Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis
DOI10.1007/s11071-019-05335-5zbMath1430.62193arXiv1906.07491OpenAlexW2986845024WikidataQ112217314 ScholiaQ112217314MaRDI QIDQ2296838
Marcin Wątorek, S. Drożdż, Paweł Oświȩcimka, Robert Gębarowski
Publication date: 18 February 2020
Published in: Nonlinear Dynamics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1906.07491
time seriesquantitative financeagglomerative hierarchical clusteringmultifractal detrended fluctuation analysismultiscale cross-correlationtriangular arbitrage
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Time series analysis of dynamical systems (37M10)
Related Items (3)
Cites Work
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- Alternative measure of multifractal content and its application in finance
- Philosophy of complex systems
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