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This paper investigates the fractal characters of Baltic Dirty Tanker Index weekly return time series. BDS test and Rescaled Range Analysis are applied for studying non-linear dependence and random of the time series. The Hurst index and acyclic periodic is gained by R/S analysis. Conclusions show that there is non-linear dependence and non-random, also the series show inverse persistence.
This paper presents four detecting algorithms of multi-scale significant change points with both corrections of the dependence and of non-normal distribution in the series to be tested. The four algorithms are respectively the scanning t-test of changes in subseries means or averages (the first center moment), the scanning F-test of changes in subseries variances or standard deviations, the scanning...
Feedback is the trading strategy of irrational investors. Positive feedback traderspsila buying or selling behavior is decided by the stock price of the preceding period. On the presence of positive feedback trading, stock market returns show characteristics which are different from these assumed in the classical financial theory, and thus make the stock market fluctuate extraordinarily. This essay...
In this paper, a new method is proposed for predicting the future evolution of a time series of spacecraft telemetry data. Because such a time series has usually a non-stationary trend, nonlinear functional relationship between inputs and outputs and other uncertainties, an appropriate prediction model for spacecraft data is needed to set up. To this end, we analyze the characteristics of the Probability...
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