dario perez | Saratov State Agrarian Unyversity (original) (raw)

Papers by dario perez

Optics Communications, 2009

From the estimation of the Hurst exponent and the multifractality degree we discriminate the secu... more From the estimation of the Hurst exponent and the multifractality degree we discriminate the security levels of two typical encoding schemes usually applied in chaos-based communication systems. We also analyze the effects that the sampling period and the message amplitude have on the goodness of these techniques. We compare our results with those obtained by considering an information theory approach [O.A. Rosso, R. Vicente, C.R. Mirasso, Phys. Lett. A 372 (2007) 1018]. The Hurst exponent seems to be a sensitive and powerful tool for discriminating the presence of a message embedded in a chaotic carrier.

Physica A-statistical Mechanics and Its Applications, 2009

In this paper we introduce two new quantifiers for the stock market inefficiency: the number of f... more In this paper we introduce two new quantifiers for the stock market inefficiency: the number of forbidden patterns and the normalized permutation entropy. They are model-independent measures, thus they have more general applicability. We find robust evidence that degree of market inefficiency is positively correlated with the number of forbidden patterns and negatively correlated with the permutation entropy. Our empirical results suggest that these two physical tools are useful to discriminate the stage of stock market development and can be easily implemented. PACS: 89.65.Gh (Economics; econophysics, financial markets, business and management), 05.45.Tp (Time series analysis), 89.75.Da (Systems obeying scaling laws), 89.20.-a (Interdisciplinary applications of physics) (Massimiliano Zanin), benjamin.tabak@bcb.gov.br (Benjamin M. Tabak), dario.perez@ucv.cl (Darío G. Pérez), oarosso@fibertel.com.ar (Osvaldo A. Rosso).

We analyze, within the wavelet theory framework, the wandering over a screen of the centroid of a... more We analyze, within the wavelet theory framework, the wandering over a screen of the centroid of a laser beam after it has propagated through a time-changing laboratory-generated turbulence. Following a previous work (Fractals 12 two quantifiers are used, the Hurst parameter, H, and the normalized total wavelet entropy. The temporal evolution of both quantifiers, obtained from the laser spot data stream, is studied and compared. This allows us to extract information on the stochastic process associated with the turbulence dynamics. r

Physica A-statistical Mechanics and Its Applications, 2008

In this work, we analyze two important stochastic processes, the fractional Brownian motion and f... more In this work, we analyze two important stochastic processes, the fractional Brownian motion and fractional Gaussian noise, within the framework of the Tsallis permutation entropy. This entropic measure, evaluated after using the Bandt & Pompe method to extract the associated probability distribution, is shown to be a powerful tool to characterize fractal stochastic processes. It allows for a better discrimination of the processes than the Shannon counterpart for appropriate ranges of values of the entropic index. Moreover, we find the optimum value of this entropic index for the stochastic processes under study.

Physica A-statistical Mechanics and Its Applications, 2007

We compare two different definitions for the wavelet entropy associated to stochastic processes. ... more We compare two different definitions for the wavelet entropy associated to stochastic processes. The first one, the Normalized Total Wavelet Entropy (NTWS) family [Phys. Rev. E 57 (1998) 932; J. Neuroscience Method 105 (2001) 65; Physica A (2005) in press] and a second introduced by Tavares and Lucena [Physica A 357 (2005) 71].

Physica A-statistical Mechanics and Its Applications, 2008

In this paper, the multifractality degree in a collection of developed and emerging stock market ... more In this paper, the multifractality degree in a collection of developed and emerging stock market indices is evaluated. Empirical results suggest that the multifractality degree can be used as a quantifier to characterize the stage of market development of world stock indices. We develop a model to test the relationship between the stage of market development and the multifractality degree and find robust evidence that the relationship is negative, i.e., higher multifractality is associated with a less developed market. Thus, an inefficiency ranking can be derived from multifractal analysis. Finally, a link with previous volatility time series results is established.

