Zobrazeno 1 - 10
of 71
pro vyhledávání: '"J. F. Muzy"'
Publikováno v:
Quantitative Finance
Quantitative Finance, Taylor & Francis (Routledge), 2016, pp.1-23. ⟨10.1080/14697688.2015.1123287⟩
Quantitative Finance, Taylor & Francis (Routledge), 2016, pp.1-23. ⟨10.1080/14697688.2015.1123287⟩
We present a modified version of the non parametric Hawkes kernel estimation procedure studied in Bacry and Muzy [arXiv:1401.0903, 2014] that is adapted to slowly decreasing kernels. We show on numerical simulations involving a reasonable number of e
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c2a0cc9870d1761fe450c6aaf03dc2f5
https://doi.org/10.1080/14697688.2015.1123287
https://doi.org/10.1080/14697688.2015.1123287
Publikováno v:
Wind Energy. 14:735-748
Several known statistical distributions can describe wind speed data, the most commonly used being the Weibull family. In this paper, a new law, called "M-Rice", is proposed for modeling wind speed frequency distributions. Inspired by recent empirica
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::160c74a65af9e61cf62127d43f80f627
https://doi.org/10.1002/we.454
https://doi.org/10.1002/we.454
Publikováno v:
Wind Energy. 14:719-734
This paper describes a statistical method for short-term forecasting (1-12 hours ahead) of surface layer wind speed using only recent observations, relying on the notion of continuous cascades. Inspired by recent empirical findings that suggest the e
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::11bc9a87090665a440fe352f6bfb0989
https://doi.org/10.1002/we.452
https://doi.org/10.1002/we.452
Akademický článek
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Akademický článek
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Publikováno v:
Physica A: Statistical Mechanics and its Applications. 299:84-92
Multifractal random walks (MRW) correspond to simple solvable “stochastic volatility” processes. Moreover, they provide a simple interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility corre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::781ddb858a9291e568603f0e73e341f5
https://doi.org/10.1016/s0378-4371(01)00284-9
https://doi.org/10.1016/s0378-4371(01)00284-9
Autor:
Yves d'Aubenton-Carafa, Cédric Vaillant, Alain Arneodo, Claude Thermes, Benjamin Audit, J. F. Muzy
Publikováno v:
Physical Review Letters
Physical Review Letters, 2001, 86, pp.2471-4
Physical Review Letters, American Physical Society, 2001, 86, pp.2471-4
Physical Review Letters, 2001, 86, pp.2471-4
Physical Review Letters, American Physical Society, 2001, 86, pp.2471-4
We use the ``wavelet transform microscope'' to carry out a comparative statistical analysis of DNA bending profiles and of the corresponding DNA texts. In the three kingdoms, one reveals on both signals a characteristic scale of 100--200 bp that sepa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dc12ffdd333ea63004a3e8c997aba816
https://doi.org/10.1103/physrevlett.86.2471
https://doi.org/10.1103/physrevlett.86.2471
Autor:
Emmanuel Bacry, Yves d'Aubenton-Carafa, Alain Arneodo, Benjamin Audit, J. F. Muzy, Claude Thermes
Publikováno v:
The European Physical Journal B: Condensed Matter and Complex Systems
The European Physical Journal B: Condensed Matter and Complex Systems, Springer-Verlag, 1998, 1 (2), pp.259-263. ⟨10.1007/s100510050180⟩
The European Physical Journal B: Condensed Matter and Complex Systems, Springer-Verlag, 1998, 1 (2), pp.259-263. ⟨10.1007/s100510050180⟩
We use the wavelet transform to investigate the fractal scaling properties of coding and noncoding human DNA sequences. We find that the strength of the long-range correlations observed in the introns increases with the guanine-cytosine (GC) content,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::73b1873e350475b9564b17184ec60dd5
https://doi.org/10.1007/s100510050180
https://doi.org/10.1007/s100510050180
Publikováno v:
Journal of Statistical Physics
Journal of Statistical Physics, Springer Verlag, 1997, 87 (1-2), pp.179-209. ⟨10.1007/bf02181485⟩
Journal of Statistical Physics, Springer Verlag, 1997, 87 (1-2), pp.179-209. ⟨10.1007/bf02181485⟩
The singular behavior of functions is generally characterized by their Holder exponent. However, we show that this exponent poorly characterizes oscillating singularities. We thus introduce a second exponent that accounts for the oscillations of a si
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c0e71f17b1ef16129beb71a70b8ff3f2
https://doi.org/10.1007/bf02181485
https://doi.org/10.1007/bf02181485
Publikováno v:
Journal of Difference Equations and Applications. 1:117-124
Using a tree-matching algorithm specially devoted to solving the inverse fractal problem, we explore the wavelet transform modulus maxima skeletons of azimuthal Cantor sets obtained by intersecting large mass diffusion-limited aggregates with a circl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ea5f6146c19e0552a4ba34fafc64c7ea
https://doi.org/10.1080/10236199508808013
https://doi.org/10.1080/10236199508808013