Browsing by Subject "Fractals"
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Item Open Access Bidding structure, market efficiency and persistence in a multi-time tariff setting(Elsevier, 2016) Avci-Surucu, E.; Aydogan, A. K.; Akgul, D.The purpose of this study is to examine the fractal dynamics of day ahead electricity prices by using parametric and semi parametric approaches for each time zone in a multi-time tariff setting in the framework of bidding strategies, market efficiency and persistence of exogenous shocks. We find that that electricity prices have long term correlation structure for the first and third time zones indicating that market participants bid hyperbolically and not at their marginal costs, market is not weak form efficient at these hours and exogenous shocks to change the mean level of prices will have permanent effect and be effective. On the other hand, for the second time zone we find that price series does not exhibit long term memory. This finding suggests the weak form efficiency of the market in these hours and that market participants bid at their marginal costs. Furthermore this indicates that exogenous shocks will have temporary effect on electricity prices in these hours. These findings constitute an important foundation for policy makers and market participants to develop appropriate electricity price forecasting tools, market monitoring indexes and to conduct ex-ante impact assessment.Item Open Access The discrete fractional Fourier transformation(IEEE, 1996) Arıkan, Orhan; Kutay, M. Alper; Özaktaş, Haldun M.; Akdemir, Özer KorayBased on the fractional Fourier transformation of sampled periodic functions, the discrete form of the fractional Fourier transformation is obtained. It is found that only for a certain dense set of fractional orders such a discrete transformation is possible to define. Also, for its efficient computation a fast algorithm, which has the same complexity as the FFT, is given.Item Open Access Financial earthquakes, aftershocks and scaling in emerging stock markets(Elsevier BV, 2004) Selçuk, F.This paper provides evidence for scaling laws in emerging stock markets. Estimated parameters using different definitions of volatility show that the empirical scaling law in every stock market is a power law. This power law holds from 2 to 240 business days (almost 1 year). The scaling parameter in these economies changes after a change in the definition of volatility. This finding indicates that the stock returns may have a multifractal nature. Another scaling property of stock returns is examined by relating the time after a main shock to the number of aftershocks per unit time. The empirical findings show that after a major fall in the stock returns, the stock market volatility above a certain threshold shows a power law decay, described by Omori's law. © 2003 Elsevier B.V. All rights reserved.Item Open Access Generating connected textured fractal patterns using Markov random fields(Institute of Electrical and Electronics Engineers, 1991) Onural, L.An algorithm that yields textured and connected binary fractals is presented. The texture is imposed by modeling the fractal as a Markov random field (MRF) at every resolution level. The model size and the parameters specify the texture. The generation starts at a coarser level and continues at finer levels. Connectivity, which is a global property, is maintained by restricting the flow of the sample generating Markov chain within a limited subset of all possible outcomes of the Markov random field. The texture is controlled by the parameters of the MRF model being used. Sample patterns are shown.Item Open Access Intraday dynamics of stock market returns and volatility(Elsevier BV, 2006) Selçuk, F.; Gençay, R.This paper provides new empirical evidence for intraday scaling behavior of stock market returns utilizing a 5 min stock market index (the Dow Jones Industrial Average) from the New York Stock Exchange. It is shown that the return series has a multifractal nature during the day. In addition, we show that after a financial "earthquake", aftershocks in the market follow a power law, analogous to Omori's law. Our findings indicate that the moments of the return distribution scale nonlinearly across time scales and accordingly, volatility scaling is nonlinear under such a data generating mechanism. © 2006 Elsevier B.V. All rights reserved.Item Open Access Spectra of self-similar Laplacians on the Sierpinski gasket with twists(World Scientific Publishing Co. Pte. Ltd., 2008) Blasiak, A.; Strichartz, R. S.; Ugurcan, B. E.We study the spectra of a two-parameter family of self-similar Laplacians on the Sierpinski gasket (SG) with twists. By this we mean that instead of the usual IFS that yields SG as its invariant set, we compose each mapping with a reflection to obtain a new IFS that still has SG as its invariant set, but changes the definition of self-similarity. Using recent results of Cucuringu and Strichartz, we are able to approximate the spectra of these Laplacians by two different methods. To each Laplacian we associate a self-similar embedding of SG into the plane, and we present experimental evidence that the method of outer approximation, recently introduced by Berry, Goff and Strichartz, when applied to this embedding, yields the spectrum of the Laplacian (up to a constant multiple). © 2008 World Scientific Publishing Company.Item Open Access Validation of electromagnetic field enhancement in near-infrared through Sierpinski fractal nanoantennas(Optical Society of American (OSA), 2014) Cakmakyapan, S.; Cinel, N.A.; Cakmak, A.O.; Özbay, EkmelWe introduced fractal geometry to the conventional bowtie antennas. We experimentally and numerically showed that the resonance of the bowtie antennas goes to longer wavelengths, after each fractalization step, which is considered a tool to miniaturize the main bowtie structure. We also showed that the fractal geometry provides multiple hot spots on the surface, and it can be used as an efficient SERS substrate. © 2014 Optical Society of America.