Degree distributions of the visibility graphs mapped from fractional Brownian motions and multifractal random walks

DOI10.1016/J.PHYSLETA.2009.08.041MaRDI QIDQ407818zbMATH OpenOpenAlexFDO

Authors Zhi-Qiang Jiang, Wei-Xing Zhou, Xiao-Hui Ni

Publication date 28 March 2012

Published in Physics Letters. A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0812.2099

zbMATH Keywords

fractional Brownian motioncomplex networkspower-law distributionmultifractal random walkvisibility graph

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Small world graphs, complex networks (graph-theoretic aspects) (05C82) Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Random walks on graphs (05C81) Fractional ordinary differential equations (34A08) Microeconomic theory (price theory and economic markets) (91B24)

Abstract: The dynamics of a complex system is usually recorded in the form of time series, which can be studied through its visibility graph from a complex network perspective. We investigate the visibility graphs extracted from fractional Brownian motions and multifractal random walks, and find that the degree distributions exhibit power-law behaviors, in which the power-law exponent $alpha$ is a linear function of the Hurst index $H$ of the time series. We also find that the degree distribution of the visibility graph is mainly determined by the temporal correlation of the original time series with minor influence from the possible multifractal nature. As an example, we study the visibility graphs constructed from two Chinese stock market indexes and unveil that the degree distributions have power-law tails, where the tail exponents of the visibility graphs and the Hurst indexes of the indexes are close to the $alphasimH$ linear relationship.

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Cites work

• scientific article; zbMATH DE number 1944329 (Why is no real title available?)
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Cited in

(25)

• Fractal and complex network analyses of protein molecular dynamics
• Unified functional network and nonlinear time series analysis for complex systems science: the pyunicorn package
• Visibility graph analysis for re-sampled time series from auto-regressive stochastic processes
• Hurst exponent estimation of self-affine time series using quantile graphs
• From time series to complex networks: the phase space coarse graining
• Markov-binary visibility graph: a new method for analyzing complex systems
• The geometry of chaotic dynamics --- a complex network perspective
• Control and stochastic dynamic behavior of fractional Gaussian noise-excited time-delayed inverted pendulum system
• Recurrence networks -- a novel paradigm for nonlinear time series analysis
• A novel weight determination method for time series data aggregation
• Comparative regression analysis to degree distributions of visibility graph
• Time irreversibility and intrinsics revealing of series with complex network approach
• Tetradic motif profiles of horizontal visibility graphs
• Multifractality and Laplace spectrum of horizontal visibility graphs constructed from fractional Brownian motions
• Nonuniversality of the horizontal visibility graph in inferring series periodicity
• Horizontal visibility graphs are uniquely determined by their directed degree sequence
• Research on spatial economic structure for different economic sectors from a perspective of a complex network
• The visibility graph of \(n\)-bonacci sequence
• Recurrence-based time series analysis by means of complex network methods
• From standard alpha-stable Lévy motions to horizontal visibility networks: dependence of multifractal and Laplacian spectrum
• Multi-scale transition matrix approach to time series
• Visibility graph analysis of bitcoin price series
• The application of complex network time series analysis in turbulent heated jets
• Fractal analysis of recurrence networks constructed from the two-dimensional fractional Brownian motions
• Complex network approach to fractional time series

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Uses Software

• plfit

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