Sharif Digital Repository

We report an empirical study of Tehran price index (TEPIX). To analyze our data we use various methods like as, rescaled range analysis (R/S), modified rescaled range analysis (Lo's method), detrended fluctuation analysis (DFA) and generalized Hurst exponents analysis. Based on numerical results, the scaling range of TEPIX returns is specified, long-memory effect or long-range correlation property in this market is investigated, fractal dimension of probability space of TEPIX returns is derived and finally the stage of development in Tehran stock exchange is determined. © 2005 Elsevier B.V. All rights reserved  

The dynamical scattered light intensity and multiplicative cascade model was employed to characterize the anisotropic charged colloidal particles suspension during the so-called Sol-Gel transition. Generally we looked for finding a criterion to distinguish the properties of Sol and Gel states systematically. The probability density function (PDF) of the light scattering intensity shows an obvious change with proceeding of the sample aging process (during of gelation state). Our results confirmed that in the so-called Sol state, the value of non-Gaussian parameter, kW, as a function of time is larger than that of for weak-Gel or in coexistence Sol-Gel state. The number of cascades in the... 

We demonstrate that Markov processes play a fundamental role in probing rough surfaces and characterizing their topography. The surface topography obtained by a probe, as in the atomic force microscopy (AFM) technique, is based on the probe-surface interactions. When the size of the probe tip is comparable with the height of the surface fluctuation, the surface image can be aberrated from its origin. Due to the tip effect, there is a crossover in the structure function of the surface. For scales smaller than the Markov length -the minimum length scale over which a process is Markovian - the stochastic function that describes a rough surface is non-Markovian, whereas for length scales larger... 

Three distinct methods, namely, the spectral density, the multifractal random walk approach, and the multifractal detrended fluctuation analysis are utilized to study the properties of four distinct types of well logs from three oil and gas fields, namely, the natural gamma ray emission, neutron porosity, bulk density, and the sonic transient time logs. Such well logs have never been analyzed by the methods that we utilize in the present study. The results indicate that the well logs exhibit multifractal characteristics, and the estimated Hurst exponents by the three methods are close to each other. Using multifractal detrended fluctuation analysis and the shuffled and surrogated data, we... 

Recently, the visibility graph has been introduced as a novel method for analyzing time series, which maps a time series to a complex network. In this paper we introduce a new algorithm of visibility, "cross-visibility", which reveals the conjugation of two coupled time series. The correspondence between the two time series is mapped to a network, "the cross-visibility graph", to demonstrate the correlation between them. We have applied the algorithm to several correlated and uncorrelated time series, generated by the linear stationary ARFIMA process, in order to better understand the results of the cross-visibility of empirical series. The comparison between the degree distribution of... 

Three distinct methods, namely, the spectral density, the multifractal random walk approach, and the multifractal detrended fluctuation analysis are utilized to study the properties of four distinct types of well logs from three oil and gas fields, namely, the natural gamma ray emission, neutron porosity, bulk density, and the sonic transient time logs. Such well logs have never been analyzed by the methods that we utilize in the present study. The results indicate that the well logs exhibit multifractal characteristics, and the estimated Hurst exponents by the three methods are close to each other. Using multifractal detrended fluctuation analysis and the shuffled and surrogated data, we... 

We have constructed a collaboration network for physicists based in Iran working in different disciplines. By discussing properties like collaborators per author, shortest path, betweenness, and the concept of power in networks for this local model, and comparing with the global model, we understand how a developing country in the Middle East is contributing to the scientific growth in the world statistically. In this comparison, we found some properties of the local model which were not in accordance with the standard global society of science, which should be considered in developing the future policies. Our results show significant differences in factors like the degree and the diameter... 

We carry out a series of cross-correlation analysis of raw well-log data, in order to study the possible connection between natural gamma ray (GR) logs and other types of well logs, such as neutron porosity (NPHI), sonic transient time (denoted usually by DT), and bulk density (RHOB) of oil and gas reservoirs. Three distinct, but complementary, methods are used to analyze the cross correlations, namely, the multifractal detrended cross-correlation analysis (MF-DXA), the so-called Qcc(m) test in conjunction with the statistical test-the χ2(m) distribution-and the cross-wavelet transform (XWT) and wavelet coherency. The Qcc(m) test and MF-DXA are used to identify and quantify the strength of... 

In this paper, we investigate the statistical and scaling properties of the California earthquakes' inter-events over a period of the recent 40 years. To detect long-term correlations behavior, we apply detrended fluctuation analysis (DFA), which can systematically detect and overcome nonstationarities in the data set at all time scales. We calculate for various earthquakes with magnitudes larger than a given M. The results indicate that the Hurst exponent decreases with increasing M; characterized by a Hurst exponent, which is given by, H = 0:34 + 1:53/M, indicating that for events with very large magnitudes M, the Hurst exponent decreases to 0:50, which is for independent events. © Versita... 

