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Multifractal detrended fluctuation analysis of derivative and spot markets

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  1. 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.
  2. Cristiana Vaz & Rui Pascoal & Helder Sebastião, 2021. "Price Appreciation and Roughness Duality in Bitcoin: A Multifractal Analysis," Mathematics, MDPI, vol. 9(17), pages 1-18, August.
  3. 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.
  4. Benbachir, Saâd & El Alaoui, Marwane, 2011. "A Multifractal Detrended Fluctuation Analysis of the Moroccan Stock Exchange," MPRA Paper 49003, University Library of Munich, Germany.
  5. Ruan, Yong-Ping & Zhou, Wei-Xing, 2011. "Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(9), pages 1646-1654.
  6. Silva, L.B.M. & Vermelho, M.V.D. & Lyra, M.L. & Viswanathan, G.M., 2009. "Multifractal detrended fluctuation analysis of analog random multiplicative processes," Chaos, Solitons & Fractals, Elsevier, vol. 41(5), pages 2806-2811.
  7. Wang, Dong-Hua & Yu, Xiao-Wen & Suo, Yuan-Yuan, 2012. "Statistical properties of the yuan exchange rate index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3503-3512.
  8. Chen, Shu-Peng & He, Ling-Yun, 2010. "Multifractal spectrum analysis of nonlinear dynamical mechanisms in China’s agricultural futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1434-1444.
  9. Leonarduzzi, R. & Wendt, H. & Abry, P. & Jaffard, S. & Melot, C. & Roux, S.G. & Torres, M.E., 2016. "p-exponent and p-leaders, Part II: Multifractal analysis. Relations to detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 448(C), pages 319-339.
  10. 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.
  11. Zunino, Luciano & Figliola, Alejandra & Tabak, Benjamin M. & Pérez, Darío G. & Garavaglia, Mario & Rosso, Osvaldo A., 2009. "Multifractal structure in Latin-American market indices," Chaos, Solitons & Fractals, Elsevier, vol. 41(5), pages 2331-2340.
  12. Pavón-Domínguez, P. & Serrano, S. & Jiménez-Hornero, F.J. & Jiménez-Hornero, J.E. & Gutiérrez de Ravé, E. & Ariza-Villaverde, A.B., 2013. "Multifractal detrended fluctuation analysis of sheep livestock prices in origin," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4466-4476.
  13. El Alaoui, Marwane & Benbachir, Saâd, 2013. "Multifractal detrended cross-correlation analysis in the MENA area," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5985-5993.
  14. Zunino, L. & Tabak, B.M. & Figliola, A. & Pérez, D.G. & Garavaglia, M. & Rosso, O.A., 2008. "A multifractal approach for stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(26), pages 6558-6566.
  15. Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2008. "Multifractal analysis of Chinese stock volatilities based on the partition function approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(19), pages 4881-4888.
  16. He, Ling-Yun & Chen, Shu-Peng, 2010. "Are developed and emerging agricultural futures markets multifractal? A comparative perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(18), pages 3828-3836.
  17. Akash P. POOJARI & Siva Kiran GUPTHA & G Raghavender RAJU, 2022. "Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(632), A), pages 61-80, Autumn.
  18. Kononovicius, A., 2019. "Illusion of persistence in NBA 1995–2018 regular season data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 250-256.
  19. Tetsuya Takaishi, 2017. "Statistical properties and multifractality of Bitcoin," Papers 1707.07618, arXiv.org, revised May 2018.
  20. Yuan, Ying & Zhuang, Xin-tian & Liu, Zhi-ying, 2012. "Price–volume multifractal analysis and its application in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3484-3495.
  21. Wu, Liang & Chen, Lei & Ding, Yiming & Zhao, Tongzhou, 2018. "Testing for the source of multifractality in water level records," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 824-839.
  22. Takaishi, Tetsuya, 2018. "Statistical properties and multifractality of Bitcoin," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 507-519.
  23. Li, Tingyi & Xue, Leyang & Chen, Yu & Chen, Feier & Miao, Yuqi & Shao, Xinzeng & Zhang, Chenyi, 2018. "Insights from multifractality analysis of tanker freight market volatility with common external factor of crude oil price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 374-384.
  24. El Alaoui, Marwane, 2017. "Price–volume multifractal analysis of the Moroccan stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 473-485.
  25. Ghosh, Koushik & Basu, Tapasendra, 2015. "Search for the periodicity of the prime Indian and American stock exchange indices using date-compensated discrete Fourier transformAuthor-Name: Samadder, Swetadri," Chaos, Solitons & Fractals, Elsevier, vol. 77(C), pages 149-157.
  26. Liu, Li & Wang, Yudong & Wan, Jieqiu, 2010. "Analysis of efficiency for Shenzhen stock market: Evidence from the source of multifractality," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 237-241, September.
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