Hurst exponent estimation, verification, portability and parallelization

  • A.S. Kussainov National Nanolaboratory of Open Type, Al-Farabi KazNU, Almaty, Kazakhstan
  • S.G. Kussainov K.I. Satpaev Kazakh National Technical University, Kazakhstan, Almaty

Abstract

We present multiple software programs for the Hurst exponent calculations for a sample time series collected by a neutron monitor detectors array. The first application is carried out by the finite differences approach, using a spreadsheet-type application for a single one hour long data series; the second is a complete, one and a half week long, mathematical and graphical analysis of six acquisition channels in Matlab; the third and the fourth are the data file parser and analyzer in C/C++ compiler on Windows platform, and its modified Linux version for simultaneous, parallel computing  on a virtual cluster of three machines. All applications produce the same results proving the codes’ validity and portability across the operational systems and software packages.

References

1. Zhou J., Gu G.-F., Jiang Z.-Q., et al.Microscopic determinants of the weak-form efficiency of an artificial order-driven stock market // arXiv:1404.1051.-2014.

2. Hurst J., Morandi O., Manfredi G., Hervieux P.-A. SemiclassicalVlasov and fluid models for an electron gas with spin effects // The European Physical Journal D.-2014.-Vol.68.-Issue 6.-P. 11.

3. Hurst H.E. Long term storage capacity of reservoirs // Trans. Am. Soc. Civ. Eng.-1951.-Vol. 116.-P. 770-779.

4. Sankar N.P. et al. Scaling and Fractal Dimension Analysis of DailyForbush Decrease Data // International Journal of Electronic Engineering Research.-2011.- Vol. 3.-Num. 2.-P. 237-246.

5. Flynn M, Pereira W. Ecological studies from biotic data by Hurst exponent and the R/S analysis adaptation to short time series // Biomatematica.-2013.-Vol.23.-P.1-14.

6. GorskiA.Z. et al. Financial multifractality and its subtleties: an example of DAX // Physica.-2002.-Vol. 316 .-P.496 –510.

7. The Shepetov’s database in IZMIRAN at http://cr29.izmiran.ru/vardbaccess/frames-vari.htmlaccessed on August 10, 2014.

8. Pesnell W. D. Solar Cycle Predictions (Invited Review) // Sol. Phys.-2012.-Vol.281.-P.507–532.
Published
2015-04-20
How to Cite
KUSSAINOV, A.S.; KUSSAINOV, S.G.. Hurst exponent estimation, verification, portability and parallelization. Recent Contributions to Physics (Rec.Contr.Phys.), [S.l.], v. 52, n. 1, p. 98-103, apr. 2015. ISSN 2663-2276. Available at: <https://bph.kaznu.kz/index.php/zhuzhu/article/view/965>. Date accessed: 25 oct. 2020.
Section
Nonlinear Physics. Radiophysics

Most read articles by the same author(s)

Obs.: This plugin requires at least one statistics/report plugin to be enabled. If your statistics plugins provide more than one metric then please also select a main metric on the admin's site settings page and/or on the journal manager's settings pages.