Journal of The Optical Society of America A-optics Image Science and Vision, 1999

We start by studying light propagation through a Lau-like arrangement-two Ronchi grids out of pha... more We start by studying light propagation through a Lau-like arrangement-two Ronchi grids out of phase by half a period-within a turbulent medium. We show that degradation produced by the turbulence can be estimated in terms of the spacing between grids, the number of lines per millimeter, and C ⑀ 2 , the structure constant of the medium. We also propose a way to evaluate the structure constant in an experimental arrangement in the laboratory.

Journal of The Optical Society of America A-optics Image Science and Vision, 2004

This paper introduces a general and new formalism to model the turbulent wave-front phase using f... more This paper introduces a general and new formalism to model the turbulent wave-front phase using fractional Brownian motion processes. Moreover, it extends results to non-Kolmogorov turbulence. In particular, generalized expressions for the Strehl ratio and the angle-of-arrival variance are obtained.

Physical Review E, 2007

By recourse to appropriate information theory quantifiers ͑normalized Shannon entropy and Martín-... more By recourse to appropriate information theory quantifiers ͑normalized Shannon entropy and Martín-Plastino-Rosso intensive statistical complexity measure͒, we revisit the characterization of Gaussian self-similar stochastic processes from a Bandt-Pompe viewpoint. We show that the ensuing approach exhibits considerable advantages with respect to other treatments. In particular, clear quantifiers gaps are found in the transition between the continuous processes and their associated noises.

Physica A-statistical Mechanics and Its Applications, 2010

The complexity-entropy causality plane has been recently introduced as a powerful tool for discri... more The complexity-entropy causality plane has been recently introduced as a powerful tool for discriminating Gaussian from non-Gaussian process and different degrees of correlations [O.A. Rosso, H.A. Larrondo, M.T. Martín, A. Plastino, M.A. Fuentes, Distinguishing noise from chaos, Phys. Rev. Lett. 99 (2007) 154102]. We propose to use this representation space to distinguish the stage of stock market development. Our empirical results demonstrate that this statistical physics approach is useful, allowing a more refined classification of stock market dynamics. (M. Zanin), benjamin.tabak@bcb.gov.br (B.M. Tabak), dario.perez@ucv.cl (D.G. Pérez), oarosso@fibertel.com.ar (O.A. Rosso).

Physical Review E, 2007

Efficient tools to characterize stochastic processes are discussed. Quantifiers originally propos... more Efficient tools to characterize stochastic processes are discussed. Quantifiers originally proposed within the framework of information theory, like entropy and statistical complexity, are translated into wavelet language, which renders the above quantifiers into tools that exhibit the important "localization" advantages provided by wavelet theory. Two important and popular stochastic processes, fractional Brownian motion and fractional Gaussian noise, are studied using these wavelet-based informational tools. Exact analytical expressions are obtained for the wavelet probability distribution. Finally, numerical simulations are used to validate our analytical results.

Physica A-statistical Mechanics and Its Applications, 2006

We study the functional link between the Hurst parameter and the Normalized Total Wavelet Entropy... more We study the functional link between the Hurst parameter and the Normalized Total Wavelet Entropy when analyzing fractional Brownian motion (fBm) time seriesthese series are synthetically generated. Both quantifiers are mainly used to identify fractional Brownian motion processes . The aim of this work is understand the differences in the information obtained from them, if any.

European Physical Journal B, 2007

We explore the deviations from efficiency in the returns and volatility returns of Latin-American... more We explore the deviations from efficiency in the returns and volatility returns of Latin-American market indices. Two different approaches are considered. The dynamics of the Hurst exponent is obtained via a wavelet rolling sample approach, quantifying the degree of long memory exhibited by the stock market indices under analysis. On the other hand, the Tsallis q entropic index is measured in order to take into account the deviations from the Gaussian hypothesis. Different dynamic rankings of inefficieny are obtained, each of them contemplates a different source of inefficiency. Comparing with the results obtained for a developed country (US), we confirm a similar degree of long-range dependence for our emerging markets. Moreover, we show that the inefficiency in the Latin-American countries comes principally from the non-Gaussian form of the probability distributions.

