applied here to intermittent rainfall data consisting of time series and spatial rain fields. The probability distributions (pdf) of the logarithm of the breakdown coefficients are the principal descriptor used. Rain fields are distinguished as being either multiscaling or multiaffine depending on whether the pdfs of breakdown coefficients are scale similar or scale dependent, respectively. Parameter estimation techniques are developed which are applicable to both multiscaling and multiaffine fields. The scale parameter (wi
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HOOGE, C., S. LOVEJOY, S. PECKNOLD, J. F. MALOUIN, and D. SCHERTZER. "UNIVERSAL MULTIFRACTALS IN SEISMICITY." Fractals 02, no. 03 (1994): 445–49. http://dx.doi.org/10.1142/s0218348x94000624.

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Previous studies have examined the spatial, temporal or magnitude distributions of earthquakes. Moreover, others have shown that the spatial distribution of earthquakes is multiscaling. We extend these studies by incorporating the magnitude of the events when examining the scaling properties of the statistics of the earthquakes. We introduce seismic fields as deduced from the maximum ground motion of seismic events (i.e. earthquakes). We then show that these fields are multifractals. Moreover, using a technique called the double trace moment (DTM) analysis, we present here the estimates for th
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Seuront, L., F. Schmitt, D. Schertzer, Y. Lagadeuc, and S. Lovejoy. "Multifractal intermittency of Eulerian and Lagrangian turbulence of ocean temperature and plankton fields." Nonlinear Processes in Geophysics 3, no. 4 (1996): 236–46. http://dx.doi.org/10.5194/npg-3-236-1996.

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Abstract. In this paper, we present evidence that intermittency of Eulerian and Lagrangian turbulence of ocean temperature and plankton fields is multifractal and furthermore can be analysed with the help of universal multifractals. We analyse time series of temperature and in vivo fluorescence taken from a drifter in the mixed coastal waters of the eastern English Channel. Two analysis techniques are used to compute the fundamental universal multifiractal parameters, which describe all the statistics of the turbulent fluctuations: the analysis of the scale invariant structure function exponen
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Dissertations / Theses on the topic "Multiscaling of Moments"

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CORBETTA, JACOPO. "General smile asymptotics and a multiscaling stochastic volatility model." Doctoral thesis, Università degli Studi di Milano-Bicocca, 2015. http://hdl.handle.net/10281/76538.

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In this thesis we discuss several aspects of the implied volatility surface. We first derive some model independent results, linking tail probabilities to option price and implied volatility. We then apply these results to a specific stochastic volatility model, obtaining a complete picture of the asymptotic volatility smile for bounded maturity. In Chapter 1 we present an extended summary of all the results obtained in this thesis. The details are contained in the following chapters, that are structured as follows. In Chapter 2 we show that, under general conditions satisfied by many model
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