arXiv subjects

A. Z. Gorski

Publications and source records attributed to A. Z. Gorski.

12 recordsLinked to original sources

arXiv2014

Accuracy of the box-counting algorithm for noisy fractals

The box-counting (BC) algorithm is applied to calculate fractal dimensions of four fractal sets. The sets are contaminated with an additive noise with amplitude $γ= 10^{-5} ÷10^{-1}$. The accuracy of calculated numerical values of the fractal dimensions is analyzed as a function of $γ$ for different sizes of the data sample ($n_{tot}$). In particular, it has been found that a tiny ($10^{-5}$) addition of noise generates much larger (three orders of magnitude) error of the calculated fractal exponents. Natural saturation of the error for larger noise values prohibits the power-like scaling. Moreover, the noise effect cannot be cured by taking larger data samples.

physics.data-an↗

arXiv2011

Accuracy analysis of the box-counting algorithm

Accuracy of the box-counting algorithm for numerical computation of the fractal exponents is investigated. To this end several sample mathematical fractal sets are analyzed. It is shown that the standard deviation obtained for the fit of the fractal scaling in the log-log plot strongly underestimates the actual error. The real computational error was found to have power scaling with respect to the number of data points in the sample ($n_{tot}$). For fractals embedded in two-dimensional space the error is larger than for those embedded in one-dimensional space. For fractal functions the error is even larger. Obtained formula can give more realistic estimates for the computed generalized fractal exponents' accuracy.

nlin.AO↗

arXiv2008

Scale free effects in world currency exchange network

A large collection of daily time series for 60 world currencies' exchange rates is considered. The correlation matrices are calculated and the corresponding Minimal Spanning Tree (MST) graphs are constructed for each of those currencies used as reference for the remaining ones. It is shown that multiplicity of the MST graphs' nodes to a good approximation develops a power like, scale free distribution with the scaling exponent similar as for several other complex systems studied so far. Furthermore, quantitative arguments in favor of the hierarchical organization of the world currency exchange network are provided by relating the structure of the above MST graphs and their scaling exponents to those that are derived from an exactly solvable hierarchical network model. A special status of the USD during the period considered can be attributed to some departures of the MST features, when this currency (or some other tied to it) is used as reference, from characteristics typical to such a hierarchical clustering of nodes towards those that correspond to the random graphs. Even though in general the basic structure of the MST is robust with respect to changing the reference currency some trace of a systematic transition from somewhat dispersed -- like the USD case -- towards more compact MST topology can be observed when correlations increase.

q-fin.ST↗

arXiv2008

Different fractal properties of positive and negative returns

We perform an analysis of fractal properties of the positive and the negative changes of the German DAX30 index separately using Multifractal Detrended Fluctuation Analysis (MFDFA). By calculating the singularity spectra $f(α)$ we show that returns of both signs reveal multiscaling. Curiously, these spectra display a significant difference in the scaling properties of returns with opposite sign. The negative price changes are ruled by stronger temporal correlations than the positive ones, what is manifested by larger values of the corresponding Hölder exponents. As regards the properties of dominant trends, a bear market is more persistent than the bull market irrespective of the sign of fluctuations.

q-fin.ST↗

arXiv2007

World currency exchange rate cross-correlations

World currency network constitutes one of the most complex structures that is associated with the contemporary civilization. On a way towards quantifying its characteristics we study the cross correlations in changes of the daily foreign exchange rates within the basket of 60 currencies in the period December 1998 -- May 2005. Such a dynamics turns out to predominantly involve one outstanding eigenvalue of the correlation matrix. The magnitude of this eigenvalue depends however crucially on which currency is used as a base currency for the remaining ones. Most prominent it looks from the perspective of a peripheral currency. This largest eigenvalue is seen to systematically decrease and thus the structure of correlations becomes more heterogeneous, when more significant currencies are used as reference. An extreme case in this later respect is the USD in the period considered. Besides providing further insight into subtle nature of complexity, these observations point to a formal procedure that in general can be used for practical purposes of measuring the relative currencies significance on various time horizons.