Balance theory proposed by Heider for the first time modeled triplet interaction in a signed network, stating that relationships between two people, friendship or enmity, is dependent on a third person. The Hamiltonian of this model has an implicit assumption that all triads are independent, meaning that the type of each triad, being balanced or imbalanced, determined apart from the state of other triads. This independence forces the network to have completely balanced final states. However, there exists evidence indicating that real networks are partially balanced, raising the question of what is the mechanism preventing the system to be perfectly balanced. Our suggestion is to consider a... 

It is well known that the ballistic deposition and the restricted solid-on-solid models belong to the same universality class, having the same roughness and growth exponents. In this paper, we determine some new statistical properties of the two models, such as the Kramers-Moyal coefficients and the Markov length scale, and show them to be distinct for the two models. © 2008 IOP Publishing Ltd  

We have investigated the effect of bias voltage on sheet resistance, surface roughness and surface coverage of Co/NiO x magnetic bilayer. In addition, interface topography and corrosion resistance of the Ta/Co/Cu/Co/NiO x /Si(1 0 0) system have been studied for Co layers deposited at an optimum bias voltage. Atomic force microscopy (AFM) and four point probe sheet resistance (Rs) measurement have been used to determine surface and electrical properties of the sputtered Co layer at different bias voltages ranging from 0 to -80 V. The Co/NiO x bilayer exhibits a minimum surface roughness and low sheet resistance value with a maximum surface coverage at Vb=-60 V resulted in a slight increase of... 

The existence of the important similarities between gelation and glass transition makes it hard to distinguish between the two types of nonergodic states experimentally. Here, we report on a stochastic analysis of the scattered light intensity through a colloidal particles suspension during the gel and glass formation. In this analysis, we exploit the methods developed for complex hierarchical systems, such as turbulence. Using the multiplicative log-normal cascade models, we provide a criterion to distinguish gels from glasses  

We study the rotational motion of nano-flake ferromagnetic disks suspended in a Newtonian fluid, as a potential material owing the vortex-like magnetic configuration. Using analytical expressions for hydrodynamic, magnetic and Brownian torques, the stochastic angular momentum equation is determined in the dilute limit conditions under applied magnetic field. Results are compared against experimental ones and excellent agreement is observed. We also estimate the uncertainty in the orientation of the disks due to the Brownian torque when an external magnetic field aligns them. Interestingly, this uncertainty is roughly proportional to the ratio of thermal energy of fluid to the magnetic energy... 

We provide a simple interpretation of non-Gaussian nature of the light scattering-intensity fluctuations from an aging colloidal suspension of Laponite using the multiplicative cascade model, Markovian method, and volatility correlations. The cascade model and Markovian method enable us to reproduce most of recent empirical findings: long-range volatility correlations and non-Gaussian statistics of intensity fluctuations. We provide evidence that the intensity increments Δx (τ) =I (t+τ) -I (t), upon different delay time scales τ, can be described as a Markovian process evolving in τ. Thus, the τ dependence of the probability density function p (Δx,τ) on the delay time scale τ can be... 

We introduce a method by which stochastic processes are mapped onto complex networks. As examples, we construct the networks for such time series as those for free-jet and low-temperature helium turbulence, the German stock market index (the DAX), and white noise. The networks are further studied by contrasting their geometrical properties, such as the mean length, diameter, clustering, and average number of connections per node. By comparing the network properties of the original time series investigated with those for the shuffled and surrogate series, we are able to quantify the effect of the long-range correlations and the fatness of the probability distribution functions of the series... 

We propose a method for analyzing the data for the rates of exchange of various currencies versus the U.S. dollar. The method analyzes the return time series of the data as a Markov process, and develops an effective equation which reconstructs it. We find that the Markov time scale, i.e., the time scale over which the data are Markov-correlated, is one day for the majority of the daily exchange rates that we analyze. We derive an effective Langevin equation to describe the fluctuations in the rates. The equation contains two quantities, D(1) and D(2), representing the drift and diffusion coefficients, respectively. We demonstrate how the two coefficients are estimated directly from the... 

We describe a general method for analyzing a nonstationary stochastic process X (t) which, unlike many of the previous analysis methods, does not require X (t) to have any scaling feature. The method is used to study the fluctuations in the daily price of oil. It is shown that the returns time series, y (t) =ln [X (t+1) X (t)], is a stationary and Markov process, characterized by a Markov time scale tM. The coefficients of the Kramers-Moyal expansion for the probability density function P (y,t y0, t0) are computed. P (y,t, y0, t0) satisfies a Fokker-Planck equation, which is equivalent to a Langevin equation for y (t) that provides quantitative predictions for the oil price over times that... 

We use multifractal detrended fluctuation analysis (MF-DFA), to study sunspot number fluctuations. The result of the MF-DFA shows that there are three crossover timescales in the fluctuation function. We discuss how the existence of the crossover timescales is related to a sinusoidal trend. Using Fourier detrended fluctuation analysis, the sinusoidal trend is eliminated. The Hurst exponent of the time series without the sinusoidal trend is 0.12 ± 0.01. Also we find that these fluctuations have multifractal nature. Comparing the MF-DFA results for the remaining data set to those for shuffled and surrogate series, we conclude that its multifractal nature is almost entirely due to long range...