Wavelet transform based multifractal formalism in outlier detection and localisation for financial time series
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DOI: 10.1016/S0378-4371(02)00552-6
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References listed on IDEAS
- Marc-Etienne Brachet & Erik Taflin & Jean Marcel Tcheou, 1999. "Scaling transformation and probability distributions for financial time series," Papers cond-mat/9905169, arXiv.org.
- A. Johansen & D. Sornette, 1998. "Stock market crashes are outliers," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 1(2), pages 141-143, January.
- Marc-Etienne BRACHET & Erik TAFLIN & Jean Marcel TCHEOU, 1999. "Scaling transformation and probability distributions for financial time series," GE, Growth, Math methods 9901003, University Library of Munich, Germany.
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Keywords
Multifractal analysis; Wavelet transform; Hölder exponent; Outlier detection;All these keywords.
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