Fractal Analysis of Stock Index and Electrocardiograph

Title	Fractal Analysis of Stock Index and Electrocardiograph
Creator	蕭又新 Liaw,Sy-Sang;Chiu,Feng-Yuan;Wang,Cheng-Yen;Shiau,You-Hsien
Contributor	應物所
Date	2010.12
Date Issued	25-Sep-2014 12:22:22 (UTC+8)
Summary	We use the modified inverse random midpoint displacement (mIRMD) method to calculate the fractal dimensions of time sequences of arbitrary length. We show that monofractals, crossover-fractals, and the superposition of a fractal, with either a differentiable or periodic function, can be easily identified from the results calculated by the mIRMD. We compare our method with the method of detrended fluctuation analysis (DFA) and point out their differences. We apply our method to real financial and physiological data by considering the movements of the S&P 500 stock index and the electrocardiograph of a patient with ventricular fibrillation.
Relation	Chinese Journal of Physics,48,814-828
Type	article

dc.contributor	應物所	en_US
dc.creator (作者)	蕭又新	zh_TW
dc.creator (作者)	Liaw,Sy-Sang;Chiu,Feng-Yuan;Wang,Cheng-Yen;Shiau,You-Hsien	en_US
dc.date (日期)	2010.12	en_US
dc.date.accessioned	25-Sep-2014 12:22:22 (UTC+8)	-
dc.date.available	25-Sep-2014 12:22:22 (UTC+8)	-
dc.date.issued (上傳時間)	25-Sep-2014 12:22:22 (UTC+8)	-
dc.identifier.uri (URI)	http://nccur.lib.nccu.edu.tw/handle/140.119/70160	-
dc.description.abstract (摘要)	We use the modified inverse random midpoint displacement (mIRMD) method to calculate the fractal dimensions of time sequences of arbitrary length. We show that monofractals, crossover-fractals, and the superposition of a fractal, with either a differentiable or periodic function, can be easily identified from the results calculated by the mIRMD. We compare our method with the method of detrended fluctuation analysis (DFA) and point out their differences. We apply our method to real financial and physiological data by considering the movements of the S&P 500 stock index and the electrocardiograph of a patient with ventricular fibrillation.	en_US
dc.format.extent	755215 bytes	-
dc.format.mimetype	application/pdf	-
dc.language.iso	en_US	-
dc.relation (關聯)	Chinese Journal of Physics,48,814-828	en_US
dc.title (題名)	Fractal Analysis of Stock Index and Electrocardiograph	en_US
dc.type (資料類型)	article	en