Search Results - subject:"Multifractal"

Application of Fractal Processes and Fractional Derivatives in Finance

Chan, Leung Lung (contributor) - 2024

focuses on empirical studies as well as option pricing. The empirical studies consist of multifractal analyses of stock market … and volatility index. Multifractal analyses include cross-correlation multifractal analysis, multifractal detrended …

Persistent link: https://www.econbiz.de/10015324975

Multiscale dynamic interdependency between China's crude oil futures and petrochemical-related commodity futures : an integrated perspective from the industry chain system

Yang, Jie; Feng, Yun; Yang, Hao - In: The North American journal of economics and finance : a … 75 (2025) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10015359789

COVID-19 and persistence in the stock market : a study on a leading emerging market

Bhattacharjee, Anindita; Nandy, Monomita; Lodh, Suman - In: International journal of disclosure and governance 22 (2025) 2, pp. 520-531

Persistent link: https://www.econbiz.de/10015463854

Multifractal analysis of Bitcoin price dynamics

Bucur, Cristian; Tudorică, Bogdan-George; Bâra, Adela; … - In: Journal of business economics and management 26 (2025) 1, pp. 21-48

This research employs Multifractal Detrended Fluctuation Analysis (MFDFA) to investigate multifractal properties in … financial variables, including Bitcoin prices and economic indicators. Spanning 2019-2022, the analysis reveals multifractal … among multifractal properties. For instance, a positive correlation between oil prices and Bitcoin suggests similar market …

Persistent link: https://www.econbiz.de/10015413228

Joint multifractality in cross-correlations between grains & oilseeds indices and external uncertainties

Shao, Ying-Hui; Gao, Xing-Lu; Yang, Yan-Hong; Zhou, Wei-Xing - In: Financial innovation : FIN 11 (2025), pp. 1-32

multifractal detrending moving-average cross-correlation analysis (MF-X-DMA). The dataset contains the Grains & Oilseeds Index (GOI …, economic policy uncertainty (EPU), geopolitical risk (GPR), and Volatility Index (VIX). We observe multifractal cross … GOI-GPR, wheat-GPR, and soyabeans-VIX is illustrated. However, other series have apparent multifractal cross …

Persistent link: https://www.econbiz.de/10015574396

Bitcoin's multifractal influence : deciphering the relationship with conventional and renewable energy markets

Malik, Ayesha Rasool; Aslam, Faheem; Ferreira, Paulo - In: Cogent economics & finance 12 (2024) 1, pp. 1-25

unforeseen ways. This study investigates multifractal behavior in the cross-correlation of the Cambridge Bitcoin Electricity … Consumption Index (CBECI) with both conventional and renewable energy prices using the Multifractal Detrended Cross … strategies. The results of this study, which analyses multifractal cross-correlation of Bitcoin Electricity Consumption Index …

Persistent link: https://www.econbiz.de/10015338061

Influence of the Russia-Ukraine war and COVID-19 pandemic on the efficiency and herding behavior of stock markets : evidence from G20 nations

Memon, Bilal Ahmed; Aslam, Faheem; Naveed, Hafiz Muhammad; … - In: Economies : open access journal 12 (2024) 5, pp. 1-32

data and by employing the robust multifractal detrended fluctuation (MFDFA) method. In addition to the full sample, the …

Persistent link: https://www.econbiz.de/10014636008

Analysis of Indian foreign exchange markets : a multifractal detrended fluctuation analysis (mfdfa) approach

Datta, Radhika Prosad - In: International journal of empirical economics 3 (2024) 3, pp. 1-27

multifractal spectra of logarithmic returns (daily price changes) for the four currencies. To investigate the origins of this … exhibit multifractal characteristics in their return series. The source of multifractality differs between currencies: The USD …

Persistent link: https://www.econbiz.de/10015194278

Impact of the COVID-19 pandemic on the intermittent behavior of the global spot markets of staple food crops

Gao, Xing-Lu; Jiang, Zhi-Qiang; Zhou, Wei-Xing - In: Journal of management science and engineering 9 (2024) 4, pp. 510-521

Intermittent or multifractal behavior has been reported in various markets, and the impact of the COVID-19 pandemic has … intrinsic multifractal behavior in subsamples before and during the COVID-19 pandemic using five multifractal analysis … (sub-)samples of wheat and maize are more likely to possess multifractal nature. Only some (sub-)samples showed that the …

Persistent link: https://www.econbiz.de/10015163366

Bitcoin’s multifractal influence: deciphering the relationship with conventional and renewable energy markets

Malik, Ayesha Rasool; Aslam, Faheem; Ferreira, Paulo - In: Cogent Economics & Finance 12 (2024) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10015425929