Optics Communications, 2007

We experimentally study the variance of the transverse displacement, or wandering, of a laser bea... more We experimentally study the variance of the transverse displacement, or wandering, of a laser beam after it has traveled through indoor artificially convective turbulence. In a previous paper (Opt. Commun., vol. 242, p. 57, November 2004) we have modeled the atmospheric turbulent refractive index as a fractional Brownian motion. As a consequence, a different behavior is predicted for the wandering variance: it grows with L, the path length, as L 2+2H , where H is the Hurst exponent associated to the fractional Brownian motion. The traditional cubic dependence is only recovered when H = 1/2-the ordinary Brownian motion. This is the case of strong turbulence or long path length. Otherwise, for weak turbulence and short path length deviations from the usual expression should be found. In this work we experimentally confirm the previous assertion.

Physica A-statistical Mechanics and Its Applications, 2006

We analyze, within the wavelet theory framework, the wandering over a screen of the centroid of a... more We analyze, within the wavelet theory framework, the wandering over a screen of the centroid of a laser beam after it has propagated through a time-changing laboratory-generated turbulence. Following a previous work (Fractals 12 (2004) 223) two quantifiers are used, the Hurst parameter, H, and the normalized total wavelet entropy. The temporal evolution of both quantifiers, obtained from the laser spot data stream, is studied and compared. This allows us to extract information on the stochastic process associated with the turbulence dynamics.

Chaos Solitons & Fractals, 2009

We study the multifractal nature of daily price and volatility returns of Latin-American stock ma... more We study the multifractal nature of daily price and volatility returns of Latin-American stock markets employing the multifractal detrended fluctuation analysis. Comparing with the results obtained for a developed country (US) we conclude that the multifractality degree is higher for emerging markets. Moreover, we propose a stock market inefficiency ranking by considering the multifractality degree as a measure of inefficiency. Finally, we analyze the sources of multifractality quantifying the contributions of two factors, the long-range correlations of the time series and the broad fat-tail distributions. We find that the multifractal structure of Latin-American market indices can be mainly attributed to the latter.

Optics Communications, 2009

From the estimation of the Hurst exponent and the multifractality degree we discriminate the secu... more From the estimation of the Hurst exponent and the multifractality degree we discriminate the security levels of two typical encoding schemes usually applied in chaos-based communication systems. We also analyze the effects that the sampling period and the message amplitude have on the goodness of these techniques. We compare our results with those obtained by considering an information theory approach [O.A. Rosso, R. Vicente, C.R. Mirasso, Phys. Lett. A 372 (2007) 1018]. The Hurst exponent seems to be a sensitive and powerful tool for discriminating the presence of a message embedded in a chaotic carrier.

Physica A-statistical Mechanics and Its Applications, 2009

In this paper we introduce two new quantifiers for the stock market inefficiency: the number of f... more In this paper we introduce two new quantifiers for the stock market inefficiency: the number of forbidden patterns and the normalized permutation entropy. They are model-independent measures, thus they have more general applicability. We find robust evidence that degree of market inefficiency is positively correlated with the number of forbidden patterns and negatively correlated with the permutation entropy. Our empirical results suggest that these two physical tools are useful to discriminate the stage of stock market development and can be easily implemented. PACS: 89.65.Gh (Economics; econophysics, financial markets, business and management), 05.45.Tp (Time series analysis), 89.75.Da (Systems obeying scaling laws), 89.20.-a (Interdisciplinary applications of physics) (Massimiliano Zanin), benjamin.tabak@bcb.gov.br (Benjamin M. Tabak), dario.perez@ucv.cl (Darío G. Pérez), oarosso@fibertel.com.ar (Osvaldo A. Rosso).

