The scaling properties of two alternative fractal models recently proposed to characterize the dynamics of stock market prices are compared. The former is the Multifractal Model of Asset Return (MMAR) introduced in 1997 by Mandelbrot, Calvet and Fisher in three companion papers. The latter is...

This work is intended to offer a comparative analysis of the statistical properties of hourly prices in the day–ahead electricity markets of several countries. Starting from the intermittent nature of typical price fluctuations in many power markets, we will provide evidence that working into...

Despite its solid foundations, multifractal analysis is still a challenging task. The ‘inversed’ singularity spectrum is a major pitfall in standard multifractal analyses especially for empirical signals. To resolve this issue, we identified the fan-like convergent geometry of scaling...

This paper presents a novel approach for the local analysis of the contour of a planar real world shape. The 1D representation of that contour is a very complicated signal with several non isolated and oscillating singularities, which represent the micro-structure of the shape. The analysis of...

Central place systems have been demonstrated to possess self-similarity in both the theoretical and empirical perspectives. A central place model can be treated as a monofractal with a single scaling process. However, a real system of human settlements is a complex network with multi-scaling...

This paper studies the variation of autocorrelation and cross correlation coefficients of gold price and SENSEX fluctuations with time. The paper uses MFDFA and MFDXA methodologies. SENSEX plays a more dominant role in the variation of cross correlations. It is observed that the cross...

This paper provides new empirical evidence for intraday scaling behavior of stock market returns utilizing a 5min stock market index (the Dow Jones Industrial Average) from the New York Stock Exchange. It is shown that the return series has a multifractal nature during the day. In addition, we...

The multifractal properties are investigated for the bulk spin wave bands of quasiperiodic magnetic superlattices arranged according to the Fibonacci sequence. The superlattices are considered to be composed of layers of two simple cubic ferromagnetic materials. The layers are characterized by a...

We show the methodology used to analyze fractal and mass-multifractal properties of very large Diffusion-Limited Aggregation (DLA) clusters with a maximum of 109 particles for 2D aggregates and 108 particles for 3D clusters, to support our main result; the scaling behavior obtained by our...

Multifractal random walks (MRW) correspond to simple solvable “stochastic volatility” processes. Moreover, they provide a simple interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that they are able to...