Time-delay multiscale multifractal detrended partial cross-correlation analysis of high-frequency stock series

DOI10.1142/S0218348X21501413zbMATH Open1482.91222OpenAlexW3137901055MaRDI QIDQ5024993FDOQ5024993

Authors: Danlei Gu, Aijing Lin 

Publication date: 1 February 2022

Published in: Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0218348x21501413

Recommendations

• Multifractal detrended cross-correlation analysis of Chinese stock markets based on time delay
• The cross-correlation analysis of multi property of stock markets based on MM-DFA
• Multiscale multifractal diffusion entropy analysis of financial time series
• Higher-order multifractal detrended partial cross-correlation analysis for the correlation estimator
• Asymmetric multiscale detrended cross-correlation analysis of financial time series

zbMATH Keywords

time-delayhigh-frequency stocksmultiscale multifractal detrended partial cross-correlation analysis

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial markets (91G15) Fractals (28A80)

Cites Work

• Multifractal detrended fluctuation analysis of nonstationary time series
• Statistical test for multiple detrended cross-correlation coefficient
• Fractal measures and their singularities: The characterization of strange sets
• Analysis of detrended time-lagged cross-correlation between two nonstationary time series
• Economic fluctuations and statistical physics: the puzzle of large fluctuations
• Hölder exponent spectra for human gait
• Multifractal cross-correlation analysis based on statistical moments
• Complex dynamics of our economic life on different scales: insights from search engine query data
• The cross-correlation analysis of multi property of stock markets based on MM-DFA
• Multiscale multifractal DCCA and complexity behaviors of return intervals for Potts price model

Cited In (5)

• Theq-dependent detrended cross-correlation analysis of stock market
• The cross-correlation analysis of multi property of stock markets based on MM-DFA
• Fractal interpolation densities
• Multifractal detrended cross-correlation analysis of Chinese stock markets based on time delay
• MULTISCALED CROSS-CORRELATION DYNAMICS IN FINANCIAL TIME-SERIES

This page was built for publication: Time-delay multiscale multifractal detrended partial cross-correlation analysis of high-frequency stock series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5024993)