On space-time properties of solutions for nonlinear evolutionary equations with random initial data

We consider space-time properties of periodic solutions of nonlinear wave equations, nonlinear Schrödinger equations and KdV-type equations with initial data from the support of the Gibbs’ measure. For the wave and Schrödinger equations we establish the best Hölder exponents. We also discuss KdV-type equations which are more difficult due to a presence of the derivative in the nonlinearity.

Traces of the Multifractal Nature of the Financial Crises in Turkey: Co-Movement of the Hölder Exponents and Large-Scale Forecast

This paper investigates the multifractal behavior of the probability of default (PD) of real sector firms and Turkey sovereign credit default swap (CDS). Moreover, we emphasize the co-movements of Hölder exponents during the financial crisis periods. For this reason, first, it is necessary to figure out the default probabilities of real sector firms. The default probability is evaluated weekly by the methodology of Moody’s Analytics, which is a commonly used approach, in which the market value of a firm is a call option written on its total assets. Multifractal detrended fluctuation analysis (MF-DFA), multifractal detrended cross-correlation analysis (MF-DCCA) and multifractal detrended moving average cross-correlation analysis (MF-X-DMA) techniques are applied to identify the multifractal behavior of the large-scale fluctuations of PDs and CDSs. In this way, we can evaluate the local Hurst exponents. Besides, the oscillation method is employed to estimate the pointwise and local Hölder exponents. In the period between January 2001 and March 2018, the structure of dynamic co-movements of Hölder exponents is determined by applying wavelet coherency methodology and the relations in crisis period are revealed. The selected period covers the crises with structural differences: Turkey banking crisis, the US sub-prime mortgage crisis and the European sovereign debt crisis that occurred in 2001, 2008 and 2009, respectively. Besides, during the periods of financial crises, among the local Hölder exponents, severely correlated large scales show multifractal features, and hence vector fractionally autoregressive integrated moving average (VFARIMA) forecasting provides better results than scalar models.

MULTIFRACTAL BEHAVIOR IN PRECIOUS METALS: WAVELET COHERENCY AND FORECASTING BY VARIMA AND V-FARIMA MODELS

We introduce a new approach to improve the forecasting performance by investigating the multifractal features and the dynamic correlations of return on spot prices of precious metals, namely, gold and platinum. The Hölder exponent of multifractal time series is employed to detect the critical fluctuations during the financial crises through measuring the multifractal behavior. We also consider co-movement of Hölder exponents and forecast the Hölder exponents of multifractal precious metal time series on coherent time periods. The results indicate that forecasting of multiple wavelet coherence of Hölder exponents of multifractal precious metal time series is efficiently improved by using Vector FARIMA and VARIMA models.

About Universality and Thermodynamics of Turbulence

This paper investigates the universality of the Eulerian velocity structure functions using velocity fields obtained from the stereoscopic particle image velocimetry (SPIV) technique in experiments and direct numerical simulations (DNS) of the Navier-Stokes equations. It shows that the numerical and experimental velocity structure functions up to order 9 follow a log-universality (Castaing et al. Phys. D Nonlinear Phenom. 1993); this leads to a collapse on a universal curve, when units including a logarithmic dependence on the Reynolds number are used. This paper then investigates the meaning and consequences of such log-universality, and shows that it is connected with the properties of a “multifractal free energy”, based on an analogy between multifractal and thermodynamics. It shows that in such a framework, the existence of a fluctuating dissipation scale is associated with a phase transition describing the relaminarisation of rough velocity fields with different Hölder exponents. Such a phase transition has been already observed using the Lagrangian velocity structure functions, but was so far believed to be out of reach for the Eulerian data.