We investigate multifractal properties of daily price changes in currency rates using the multifractal detrended fluctuation analysis (MF-DFA). We analyze managed and independent floating currency rates in eight countries, and determine the changes in multifractal spectrum when transitioning...

We study auto-correlations and cross-correlations of daily price changes and daily volume changes of thirteen global stock market indices, using multifractal detrended fluctuation analysis (MF-DFA) and multifractal detrended cross-correlation analysis (MF-DXA). We find rather distinct...

The sequence of magnitudes of the earthquakes occurred in Kachchh area (Gujarat, Western India) from 2003 to 2012, has been analysed by using the multifractal detrended fluctuation analysis. The complete and the aftershock-depleted catalogues with minimum magnitude M3 were investigated. Both...

The time dynamics of gravity signal measured in Sheki, a site in Azerbaijan, where mainly crust deformation processes are present, is investigated by using the power spectrum method and the multifractal detrended fluctuation analysis. Our findings point out to the presence of two main...

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 and for time scales larger than a month. For time...

Fractal is employed in this paper as a scale-based method for the identification of the scaling behavior of time series. Many spatial and temporal processes exhibiting complex multi(mono)-scaling behaviors are fractals. One of the important concepts in fractals is crossover time scale(s) that...

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 scale behavior of crude oil return series....

We examine statistical properties of a daily hot pixel time series recorded in Brazil during the period 1998–2006, using Multifractal Detrended Fluctuation Analysis (MF-DFA). We find that generalized scaling exponent h(q) is a decreasing function of q, indicating multifractal behavior of hot...

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...

A new model is proposed to investigate the structure of electricity price in different time periods. A popular method — the multifractal detrended fluctuation analysis (MF-DFA) method is employed to analyze the features achieved from three types of electricity price data after filtering some...