q-fin.ST↗

arXiv2006

Multifractal Model of Asset Returns versus real stock market dynamics

There is more and more empirical evidence that multifractality constitutes another and perhaps the most significant financial stylized fact. A realistic model of the financial dynamics should therefore incorporate this effect. The most promising in this respect is the Multifractal Model of Asset Returns (MMAR) introduced by Mandelbrot in which multifractality is carried by time deformation. In our study we focus on the Lux extension to MMAR and empirical data from Warsaw Stock Exchange. We show that this model is able to reproduce relevant aspects of the real stock market dynamics.

physics.soc-ph↗

arXiv2006

Complexity characteristics of currency networks

A large set of daily FOREX time series is analyzed. The corresponding correlation matrices (CM) are constructed for USD, EUR and PLZ used as the base currencies. The triangle rule is interpreted as constraints reducing the number of independent returns. The CM spectrum is computed and compared with the cases of shuffled currencies and a fictitious random currency taken as a base currency. The Minimal Spanning Tree (MST) graphs are calculated and the clustering effects for strong currencies are found. It is shown that for MSTs the node rank has power like, scale free behavior. Finally, the scaling exponents are evaluated and found in the range analogous to those identified recently for various complex networks.

physics.soc-ph↗

arXiv2006

Asymmetric matrices in an analysis of financial correlations

Financial markets are highly correlated systems that reveal both the inter-market dependencies and the correlations among their different components. Standard analyzing techniques include correlation coefficients for pairs of signals and correlation matrices for rich multivariate data. In the latter case one constructs a real symmetric matrix with real non-negative eigenvalues describing the correlation structure of the data. However, if one performs a correlation-function-like analysis of multivariate data, when a stress is put on investigation of delayed dependencies among different types of signals, one can calculate an asymmetric correlation matrix with complex eigenspectrum. From the Random Matrix Theory point of view this kind of matrices is closely related to Ginibre Orthogonal Ensemble (GinOE). We present an example of practical application of such matrices in correlation analyses of empirical data. By introducing the time lag, we are able to identify temporal structure of the inter-market correlations. Our results show that the American and German stock markets evolve almost simultaneously without a significant time lag so that it is hard to find imprints of information transfer between these markets. There is only an extremely subtle indication that the German market advances the American one by a few seconds.

physics.soc-ph↗

arXiv2005

Chaotic and Regular Motion in Dissipative Gravitational Billiards

We consider the motion of a particle subjected to the constant gravitational field and scattered inelasticaly by hard boundaries which possess the shape of parabola, wedge, and hyperbola. The billiard itself performs oscillations. The linear dependence of the restitution coefficient on the particle velocity is assumed. We demonstrate that this dynamical system can be either regular or chaotic, which depends on the billiard shape and the oscillation frequency. The trajectory calculations are compared with the experimental data; a good agreement has been achieved. Moreover, the properties of the system has been studied by means of the Lyapunov exponents and the Kaplan-Yorke dimension. Chaotic and nonuniform patterns visible in the experimental data are interpreted as a result of large embedding dimension.

nlin.CD↗

arXiv2002

Financial multifractality and its subtleties: an example of DAX

Detailed study of multifractal characteristics of the financial time series of asset values and of its returns is performed using a collection of the high frequency Deutsche Aktienindex data. The tail index ($α$), the Renyi exponents based on the box counting algorithm for the graph ($d_q$) and the generalized Hurst exponents ($H_q$) are computed in parallel for short and daily return times. The results indicate a more complicated nature of the stock market dynamics than just consistent multifractal.

cond-mat.stat-mech↗

arXiv1996

Decay of Nuclear Giant Resonances: Quantum Self-similar Fragmentation

Scaling analysis of nuclear giant resonance transition probabilities with increasing level of complexity in the background states is performed. It is found that the background characteristics, typical for chaotic systems lead to nontrivial multifractal scaling properties.

chao-dyn↗

arXiv1993

Electromagnetic nucleon properties and quark sea polarization in the Nambu-Jona-Lasinio model

In this paper we present the derivation as well as the numerical results for all electromagnetic form factors of the nucleon within the semibosonized Nambu--Jona-Lasinio (chiral quark soliton) model. Other observables, namely the nucleon mean squared radii, the magnetic moments and the nucleon--$Δ$ splitting are also computed. The calculation has been done taking into account the quark sea polarization effects. The final results, including rotational $1/N_c$ corrections, are compared with the existent experimental data and they are found to be in a good agreement for the constituent quark mass of $400$--$420\ MeV$.

hep-ph↗