We analyze, within the wavelet theory framework, the wandering over a screen of the centroid of a... more We analyze, within the wavelet theory framework, the wandering over a screen of the centroid of a laser beam after it has propagated through a time-changing laboratory-generated turbulence. Following a previous work (Fractals 12 two quantifiers are used, the Hurst parameter, H, and the normalized total wavelet entropy. The temporal evolution of both quantifiers, obtained from the laser spot data stream, is studied and compared. This allows us to extract information on the stochastic process associated with the turbulence dynamics. r

Physica A-statistical Mechanics and Its Applications, 2008

In this work, we analyze two important stochastic processes, the fractional Brownian motion and f... more In this work, we analyze two important stochastic processes, the fractional Brownian motion and fractional Gaussian noise, within the framework of the Tsallis permutation entropy. This entropic measure, evaluated after using the Bandt & Pompe method to extract the associated probability distribution, is shown to be a powerful tool to characterize fractal stochastic processes. It allows for a better discrimination of the processes than the Shannon counterpart for appropriate ranges of values of the entropic index. Moreover, we find the optimum value of this entropic index for the stochastic processes under study.

Physica A-statistical Mechanics and Its Applications, 2007

We compare two different definitions for the wavelet entropy associated to stochastic processes. ... more We compare two different definitions for the wavelet entropy associated to stochastic processes. The first one, the Normalized Total Wavelet Entropy (NTWS) family [Phys. Rev. E 57 (1998) 932; J. Neuroscience Method 105 (2001) 65; Physica A (2005) in press] and a second introduced by Tavares and Lucena [Physica A 357 (2005) 71].

Physica A-statistical Mechanics and Its Applications, 2008

In this paper, the multifractality degree in a collection of developed and emerging stock market ... more In this paper, the multifractality degree in a collection of developed and emerging stock market indices is evaluated. Empirical results suggest that the multifractality degree can be used as a quantifier to characterize the stage of market development of world stock indices. We develop a model to test the relationship between the stage of market development and the multifractality degree and find robust evidence that the relationship is negative, i.e., higher multifractality is associated with a less developed market. Thus, an inefficiency ranking can be derived from multifractal analysis. Finally, a link with previous volatility time series results is established.

Journal of The Optical Society of America A-optics Image Science and Vision, 1999

We start by studying light propagation through a Lau-like arrangement-two Ronchi grids out of pha... more We start by studying light propagation through a Lau-like arrangement-two Ronchi grids out of phase by half a period-within a turbulent medium. We show that degradation produced by the turbulence can be estimated in terms of the spacing between grids, the number of lines per millimeter, and C ⑀ 2 , the structure constant of the medium. We also propose a way to evaluate the structure constant in an experimental arrangement in the laboratory.

Journal of The Optical Society of America A-optics Image Science and Vision, 2004

This paper introduces a general and new formalism to model the turbulent wave-front phase using f... more This paper introduces a general and new formalism to model the turbulent wave-front phase using fractional Brownian motion processes. Moreover, it extends results to non-Kolmogorov turbulence. In particular, generalized expressions for the Strehl ratio and the angle-of-arrival variance are obtained.

Physical Review E, 2007

By recourse to appropriate information theory quantifiers ͑normalized Shannon entropy and Martín-... more By recourse to appropriate information theory quantifiers ͑normalized Shannon entropy and Martín-Plastino-Rosso intensive statistical complexity measure͒, we revisit the characterization of Gaussian self-similar stochastic processes from a Bandt-Pompe viewpoint. We show that the ensuing approach exhibits considerable advantages with respect to other treatments. In particular, clear quantifiers gaps are found in the transition between the continuous processes and their associated noises.

Physica A-statistical Mechanics and Its Applications, 2010

The complexity-entropy causality plane has been recently introduced as a powerful tool for discri... more The complexity-entropy causality plane has been recently introduced as a powerful tool for discriminating Gaussian from non-Gaussian process and different degrees of correlations [O.A. Rosso, H.A. Larrondo, M.T. Martín, A. Plastino, M.A. Fuentes, Distinguishing noise from chaos, Phys. Rev. Lett. 99 (2007) 154102]. We propose to use this representation space to distinguish the stage of stock market development. Our empirical results demonstrate that this statistical physics approach is useful, allowing a more refined classification of stock market dynamics. (M. Zanin), benjamin.tabak@bcb.gov.br (B.M. Tabak), dario.perez@ucv.cl (D.G. Pérez), oarosso@fibertel.com.ar (O.A. Rosso).

