Search Results - subject:"Multifractality"

Chaotic scaling and network turbulence in crude oil-equity systems using a Coupled Multiscale Chaos Index

Khoojine, Arash Sioofy; Xiao, Lin; Chen, Hao; Wang, Congyin - In: International Journal of Financial Studies : open … 14 (2026) 3, pp. 1-27

equity systems frequently demonstrate closely connected forms of instability. Earlier studies report multifractality, chaotic … and WTI exhibit pronounced multifractality, elevated entropy and positive Lyapunov exponents, while the dependence network …

Persistent link: https://www.econbiz.de/10015643357

A stochastic volatility approximation for a tick-by-tick price model with mean-field interaction

DaiPra, Paolo; Pigato, Paolo - 2025

Persistent link: https://www.econbiz.de/10015413652

Financial technology (Fintech) and sustainable financing : special Issue reprint

Colombage, Sisira (ed.) - 2025 - 3rd edition

Persistent link: https://www.econbiz.de/10015609784

Comparison of the asymmetric multifractal behavior of green and U.S. bonds against benchmark financial assets

Kristjanpoller Rodríguez, Werner; Tabak, Benjamin Miranda - In: Financial innovation : FIN 11 (2025), pp. 1-22

lowest multifractality, showing persistent upward trends and antipersistent downward trends, rendering them quite resilient …

Persistent link: https://www.econbiz.de/10015559370

Scaling laws and statistical properties of the transaction flows and holding times of bitcoin

Sornette, Didier; Zhang, Yu - 2024

Persistent link: https://www.econbiz.de/10014483276

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

approaches. The results show that intrinsic multifractality is less likely in the (sub-)samples of rice and soybean, whereas the …

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

Application of Fractal Processes and Fractional Derivatives in Finance

Chan, Leung Lung (contributor) - 2024

In recent years, there has been a fast growth in the application of long-memory processes to underlying assets including stock, volatility index, exchange rate, etc. The fractional Brownian motion is the most popular of the long-memory processes and was introduced by Kolmogorov in 1940 and later...

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

Russia-Ukraine and Israel-Palestine wars on the asymmetric multifractals of defense stocks : a novel a-MFDFA method

Khan, Khalid; Khurshid, Adnan; Cifuentes-Faura, Javier - In: Defence and peace economics 37 (2026) 1, pp. 58-77

Persistent link: https://www.econbiz.de/10015593349

How does price (in)efficiency influence cryptocurrency portfolios performance? : the role of multifractality

Salis, Eduardo Amorim Vilela de; Maciel, Leandro S. - In: Quantitative finance 23 (2023) 11, pp. 1637-1658

Persistent link: https://www.econbiz.de/10014419183

Islamic vs. conventional equity markets: A multifractal cross-correlation analysis with economic policy uncertainty

Aslam, Faheem; Ferreira, Paulo; Ali, Haider; Oliveira, … - In: Economies 11 (2023) 1, pp. 1-18

perspective of multifractality. Daily stock market prices of five main countries are considered: US, Thailand, Indonesia, Pakistan …

Persistent link: https://www.econbiz.de/10015468898