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(Anti)coherence and (Anti)persistence in Natural and Mathematical Time Series

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Abstract

A few characteristic exponents describing power law behaviors of the roughness (coherence) and intermittency (persistence) of stochastic time series are recalled and compared to each other. Mention of relevant techniques used to determine them through analysis of fractional Brownian motion and financial time series are recalled. A conjecture is given on why the linear relationships between these exponents do not always seem to hold.

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  1. GRASP* and SUPRAS*, Institute of Physics, B5 University of Liege, B-4000, Liege, Belgium

    Marcel Ausloos

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  1. Marcel Ausloos
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Ausloos, M. (Anti)coherence and (Anti)persistence in Natural and Mathematical Time Series. Journal of Statistical Physics 101, 707 (2000). https://doi.org/10.1023/A:1026486710705

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  • DOI: https://doi.org/10.1023/A:1026486710705

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