Alternative measure of multifractal content and its application in finance

DOI10.1016/J.CHAOS.2016.02.017zbMATH Open1415.91328OpenAlexW2299710902MaRDI QIDQ508304FDOQ508304

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

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zbMATH Keywords

time series analysisscalingmultifractalityfinite size effectsgeneralized 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) Fractals (28A80) Financial applications of other theories (91G80)

Cites Work

• Multifractal detrended fluctuation analysis of nonstationary time series
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (10)

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

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