Multifractal Fluctuations In Finance
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DOI: 10.1142/S0219024900000206
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Cited by:
- Rodriguez-Romo, Suemi & Sosa-Herrera, Antonio, 2013. "Lacunarity and multifractal analysis of the large DLA mass distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(16), pages 3316-3328.
- Pont, Oriol & Turiel, Antonio & Pérez-Vicente, Conrad J., 2009. "Empirical evidences of a common multifractal signature in economic, biological and physical systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(10), pages 2025-2035.
- Cao, Guangxi & Cao, Jie & Xu, Longbing, 2013. "Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 797-807.
- Cao, Guangxi & Xu, Longbing & Cao, Jie, 2012. "Multifractal detrended cross-correlations between the Chinese exchange market and stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4855-4866.
- Carlos Pedro Gonc{c}alves, 2018. "Financial Risk and Returns Prediction with Modular Networked Learning," Papers 1806.05876, arXiv.org.
- Sergio Da Silva & Annibal Figueiredo & Iram Gleria & Raul Matsushita, 2007. "Hurst exponents, power laws, and efficiency in the Brazilian foreign exchange market," Economics Bulletin, AccessEcon, vol. 7(1), pages 1-11.
- Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
- Zhou, Wei-Xing, 2012.
"Finite-size effect and the components of multifractality in financial volatility,"
Chaos, Solitons & Fractals, Elsevier, vol. 45(2), pages 147-155.
- Wei-Xing Zhou, 2009. "Finite-size effect and the components of multifractality in financial volatility," Papers 0912.4782, arXiv.org.
- La Spada Gabriele & Lillo Fabrizio, 2014.
"The effect of round-off error on long memory processes,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(4), pages 445-482, September.
- Gabriele La Spada & Fabrizio Lillo, 2011. "The effect of round-off error on long memory processes," Papers 1107.4476, arXiv.org, revised Mar 2013.
- Marina Resta & Davide Sciutti, "undated". "A characterization of self-affine processes in finance through the scaling function," Modeling, Computing, and Mastering Complexity 2003 13, Society for Computational Economics.
- Rossitsa Yalamova, 2012. "Fractal Measures in Market Microstructure Research," Multinational Finance Journal, Multinational Finance Journal, vol. 16(1-2), pages 137-154, March - J.
- Brouty, Xavier & Garcin, Matthieu, 2024. "Fractal properties, information theory, and market efficiency," Chaos, Solitons & Fractals, Elsevier, vol. 180(C).
- V. Gontis, 2002. "Multiplicative Stochastic Model of the Time Interval between Trades in Financial Markets," Papers cond-mat/0211317, arXiv.org.
- Indranil Mukherjee & Amitava Sarkar, 2011. "Complexity, Financial Markets and their Scaling Laws," DEGIT Conference Papers c016_008, DEGIT, Dynamics, Economic Growth, and International Trade.
- R. P. Datta, 2023. "Analysis of Indian foreign exchange markets: A Multifractal Detrended Fluctuation Analysis (MFDFA) approach," Papers 2306.16162, arXiv.org.
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