Econophysics studies in Estonia
A short review of the econophysics research done in Estonia, devoted to the 15th anniversary of the term "econophysics".
q-fin.GN↗
arXiv subjects
J. Kalda
Publications and source records attributed to J. Kalda.
Properties of low variability periods in financial time series
Properties of low-variability periods in the time series are analysed. The theoretical approach is used to show the relationship between the multi-scaling of low-variability periods and multi-affinity of the time series. It is shown that this technically simple method is capable of reveling more details about time-series than the traditional multi-affine analysis. We have applied this scaling analysis to financial time series: a number of daily currency and stock index time series. The results show a good scaling behaviour for different model parameters. The analysis of high-frequency USD-EUR exchange rate data confirmed the theoretical expectations.
cond-mat.stat-mech↗
Non-linear and scale-invariant analysis of the Heart Rate Variability
Human heart rate fluctuates in a complex and non-stationary manner. Elaborating efficient and adequate tools for the analysis of such signals has been a great challenge for the researchers during last decades. Here, an overview of the main research results in this field is given. The following question are addressed: (a) what are the intrinsic features of the heart rate variability signal; (b) what are the most promising non-linear measures, bearing in mind clinical diagnostic and prognostic applications.
physics.med-ph↗
What does the correlation dimension of the human heart rate measure?
It is shown that in the case of human heart rate, the scaling behaviour of the correlation sum (calculated by the Grassberger-Procaccia algorithm) is a result of the interplay of various factors: finite resolution of the apparatus (finite-size effects), a wide dynamic range of mean heart rate, the amplitude of short-time variability being a decreasing function of the mean heart rate. The value of the scaling exponent depends on all these factors and is a certain measure of short-time variability of the signal.
physics.med-ph↗
Zipf's law in human heartbeat dynamics
It is shown that the distribution of low variability periods in the activity of human heart rate typically follows a multi-scaling Zipf's law. The presence or failure of a power law, as well as the values of the scaling exponents, are personal characteristics depending on the daily habits of the subjects. Meanwhile, the distribution function of the low-variability periods as a whole discriminates efficiently between various heart pathologies. This new technique is also applicable to other non-linear time-series and reflects these aspects of the underlying intermittent dynamics, which are not covered by other methods of linear- and nonlinear analysis.
physics.med-ph↗