Alternative measure of multifractal content and its application in finance

DOI10.1016/j.chaos.2016.02.017zbMath1415.91328OpenAlexW2299710902MaRDI QIDQ508304

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

scalingtime series analysisfinite size effectsmultifractalitygeneralized Hurst exponentmultifractal biasmultifractal detrended analysisnew multifractal measure

Mathematics Subject Classification ID

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) Fractals (28A80)

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Cites Work

• Multifractal detrended fluctuation analysis of nonstationary time series
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