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Multifractal Detrended Fluctuation Analysis of the Chinese Stock Index Futures Market
Lu, Xinsheng; Tian, Jie; Zhou, Ying; Li, Zhihui - 2012
-minute closing prices, we find that the Chinese stock index futures returns exhibit long-range correlations and multifractality … there exists two different sources of the multifractality for the Chinese stock index futures market. Our results suggest … that the multifractality is mainly due to long-range correlations, although the fat-tailed probability distributions also …
Persistent link: https://www.econbiz.de/10012624236
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A Multifractal Detrended Fluctuation Analysis of the Moroccan Stock Exchange
Benbachir, Saâd; El Alaoui, Marwane - Volkswirtschaftliche Fakultät, … - 2011
phaserandomization techniques to detect the sources of the multifractality. We show that there are two major sources of multifractality … mainly to the multifractality of MASI index while the two sources contribute almost equally to the multifractality of the …
Persistent link: https://www.econbiz.de/10011108137
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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
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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
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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
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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
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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
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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
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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
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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