Search Results - subject:"Multifractal Detrended Fluctuation"

Multifractal analysis of streamflow records of the East River basin (Pearl River), China

Zhang, Qiang; Xu, Chong-Yu; Yu, Zuguo; Liu, Chun-Ling; … - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 6, pp. 927-934

River (Zhujiang River) basin, were analyzed using multifractal detrended fluctuation analysis (MF-DFA). The research results …

Persistent link: https://www.econbiz.de/10010591372

A multifractal approach for stock market inefficiency

Zunino, L.; Tabak, B.M.; Figliola, A.; Pérez, D.G.; … - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 26, pp. 6558-6566

In this paper, the multifractality degree in a collection of developed and emerging stock market indices is evaluated. Empirical results suggest that the multifractality degree can be used as a quantifier to characterize the stage of market development of world stock indices. We develop a model...

Persistent link: https://www.econbiz.de/10011063485

Multifractal detrended fluctuation analysis of derivative and spot markets

Lim, Gyuchang; Kim, SooYong; Lee, Hyoung; Kim, Kyungsik; … - In: Physica A: Statistical Mechanics and its Applications 386 (2007) 1, pp. 259-266

multifractal detrended fluctuation analysis, we estimate the generalized Hurst and the Renyi exponents for price fluctuations. By …

Persistent link: https://www.econbiz.de/10010590415