Fractional dynamics in financial indexes

The goal of this study is the analysis of the dynamical properties of financial data series from 32 worldwide stock market indices during the period 2000–2009 at a daily time horizon. Stock market indices are examples of complex interacting systems for which a huge amount of data exists. The methods and algorithms that have been explored for the description of physical phenomena become an effective background in the analysis of economical data. In this perspective are applied the classical concepts of signal analysis, Fourier transform and methods of fractional calculus. The results reveal classification patterns typical of fractional dynamical systems.

And I say to myself: “What a fractional world!”

This paper discusses several complex systems in the perspective of fractional dynamics. For prototype systems are considered the cases of deoxyribonucleic acid decoding, financial evolution, earthquakes events, global warming trend, and musical rhythms. The application of the Fourier transform and of the power law trendlines leads to an assertive representation of the dynamics and to a simple comparison of their characteristics. Moreover, the gallery of different systems, both natural and man made, demonstrates the richness of phenomena that can be described and studied with the tools of fractional calculus.

Fractional-order impulse response of the respiratory system

This paper presents the measurement, frequency-response modeling and identification, and the corresponding impulse time response of the human respiratory impedance and admittance. The investigated adult patient groups were healthy, diagnosed with chronic obstructive pulmonary disease and kyphoscoliosis, respectively. The investigated children patient groups were healthy, diagnosed with asthma and cystic fibrosis, respectively. Fractional order (FO) models are identified on the measured impedance to quantify the respiratory mechanical properties. Two methods are presented for obtaining and simulating the time-domain impulse response from FO models of the respiratory admittance: (i) the classical pole-zero interpolation proposed by Oustaloup in the early 90s, and (ii) the inverse discrete Fourier Transform (DFT). The results of the identified FO models for the respiratory admittance are presented by means of their average values for each group of patients. Consequently, the impulse time response calculated from the frequency response of the averaged FO models is given by means of the two methods mentioned above. Our results indicate that both methods provide similar impulse response data. However, we suggest that the inverse DFT is a more suitable alternative to the high order transfer functions obtained using the classical Oustaloup filter. Additionally, a power law model is fitted on the impulse response data, emphasizing the intrinsic fractal dynamics of the respiratory system.

Fractional dynamics in the trajectory control of redundant manipulators

Under the pseudoinverse control, robots with kinematical redundancy exhibit an undesirable chaotic joint motion which leads to an erratic behavior. This paper studies the complexity of fractional dynamics of the chaotic response. Fourier and wavelet analysis provides a deeper insight, helpful to know better the lack of repeatability problem of redundant manipulators. This perspective for the study of the chaotic phenomena will permit the development of superior trajectory control algorithms.

Fractional calculus analysis of the cosmic microwave background

Cosmic microwave background (CMB) radiation is the imprint from an early stage of the Universe and investigation of its properties is crucial for understanding the fundamental laws governing the structure and evolution of the Universe. Measurements of the CMB anisotropies are decisive to cosmology, since any cosmological model must explain it. The brightness, strongest at the microwave frequencies, is almost uniform in all directions, but tiny variations reveal a spatial pattern of small anisotropies. Active research is being developed seeking better interpretations of the phenomenon. This paper analyses the recent data in the perspective of fractional calculus. By taking advantage of the inherent memory of fractional operators some hidden properties are captured and described.

Analysis of Natural and Artificial Phenomena Using Signal Processing and Fractional Calculus

In this paper we study several natural and man-made complex phenomena in the perspective of dynamical systems. For each class of phenomena, the system outputs are time-series records obtained in identical conditions. The time-series are viewed as manifestations of the system behavior and are processed for analyzing the system dynamics. First, we use the Fourier transform to process the data and we approximate the amplitude spectra by means of power law functions. We interpret the power law parameters as a phenomenological signature of the system dynamics. Second, we adopt the techniques of non-hierarchical clustering and multidimensional scaling to visualize hidden relationships between the complex phenomena. Third, we propose a vector field based analogy to interpret the patterns unveiled by the PL parameters.

On Hankel Transform of Generalized Mathieu Series

Mathematics Subject Classification: Primary 33E20, 44A10; Secondary 33C10, 33C20, 44A20

Solution of Space-Time Fractional Schrödinger Equation Occurring in Quantum Mechanics

Dedicated to Professor A.M. Mathai on the occasion of his 75-th birthday. Mathematics Subject Classi¯cation 2010: 26A33, 44A10, 33C60, 35J10.

