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Modified multifractal large deviation spectrum based on CID for financial market system

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  • Wu, Yue
  • Shang, Pengjian
  • Chen, Shijian

Abstract

We modify the basic roughness grain exponent, only available for application of one single series, to complexity-invariant distance (CID) for studying multifractal features between two time series. CID is taken into consideration as a new roughness grain exponent with the large deviation spectrum to detect the similarity and correlation between different stock markets in this work.

Suggested Citation

  • Wu, Yue & Shang, Pengjian & Chen, Shijian, 2019. "Modified multifractal large deviation spectrum based on CID for financial market system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1331-1342.
    • Handle: RePEc:eee:phsmap:v:523:y:2019:i:c:p:1331-1342
    DOI: 10.1016/j.physa.2019.04.080
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