Alternative measure of multifractal content and its application in finance

DOI10.1016/J.CHAOS.2016.02.017MaRDI QIDQ508304zbMATH OpenOpenAlexFDO

Authors Dariusz Grech

Publication date 10 February 2017

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2016.02.017

zbMATH Keywords

finite size effectsgeneralized Hurst exponentmultifractal biasmultifractal detrended analysismultifractalitynew multifractal measurescalingtime series analysis

Mathematics Subject Classification ID

Fractals (28A80) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial applications of other theories (91G80)

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• Multifractal detrended fluctuation analysis of nonstationary time series
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Cites work

• scientific article; zbMATH DE number 192842 (Why is no real title available?)
• scientific article; zbMATH DE number 2060078 (Why is no real title available?)
• Multifractal detrended fluctuation analysis of nonstationary time series

Cited in

(10)

• Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis
• A relative vectorial multifractal formalism
• A note on power-law cross-correlated processes
• A risk measure of the stock market that is based on multifractality
• Right-side-stretched multifractal spectra indicate small-worldness in networks
• Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis
• Multifractal measures of time series: curvature surfaces of f() curves
• Complexity in quantitative finance and economics
• Measuring multiscaling in financial time-series
• Multifractal regime detecting method for financial time series

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