Search Results - subject:"Multifractal detrended fluctuation analysis"

Multifractal detrended fluctuation analysis for clustering structures of electricity price periods

Wang, Fang; Liao, Gui-ping; Li, Jian-hui; Li, Xiao-chun; … - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 22, pp. 5723-5734

— the multifractal detrended fluctuation analysis (MF-DFA) method is employed to analyze the features achieved from three …

Persistent link: https://www.econbiz.de/10011062098

The effects of observational correlated noises on multifractal detrended fluctuation analysis

Gulich, Damián; Zunino, Luciano - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 16, pp. 4100-4110

We have numerically investigated the effects that observational correlated noises have on the generalized Hurst exponents, h(q), estimated by using the multifractal generalization of detrended fluctuation analysis (MF-DFA). More precisely, artificially generated stochastic binomial multifractals...

Persistent link: https://www.econbiz.de/10011061088

Efficient market hypothesis in the international oil price fluctuation: based on the MF-DFA model

Chen, Yufeng; Yu, Jian - In: International Journal of Global Energy Issues 35 (2011) 2/3/4, pp. 275-286

efficiency of international oil price volatility, a model based on multifractal detrended fluctuation analysis is built up to …

Persistent link: https://www.econbiz.de/10010816893

Analysis of the efficiency and multifractality of gold markets based on multifractal detrended fluctuation analysis

Wang, Yudong; Wei, Yu; Wu, Chongfeng - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 5, pp. 817-827

In this paper, we investigate the efficiency and multifractality of a gold market based on multifractal detrended … fluctuation analysis. Our evidence shows that the gold return series are multifractal both for time scales smaller than a month …

Persistent link: https://www.econbiz.de/10010874425

Multifractal analysis on international crude oil markets based on the multifractal detrended fluctuation analysis

Gu, Rongbao; Chen, Hongtao; Wang, Yudong - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 14, pp. 2805-2815

The multifractal nature of WTI and Brent crude oil markets is studied employing the multifractal detrended fluctuation … analysis. We find that two crude oil markets become more and more efficient for long-term and two Gulf Wars cannot change time …

Persistent link: https://www.econbiz.de/10011057121

Wang, Yudong; Wei, Yu; Wu, Chongfeng - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 24, pp. 5759-5768

multifractal detrended fluctuation analysis. Our findings show that the for small time scales, the auto-correlations of …

Persistent link: https://www.econbiz.de/10010591586

Chaotic SVD method for minimizing the effect of exponential trends in detrended fluctuation analysis

Shang, Pengjian; Lin, Aijing; Liu, Liang - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 5, pp. 720-726

The Detrended Fluctuation Analysis (DFA) and its extensions (MF-DFA) have been used extensively to determine possible long-range correlations in self-affine signals. However, recent studies have reported the susceptibility of DFA to trends which give rise to spurious crossovers and prevent...

Persistent link: https://www.econbiz.de/10010874059

Wavelet Leaders: A new method to estimate the multifractal singularity spectra

Serrano, E.; Figliola, A. - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 14, pp. 2793-2805

known Multifractal Detrended Fluctuation Analysis. The latter is a comprehensible and well adapted method for natural and …

Persistent link: https://www.econbiz.de/10011061455

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