Modified multifractal large deviation spectrum based on CID for financial market system
From MaRDI portal
Publication:2158964
DOI10.1016/j.physa.2019.04.080OpenAlexW2941162587MaRDI QIDQ2158964
Shijian Chen, Pengjian Shang, Yue Wu
Publication date: 26 July 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2019.04.080
Cites Work
- Unnamed Item
- Unnamed Item
- Multifractal detrended fluctuation analysis of nonstationary time series
- On the estimation of the large deviations spectrum
- CID: an efficient complexity-invariant distance for time series
- Mixed-correlated ARFIMA processes for power-law cross-correlations
- Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA
- Detrended fluctuation analysis of multivariate time series
- Generalized exponential autoregressive models for nonlinear time series: stationarity, estimation and applications
- An algorithm for computing non-concave multifractal spectra using the \(S^\nu\) spaces
- Cross-correlations between volume change and price change
- Irreversibility time scale
- Orthonormal bases of compactly supported wavelets
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Approximate entropy as a measure of system complexity.
- Randomness and degrees of irregularity.
- A computational definition of financial randomness
- Irregularity, volatility, risk, and financial market time series
- On the multifractal analysis of measures
This page was built for publication: Modified multifractal large deviation spectrum based on CID for financial market system
