Chaos, randomness and multi-fractality in bitcoin market
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Publication:722915
DOI10.1016/J.CHAOS.2017.11.005zbMath1394.91324OpenAlexW2769091037MaRDI QIDQ722915
Salim Lahmiri, Stelios D. Bekiros
Publication date: 30 July 2018
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2017.11.005
Economic time series analysis (91B84) Financial applications of other theories (91G80) Time series analysis of dynamical systems (37M10)
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Cites Work
- A Mathematical Theory of Communication
- Multifractal detrended fluctuation analysis of nonstationary time series
- Testing for nonlinearity in time series: the method of surrogate data
- No evidence of chaos but some evidence of dependence in the US stock market.
- Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis
- Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA
- Disturbances and complexity in volatility time series
- High level chaos in the exchange and index markets
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