Multifractal classification of financial time series

MaRDI QIDQ3642384zbMATH OpenFDO

Authors Teng Guan, Na Xu

Publication date 11 November 2009

zbMATH Keywords

feature extractionfinancial time seriesmultifractalnonlinear dynamical system

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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• scientific article; zbMATH DE number 5631741

Cited in

(5)

• Financial multifractality and its subtleties: An example of DAX
• On the classification of financial data with domain agnostic features
• Techniques for multifractal spectrum estimation in financial time series
• Multifractal measures of time series: curvature surfaces of f() curves
• EMPIRICAL TESTING OF MULTIFRACTALITY OF FINANCIAL TIME SERIES BASED ON WTMM

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