731 citations · 1.7k across the 7 of their papers we have counts for
7 papers
Causal Decomposition in the Mutual Causation System
Albert C. Yang, Norden E. Huang, Chung-Kang Peng
Inference of causality in time series has been principally based on the prediction paradigm. Nonetheless, the predictive causality approach may overlook the simultaneous and recipr…
Relation between Magnitude Series Correlations and Multifractal Spectrum Width
Yosef Ashkenazy, Shlomo Havlin, Plamen Ch. Ivanov +3
We study the correlation properties of long-range correlated time series, , with tunable correlation exponent and built-in multifractal properties. For the cases we investigat…
Decomposition of Heartbeat Time Series: Scaling Analysis of the Sign Sequence
Y. Ashkenazy, P. Ch. Ivanov, S. Havlin +4
The cardiac interbeat (RR) increment time series can be decomposed into two sub-sequences: a magnitude series and a sign series. We show that the sign sequence, a simple binary rep…
Magnitude and Sign Correlations in Heartbeat Fluctuations
Yosef Ashkenazy, Plamen Ch. Ivanov, Shlomo Havlin +3
We propose an approach for analyzing signals with long-range correlations by decomposing the signal increment series into magnitude and sign series and analyzing their scaling prop…
The statistical properties of the volatility of price fluctuations
Yanhui Liu, Parameswaran Gopikrishnan, Pierre Cizeau +3
We study the statistical properties of volatility---a measure of how much the market is likely to fluctuate. We estimate the volatility by the local average of the absolute price c…
Volatility distribution in the S&P500 Stock Index
Pierre Cizeau, Yanhui Liu, Martin Meyer +2
We study the volatility of the S&P500 stock index from 1984 to 1996 and find that the volatility distribution can be very well described by a log-normal function. Further, using de…