Search results for "Scaling exponent"
showing 4 items of 4 documents
Using the Scaling Analysis to Characterize Financial Markets
2003
We empirically analyze the scaling properties of daily Foreign Exchange rates, Stock Market indices and Bond futures across different financial markets. We study the scaling behaviour of the time series by using a generalized Hurst exponent approach. We verify the robustness of this approach and we compare the results with the scaling properties in the frequency-domain. We find evidence of deviations from the pure Brownian motion behavior. We show that these deviations are associated with characteristics of the specific markets and they can be, therefore, used to distinguish the different degrees of development of the markets.
Scale effects on plot runoff and soil erosion in a mediterranean environment
2017
Explaining scale effects for runoff and erosion improves our understanding of hydrological and erosion processes. In this investigation, plot-scale effects on event runoff per unit area, Qe, sediment concentration, Ce, and soil loss per unit area, SLe, were checked at the Sparacia (Italy) site. Similar information on the scale effects was obtained with different dependent variables, i.e., individual values of Qe, Ce, and SLe for each plot or the mean of their replicated values, and scale indicators, i.e., plot length, l, or plot area, A. The most common result, occurring for 57 to 62% of the events depending on the considered variable, was the lack of any scale effect. When scale effects we…
Features of W production in p-p, p-Pb and Pb-Pb collisions
2017
We consider the production of inclusive W bosons in variety of high-energy hadronic collisions: p--p, p--$\overline{\rm p}$, p--Pb, and Pb--Pb. In particular, we focus on the resulting distributions of charged leptons from W decay that can be measured with relatively low backgrounds. The leading-order expressions within the collinearly factorized QCD indicate that the center-of-mass energy dependence at forward/backward rapidities should be well approximated by a simple power law. The scaling exponent is related to the small-$x$ behaviour of the quark distributions, which is largely driven by the parton evolution. An interesting consequence is the simple scaling law for the lepton charge as…
Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development
2005
The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of daily Foreign Exchange rates, Stock Market indices and fixed income instruments by using the generalized Hurst approach. We show that the scaling exponents are associated with characteristics of the specific markets and can be used to differentiate markets in their stage of development. The robustness of the results is tested by both Monte-Carlo studies and a computation of the scaling in the frequency-domain.