Methods of Fourier optics in digital holographic microscopy

In this paper, processing methods of Fourier optics implemented in a digital holographic microscopy system are presented. The proposed methodology is based on the possibility of the digital holography in carrying out the whole reconstruction of the recorded wave front and consequently, the determination of the phase and intensity distribution in any arbitrary plane located between the object and the recording plane. In this way, in digital holographic microscopy the field produced by the objective lens can be reconstructed along its propagation, allowing the reconstruction of the back focal plane of the lens, so that the complex amplitudes of the Fraunhofer diffraction, or equivalently the Fourier transform, of the light distribution across the object can be known. The manipulation of Fourier transform plane makes possible the design of digital methods of optical processing and image analysis. The proposed method has a great practical utility and represents a powerful tool in image analysis and data processing. The theoretical aspects of the method are presented, and its validity has been demonstrated using computer generated holograms and images simulations of microscopic objects. (c) 2007 Elsevier B.V. All rights reserved.

Rotation-discriminating template matching based on Fourier coefficients of radial projections with robustness to scaling and partial occlusion

We consider brightness/contrast-invariant and rotation-discriminating template matching that searches an image to analyze A for a query image Q We propose to use the complex coefficients of the discrete Fourier transform of the radial projections to compute new rotation-invariant local features. These coefficients can be efficiently obtained via FFT. We classify templates in ""stable"" and ""unstable"" ones and argue that any local feature-based template matching may fail to find unstable templates. We extract several stable sub-templates of Q and find them in A by comparing the features. The matchings of the sub-templates are combined using the Hough transform. As the features of A are computed only once, the algorithm can find quickly many different sub-templates in A, and it is Suitable for finding many query images in A, multi-scale searching and partial occlusion-robust template matching. (C) 2009 Elsevier Ltd. All rights reserved.

Entropy analysis of DNA code dynamics in human chromosomes

Deoxyribonucleic acid, or DNA, is the most fundamental aspect of life but present day scientific knowledge has merely scratched the surface of the problem posed by its decoding. While experimental methods provide insightful clues, the adoption of analysis tools supported by the formalism of mathematics will lead to a systematic and solid build-up of knowledge. This paper studies human DNA from the perspective of system dynamics. By associating entropy and the Fourier transform, several global properties of the code are revealed. The fractional order characteristics emerge as a natural consequence of the information content. These properties constitute a small piece of scientific knowledge that will support further efforts towards the final aim of establishing a comprehensive theory of the phenomena involved in life.

On the DNA of eleven mammals

This paper studies the DNA code of eleven mammals from the perspective of fractional dynamics. The application of Fourier transform and power law trendlines leads to a categorical representation of species and chromosomes. The DNA information reveals long range memory characteristics.

Identifying economic periods and crisis with the multidimensional scaling

This paper applied MDS and Fourier transform to analyze different periods of the business cycle. With such purpose, four important stock market indexes (Dow Jones, Nasdaq, NYSE, S&P500) were studied over time. The analysis under the lens of the Fourier transform showed that the indexes have characteristics similar to those of fractional noise. By the other side, the analysis under the MDS lens identified patterns in the stock markets specific to each economic expansion period. Although the identification of patterns characteristic to each expansion period is interesting to practitioners (even if only in a posteriori fashion), further research should explore the meaning of such regularities and target to find a method to estimate future crisis.

Dynamics of the Dow Jones and the NASDAQ stock indexes

The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indices. We analyze the Dow Jones Industrial Average ( ∧ DJI) and the NASDAQ Composite ( ∧ IXIC) indexes at a daily time horizon. The methods and algorithms that have been explored for description of physical phenomena become an effective background, and even inspiration, for very productive methods used in the analysis of economical data. We start by applying the classical concepts of signal analysis, Fourier transform, and methods of fractional calculus. In a second phase we adopt a pseudo phase plane approach.

The Persistence of Memory

This paper analyzes several natural and man-made complex phenomena in the perspective of dynamical systems. Such phenomena are often characterized by the absence of a characteristic length-scale, long range correlations and persistent memory, which are features also associated to fractional order systems. For each system, the output, interpreted as a manifestation of the system dynamics, is analyzed by means of the Fourier transform. The amplitude spectrum is approximated by a power law function and the parameters are interpreted as an underlying signature of the system dynamics. The complex systems under analysis are then compared in a global perspective in order to unveil and visualize hidden relationships among them.