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Full-Text Articles in Geophysics and Seismology
Performance Classification Of Ornstein-Uhlenbeck-Type Models Using Fractal Analysis Of Time Series Data., Peter Kwadwo Asante
Performance Classification Of Ornstein-Uhlenbeck-Type Models Using Fractal Analysis Of Time Series Data., Peter Kwadwo Asante
Open Access Theses & Dissertations
This dissertation aims to assess the performance of Ornstein-Uhlenbeck-type models by examining the fractal characteristics of time series data from various sources, including finance, volcanic and earthquake events, US COVID-19 reported cases and deaths, and two simulated time series with differing properties. The time series data is categorized as either a Gaussian or a Lévy process (Lévy walk or Lévy flight) by using three scaling methods: Rescaled range analysis, Detrended fluctuation analysis, and Diffusion entropy analysis. The outcomes of this analysis indicate that the financial indices are classified as Lévy walks, while the volcanic, earthquake, and COVID-19 data are classified …
Lévy Processes: Characterizing Volcanic And Financial Time Series, Peter Kwadwo Asante
Lévy Processes: Characterizing Volcanic And Financial Time Series, Peter Kwadwo Asante
Open Access Theses & Dissertations
In this work, we use the Diffusion Entropy Analysis (DEA) to analyze and detect the scaling properties of time series from both emerging and well established markets as well as volcanic eruptions recorded by a seismic station, both financial and volcanic time series data are known to have high frequencies (i.e they are collected at an extremely fine scale). The objective is to determine the characterization i.e whether they follow a Gaussian or Lévy distribution. If they do follow a Lévy distribution we are then interested in finding if they are characterized by a Lévy walk which has a finite …