From the estimation of the Hurst exponent and the multifractality degree we discriminate the secu... more From the estimation of the Hurst exponent and the multifractality degree we discriminate the security levels of two typical encoding schemes usually applied in chaos-based communication systems. We also analyze the effects that the sampling period and the message amplitude have on the goodness of these techniques. We compare our results with those obtained by considering an information theory approach [O.A. Rosso, R. Vicente, C.R. Mirasso, Phys. Lett. A 372 (2007) 1018]. The Hurst exponent seems to be a sensitive and powerful tool for discriminating the presence of a message embedded in a chaotic carrier.
Efficient tools to characterize stochastic processes are discussed. Quantifiers originally propos... more Efficient tools to characterize stochastic processes are discussed. Quantifiers originally proposed within the framework of information theory, like entropy and statistical complexity, are translated into wavelet language, which renders the above quantifiers into tools that exhibit the important "localization" advantages provided by wavelet theory. Two important and popular stochastic processes, fractional Brownian motion and fractional Gaussian noise, are studied using these wavelet-based informational tools. Exact analytical expressions are obtained for the wavelet probability distribution. Finally, numerical simulations are used to validate our analytical results.
We explore the deviations from efficiency in the returns and volatility returns of Latin-American... more We explore the deviations from efficiency in the returns and volatility returns of Latin-American market indices. Two different approaches are considered. The dynamics of the Hurst exponent is obtained via a wavelet rolling sample approach, quantifying the degree of long memory exhibited by the stock market indices under analysis. On the other hand, the Tsallis q entropic index is measured in order to take into account the deviations from the Gaussian hypothesis. Different dynamic rankings of inefficieny are obtained, each of them contemplates a different source of inefficiency. Comparing with the results obtained for a developed country (US), we confirm a similar degree of long-range dependence for our emerging markets. Moreover, we show that the inefficiency in the Latin-American countries comes principally from the non-Gaussian form of the probability distributions.
Physica A-statistical Mechanics and Its Applications, 2006
We analyze, within the wavelet theory framework, the wandering over a screen of the centroid of a... more We analyze, within the wavelet theory framework, the wandering over a screen of the centroid of a laser beam after it has propagated through a time-changing laboratory-generated turbulence. Following a previous work (Fractals 12 (2004) 223) two quantifiers are used, the Hurst parameter, H, and the normalized total wavelet entropy. The temporal evolution of both quantifiers, obtained from the laser spot data stream, is studied and compared. This allows us to extract information on the stochastic process associated with the turbulence dynamics.
We study the multifractal nature of daily price and volatility returns of Latin-American stock ma... more We study the multifractal nature of daily price and volatility returns of Latin-American stock markets employing the multifractal detrended fluctuation analysis. Comparing with the results obtained for a developed country (US) we conclude that the multifractality degree is higher for emerging markets. Moreover, we propose a stock market inefficiency ranking by considering the multifractality degree as a measure of inefficiency. Finally, we analyze the sources of multifractality quantifying the contributions of two factors, the long-range correlations of the time series and the broad fat-tail distributions. We find that the multifractal structure of Latin-American market indices can be mainly attributed to the latter.
From the estimation of the Hurst exponent and the multifractality degree we discriminate the secu... more From the estimation of the Hurst exponent and the multifractality degree we discriminate the security levels of two typical encoding schemes usually applied in chaos-based communication systems. We also analyze the effects that the sampling period and the message amplitude have on the goodness of these techniques. We compare our results with those obtained by considering an information theory approach [O.A. Rosso, R. Vicente, C.R. Mirasso, Phys. Lett. A 372 (2007) 1018]. The Hurst exponent seems to be a sensitive and powerful tool for discriminating the presence of a message embedded in a chaotic carrier.
Efficient tools to characterize stochastic processes are discussed. Quantifiers originally propos... more Efficient tools to characterize stochastic processes are discussed. Quantifiers originally proposed within the framework of information theory, like entropy and statistical complexity, are translated into wavelet language, which renders the above quantifiers into tools that exhibit the important "localization" advantages provided by wavelet theory. Two important and popular stochastic processes, fractional Brownian motion and fractional Gaussian noise, are studied using these wavelet-based informational tools. Exact analytical expressions are obtained for the wavelet probability distribution. Finally, numerical simulations are used to validate our analytical results.
We explore the deviations from efficiency in the returns and volatility returns of Latin-American... more We explore the deviations from efficiency in the returns and volatility returns of Latin-American market indices. Two different approaches are considered. The dynamics of the Hurst exponent is obtained via a wavelet rolling sample approach, quantifying the degree of long memory exhibited by the stock market indices under analysis. On the other hand, the Tsallis q entropic index is measured in order to take into account the deviations from the Gaussian hypothesis. Different dynamic rankings of inefficieny are obtained, each of them contemplates a different source of inefficiency. Comparing with the results obtained for a developed country (US), we confirm a similar degree of long-range dependence for our emerging markets. Moreover, we show that the inefficiency in the Latin-American countries comes principally from the non-Gaussian form of the probability distributions.
Physica A-statistical Mechanics and Its Applications, 2006
We analyze, within the wavelet theory framework, the wandering over a screen of the centroid of a... more We analyze, within the wavelet theory framework, the wandering over a screen of the centroid of a laser beam after it has propagated through a time-changing laboratory-generated turbulence. Following a previous work (Fractals 12 (2004) 223) two quantifiers are used, the Hurst parameter, H, and the normalized total wavelet entropy. The temporal evolution of both quantifiers, obtained from the laser spot data stream, is studied and compared. This allows us to extract information on the stochastic process associated with the turbulence dynamics.
We study the multifractal nature of daily price and volatility returns of Latin-American stock ma... more We study the multifractal nature of daily price and volatility returns of Latin-American stock markets employing the multifractal detrended fluctuation analysis. Comparing with the results obtained for a developed country (US) we conclude that the multifractality degree is higher for emerging markets. Moreover, we propose a stock market inefficiency ranking by considering the multifractality degree as a measure of inefficiency. Finally, we analyze the sources of multifractality quantifying the contributions of two factors, the long-range correlations of the time series and the broad fat-tail distributions. We find that the multifractal structure of Latin-American market indices can be mainly attributed to the latter.
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