Category Archives: Articles

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Predictability of electricity prices (Energy Economics, 2015)

In this project we investigated predictability of electricity prices in the Canadian provinces of Alberta and Ontario, as well as in the US Mid-C market. Using scale-dependent detrended fluctuation analysis, spectral analysis, and the probability distributionanalysis we showed that the studied markets exhibit strongly anti-persistent properties suggesting that their dynamics can be predicted based on historic price records across the range of time scales from one hour to one month. […]

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Analysis of the US Stock Market (Int J Bifurcation & Chaos, 2008)

Based on the detrended fluctuation analysis of the Dow Jones Industrial Average (DJIA) index, we demonstrate that the U.S. stock market operates close to the state predicted by the efficient market hypothesis. The observed transient deviations from this state are shown to have a statistical origin as they also appear in purely random geometric Brownian motion models of the DJIA dynamics. Serletis А., Uritskaya O.Y., & Uritsky V.М. Detrended Fluctuation […]

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Multiscale inefficiency (Energy Economics, 2008)

One of the basic features of efficient markets is the absence of correlations between price increments leading to random walk-type behavior of prices. In this paper, we propose a new approach for measuring deviations from the efficient market state based on an analysis of scale-dependent fractal exponent characterizing correlations at different time scales. The approach is applied to two electricity markets, Alberta and Mid Columbia (Mid-C), as well as to […]

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Self-organization in US money (Physica A, 2007)

In this study, we continued the research by Serletis and Shintani by applying the method of detrended fluctuation analysis (DFA) introduced by Peng and adapted to the analysis of long-range correlations in economic data by Uritskaya to investigate the dynamical structure of United States money and velocity measures. We used monthly data over the time period from 1959:1 to 2006:2, at each of the four levels of monetary aggregation, M1, […]

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Criteria of Homeostatic Stability (Management in Social & Economic Systems, 2006)

  From point of view of traditional econometric modeling the critical condition in a system can be obtained under outside factor’s effect. However the reasons of critical events can be found in distinguishing property of these systems: the most economic and particular macroeconomic systems are complex nonlinear dynamical systems with a very special behavior. They can homeostatically tune their regime up in response to any new information or pressure. Using […]

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Stability of Macroeconomic Systems (SPbSTU Press, 2006)

The results of theoretical research of conditions of stability in macroeconomic systems have been presented. Based on review of resent publications it has been shown that the macroeconomic systems are complex interactive systems and their crisis dynamic can be investigated with using of fractal analysis methods. The most stable dynamic state of the macroeconomic complex system is condition of self-organizing criticality, which characterized by fractal structure of corresponded time series […]

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Forecasting Crisis Magnitude ( Proc. SPIE, 2005)

We demonstrate a possibility of using fractal analysis methods for understanding nonlinear dynamical mechanisms of catastrophic events in economic systems and quantifying their global stability. Based on an analysis of floating currency exchange rates in more than 30 countries for a 10-year period, it is found that deviations of national monetary systems from optimally stable states correlate with deviations of the detrended fluctuation analysis (DFA) index of currency fluctuations from […]

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New Methods in Crisis Modeling (Proc. FISS MASR, 2005)

Results of fractal analysis of daily exchange rate fluctuations of floating currencies for a 10-year period are presented. It is shown that monetary crashes are usually preceded by prolonged periods of abnormal fractal exponent. Regression relations between duration and magnitude of currency crises and the degree of distortion of monofractal patterns of exchange rate dynamics are found and have been used as a basic ingredient of a forecasting technique which […]

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Basics of Decision-Making Theory (SPbSTU Press, 2002)

Overview of the Decision-Making Theory lecture course for B.A. and M.A. graduate students of Management Department of University. A new method of teaching is presented which includes formulating and solving of inverse problems, i.e. providing the proof that given alternative is optimal. Students are given the opportunity to learn about basic stages of modeling and making decision processes, and, what is the most important, about the inherent limitations of quantitative […]

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Basics of Risk Theory (SPbSTU Press, 2002)

Outlines of a lecture course of advanced Economic Risk Theory created for M.A. graduate students specializing in economics, management and business areas. The lecture course summarizes an 8-years experience in adapting and clarifying for economists a number of complicated math theories are presented such as catastrophe theory, fractal theory and fractal analysis techniques. The course includes theoretic materials and computer games reproducing realistic conditions of risk-involving decision-making at currency exchanges […]

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