英文标题：
《Detecting and interpreting distortions in hierarchical organization of
complex time series》
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作者：
Stanis{\\l}aw Dro\\.zd\\.z, Pawe{\\l} O\\\'swi\\k{e}cimka
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最新提交年份：
2015
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英文摘要：
Hierarchical organization is a cornerstone of complexity and multifractality constitutes its central quantifying concept. For model uniform cascades the corresponding singularity spectra are symmetric while those extracted from empirical data are often asymmetric. Using the selected time series representing such diverse phenomena like price changes and inter-transaction times in the financial markets, sentence length variability in the narrative texts, Missouri River discharge and Sunspot Number variability as examples, we show that the resulting singularity spectra appear strongly asymmetric, more often left-sided but in some cases also right-sided. We present a unified view on the origin of such effects and indicate that they may be crucially informative for identifying composition of the time series. One particularly intriguing case of this later kind of asymmetry is detected in the daily reported Sunspot Number variability. This signals that either the commonly used famous Wolf formula distorts the real dynamics in expressing the largest Sunspot Numbers or, if not, that their dynamics is governed by a somewhat different mechanism.
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中文摘要：
层级组织是复杂性的基石，多重分形构成了其核心量化概念。对于模型均匀级联，相应的奇异谱是对称的，而从经验数据中提取的奇异谱通常是不对称的。使用所选的时间序列代表金融市场中的价格变化和交易时间、叙事文本中的句子长度变化、密苏里河流量和太阳黑子数变化等多种现象，我们表明，由此产生的奇异谱表现出强烈的不对称性，通常是左侧的，但在某些情况下也是右侧的。我们对这种效应的起源提出了一个统一的观点，并指出它们可能对确定时间序列的组成具有重要的信息。在每日报道的太阳黑子数变化中，发现了后一种不对称现象的一个特别有趣的例子。这表明，要么是常用的著名沃尔夫公式在表达最大太阳黑子数时扭曲了真实的动力学，要么是，它们的动力学由某种不同的机制控制。
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分类信息：

一级分类：Physics 物理学
二级分类：Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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