Physical Review E, 2007

Efficient tools to characterize stochastic processes are discussed. Quantifiers originally propos... more Efficient tools to characterize stochastic processes are discussed. Quantifiers originally proposed within the framework of information theory, like entropy and statistical complexity, are translated into wavelet language, which renders the above quantifiers into tools that exhibit the important "localization" advantages provided by wavelet theory. Two important and popular stochastic processes, fractional Brownian motion and fractional Gaussian noise, are studied using these wavelet-based informational tools. Exact analytical expressions are obtained for the wavelet probability distribution. Finally, numerical simulations are used to validate our analytical results.

Physica A-statistical Mechanics and Its Applications, 2006

We study the functional link between the Hurst parameter and the Normalized Total Wavelet Entropy... more We study the functional link between the Hurst parameter and the Normalized Total Wavelet Entropy when analyzing fractional Brownian motion (fBm) time seriesthese series are synthetically generated. Both quantifiers are mainly used to identify fractional Brownian motion processes . The aim of this work is understand the differences in the information obtained from them, if any.

European Physical Journal B, 2007

We explore the deviations from efficiency in the returns and volatility returns of Latin-American... more We explore the deviations from efficiency in the returns and volatility returns of Latin-American market indices. Two different approaches are considered. The dynamics of the Hurst exponent is obtained via a wavelet rolling sample approach, quantifying the degree of long memory exhibited by the stock market indices under analysis. On the other hand, the Tsallis q entropic index is measured in order to take into account the deviations from the Gaussian hypothesis. Different dynamic rankings of inefficieny are obtained, each of them contemplates a different source of inefficiency. Comparing with the results obtained for a developed country (US), we confirm a similar degree of long-range dependence for our emerging markets. Moreover, we show that the inefficiency in the Latin-American countries comes principally from the non-Gaussian form of the probability distributions.

Optics Communications, 2007

We experimentally study the variance of the transverse displacement, or wandering, of a laser bea... more We experimentally study the variance of the transverse displacement, or wandering, of a laser beam after it has traveled through indoor artificially convective turbulence. In a previous paper (Opt. Commun., vol. 242, p. 57, November 2004) we have modeled the atmospheric turbulent refractive index as a fractional Brownian motion. As a consequence, a different behavior is predicted for the wandering variance: it grows with L, the path length, as L 2+2H , where H is the Hurst exponent associated to the fractional Brownian motion. The traditional cubic dependence is only recovered when H = 1/2-the ordinary Brownian motion. This is the case of strong turbulence or long path length. Otherwise, for weak turbulence and short path length deviations from the usual expression should be found. In this work we experimentally confirm the previous assertion.

Physica A-statistical Mechanics and Its Applications, 2006

We analyze, within the wavelet theory framework, the wandering over a screen of the centroid of a... more We analyze, within the wavelet theory framework, the wandering over a screen of the centroid of a laser beam after it has propagated through a time-changing laboratory-generated turbulence. Following a previous work (Fractals 12 (2004) 223) two quantifiers are used, the Hurst parameter, H, and the normalized total wavelet entropy. The temporal evolution of both quantifiers, obtained from the laser spot data stream, is studied and compared. This allows us to extract information on the stochastic process associated with the turbulence dynamics.

Chaos Solitons & Fractals, 2009

We study the multifractal nature of daily price and volatility returns of Latin-American stock ma... more We study the multifractal nature of daily price and volatility returns of Latin-American stock markets employing the multifractal detrended fluctuation analysis. Comparing with the results obtained for a developed country (US) we conclude that the multifractality degree is higher for emerging markets. Moreover, we propose a stock market inefficiency ranking by considering the multifractality degree as a measure of inefficiency. Finally, we analyze the sources of multifractality quantifying the contributions of two factors, the long-range correlations of the time series and the broad fat-tail distributions. We find that the multifractal structure of Latin-American market indices can be mainly attributed to the latter.