Kristinka Ivanova

Power-law correlations in the southern-oscillation-index fluctuations characterizing El Niño.

The southern oscillation index (SOI) is a characteristic of the El Niño phenomenon. SOI monthly averaged data is analyzed for the time interval 1866-2000. The tail of the cumulative distribution of the fluctuations of SOI signal is studied in order to characterize the amplitude scaling of the fluctuations and the occurrence of extreme events. Large fluctuations are more likely to occur than the Gaussian distribution would predict. The time scaling of fluctuations is studied by applying the energy spectrum and the detrended fluctuation analysis statistical method. Self-affine properties are found to be pertinent to the SOI signal and therefore suggest power-law correlations of fluctuations of the signal. An antipersistent type of correlations exists for a time interval ranging from about 4 months to about 6 years. This leads to favoring specific physical models for El Niño description.

Introducing False EUR and False EUR exchange rates

The Euro (EUR) is a new currency introduced by the European Community. Its exchange rate is very puzzling. We have invented a false Euro (FEUR) dating back to 1993 and have derived the exchange rates of the FEUR with respect to currencies not belonging to the EUR, i.e., DKK,CHF,JPY and USD. This allows us to search for correlations between the fluctuations preexisting to the introduction of EUR and present ones in such financial data. The detrended fluctuation analysis (DFA) statistical method is used. This leads to assume a power-law behavior, i.e., a scaling hypothesis, through an exponent α. The latter has demonstrated its usefulness for the investigations of long-range power-law correlations in several types of financial sequences. Our findings show that the α exponent interestingly characterizes fractional Brownian motion of the currency exchange rates between EUR and DKK over a 25 day interval, and usual Brownian motion otherwise and for the three other investigated exchange rates. We can devise an investment strategy based on the localα technique and obtain appreciable gains for the time being.

Correlation studies of open and closed state fluctuations in an ion channel: Analysis of ion current through a large-conductance locust potassium channel

Ion current fluctuations occurring within open and closed states of a large-conductance locust potassium channel (BK channel) were investigated for the existence of correlation. Both the time series, extracted from the ion current signal, were studied by the autocorrelation function and the detrended fluctuation analysis (DFA) methods. The persistent character of the short- and middle-range correlations of time series is shown by the slow decay of the autocorrelation function. The DFA exponent alpha is significantly larger than 0.5. The existence of strongly persistent long-range correlations was detected only for closed state fluctuations, with alpha=0.98+/-0.02. The long-range correlation of the BK channel action is therefore determined by the character of closed states. The main outcome of this study reveals that the memory effect is present not only between successive conducting states of the channel but also independently within the open and closed states themselves. As the ion current fluctuations give information about the dynamics of the channel protein, our results point to the correlated character of the protein movement regardless of whether the channel is in its open or closed state.

Crashes : symptoms, diagnoses and remedies

A brief historical perspective is first given concerning financial crashes, - from the 17th till the 20th century. In modern times, it seems that log periodic oscillations are found before crashes in several financial indices. The same is found in sand pile avalanches on Sierpinski gaskets. A discussion pertains to the after shock period with illustrations from the DAX index. The factual financial observations and the laboratory ones allow us some conjecture on symptoms and remedies for discussing financial crashes along econophysics lines.

Evaluating the Quality of Ground-Based Microwave Radiometer Measurements and Retrievals Using Detrended Fluctuation and Spectral Analysis Methods

Abstract Time series both of microwave radiometer brightness temperature measurements at 23.8 and 31.4 GHz and of retrievals of water vapor and liquid water path from these brightness temperatures are evaluated using the detrended fluctuation analysis method. As quantified by the parameter α, this method (i) enables identification of the timescales over which noise dominates the time series and (ii) characterizes the temporal range of correlations in the time series. The more common spectral analysis method is also used to assess the data, and its results are compared with those from the detrended fluctuation analysis method. The assumption that measurements should have certain scaling properties allows the quality of the measurements to be characterized. The additional assumption that the scaling properties of the measurements of an atmospheric quantity are preserved in a useful retrieval provides a means for evaluating the retrieval itself. Applying these two assumptions to microwave radiometer measurem...

CORRELATIONS BETWEEN RECONSTRUCTED EUR EXCHANGE RATES VERSUS CHF, DKK, GBP, JPY AND USD

On Jan. 1, 1999 the European Union introduced a common currency Euro (

Precise (m,k)-Zipf diagram analysis of mathematical and financial time series when m=6, k=2

EUR

A case study of stratus cloud base height multifractal fluctuations

), to become the legal currency in all eleven countries which form the

Patterns, Trends and Predictions in Stock Market Indices and Foreign Currency Exchange Rates

EUR

Toward a phase diagram for stocks

. In order to test the