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Multifractal analysis of Asian markets during 2007–2008 financial crisis

Hasan, Rashid; Mohammad, Salim M. - In: Physica A: Statistical Mechanics and its Applications 419 (2015) C, pp. 746-761

2007–2008 US financial crisis adversely affected the stock markets all over the world. Asian markets also came under pressure and were differently affected. As markets under stress could reveal features that remain hidden under normal conditions, we use MF-DFA technique to investigate the...

Persistent link: https://www.econbiz.de/10011117879

Self-organized criticality attributed to a central limit-like convergence effect

Kendal, Wayne S. - In: Physica A: Statistical Mechanics and its Applications 421 (2015) C, pp. 141-150

Self-organized criticality is a hypothesis used to explain the origin of 1/f noise and other scaling behaviors. Despite being proposed nearly 30 years ago, no consensus exists as to its exact definition or mathematical mechanism(s). Recently, a model for 1/f noise was proposed based on a family...

Persistent link: https://www.econbiz.de/10011193988

The effectiveness of China’s RMB exchange rate reforms: An insight from multifractal detrended fluctuation analysis

Qin, Jing; Lu, Xinsheng; Zhou, Ying; Qu, Ling - In: Physica A: Statistical Mechanics and its Applications 421 (2015) C, pp. 443-454

multifractal properties as well as multifractality degree of RMB/USD and RMB/HKD exchange markets. Our empirical results show that …

Persistent link: https://www.econbiz.de/10011194024

Multifractal detrended fluctuation analysis of particle density fluctuations in high-energy nuclear collisions

Mali, P.; Sarkar, S.; Ghosh, S.; Mukhopadhyay, A.; Singh, G. - In: Physica A: Statistical Mechanics and its Applications 424 (2015) C, pp. 25-33

The detrended fluctuation analysis (DFA) and the multifractal DFA (MF-DFA) techniques are employed to characterize the pseudorapidity (η) distribution of charged mesons produced in 28Si+Ag/Br interaction at 14.5 GeV/nucleon and 32S+Ag/Br interaction at 200 GeV/nucleon. Various multifractal...

Persistent link: https://www.econbiz.de/10011194082

Multifractal parameters as an indication of different physiological and pathological states of the human brain

Dutta, Srimonti; Ghosh, Dipak; Samanta, Shukla; Dey, Santanu - In: Physica A: Statistical Mechanics and its Applications 396 (2014) C, pp. 155-163

degree of multifractality of EEG for patients in an epileptic seizure are much higher compared to normal healthy people. The … degree of multifractality for normal humans with eyes open and closed was also significantly different. Thus the multifractal …

Persistent link: https://www.econbiz.de/10010730340

European economies in crisis: A multifractal analysis of disruptive economic events and the effects of financial assistance

Siokis, Fotios M. - In: Physica A: Statistical Mechanics and its Applications 395 (2014) C, pp. 283-292

We analyze the complexity of rare economic events in troubled European economies. The economic crisis initiated at the end of 2009, forced a number of European economies to request financial assistance from world organizations. By employing the stock market index as a leading indicator of the...

Persistent link: https://www.econbiz.de/10010730351

Multifractal detrending moving average analysis on the US Dollar exchange rates

Wang, Yudong; Wu, Chongfeng; Pan, Zhiyuan - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 20, pp. 3512-3523

multifractality are long-range correlations of small and large fluctuations. Fat-tail distributions have important effects on the … multifractality of USD/AUR, USD/EUR and CNY/USD exchange rates. We also find evidence that extreme events play an important role in … the contributions to multifractality for the USD/EUR exchange rate. …

Persistent link: https://www.econbiz.de/10010871642

Probability distribution function and multiscaling properties in the Korean stock market

Lee, Kyoung Eun; Lee, Jae Woo - In: Physica A: Statistical Mechanics and its Applications 383 (2007) 1, pp. 65-70

, the traded volume, and changes of the traded volume. We also investigate the multifractality in the Korean stock market …. We consider the multifractality by the detrended fluctuation analysis (MFDFA). We observed the multiscaling behaviors for … series to observe the effects of the autocorrelations. The multifractality is strongly originated from the long time …

Persistent link: https://www.econbiz.de/10010871852

Financial earthquakes, aftershocks and scaling in emerging stock markets

Selçuk, Faruk - In: Physica A: Statistical Mechanics and its Applications 333 (2004) C, pp. 306-316

This paper provides evidence for scaling laws in emerging stock markets. Estimated parameters using different definitions of volatility show that the empirical scaling law in every stock market is a power law. This power law holds from 2 to 240 business days (almost 1 year). The scaling...

Persistent link: https://www.econbiz.de/10010872069

Specific heat anomalies of non-interacting fermions with multifractal energy spectra

de Oliveira, I.N.; Lyra, M.L.; Albuquerque, E.L. - In: Physica A: Statistical Mechanics and its Applications 343 (2004) C, pp. 424-432

In this work, we compute the specific heat of a system of non-interacting fermions whose energy spectrum presents a self-similar character. The critical attractor of the logistic map is used to generate a multifractal energy spectrum. We study the temperature dependence of the specific heat for...

Persistent link: https://www.econbiz.de/10010872290