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A criterion for the determination of optimal scaling ranges in DFA and MF-DFA

Gulich, Damián; Zunino, Luciano - In: Physica A: Statistical Mechanics and its Applications 397 (2014) C, pp. 17-30

We develop a criterion based on a brute-force algorithm to systematically determine optimal fitting regions for fluctuation functions in Detrended Fluctuation Analysis (DFA) and Multifractal Detrended Fluctuation Analysis (MF-DFA). We analyze and compare results with several artificially...

Persistent link: https://www.econbiz.de/10011058302

The effects of observational correlated noises on multifractal detrended fluctuation analysis

Gulich, Damián; Zunino, Luciano - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 16, pp. 4100-4110

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...

Persistent link: https://www.econbiz.de/10011061088

Stock market efficiency analysis using long spans of Data : a multifractal detrended fluctuation approach

Tiwari, Aviral Kumar; Aye, Goodness C.; Gupta, Rangan - In: Finance research letters 28 (2019), pp. 398-411

Persistent link: https://www.econbiz.de/10012388354

Multifractal analysis of volatility for detection of herding and bubble : evidence from CNX Nifty HFT

Ghosh, Bikramaditya; Kozarević, Emira - In: Investment management and financial innovations 16 (2019) 3, pp. 182-193

Persistent link: https://www.econbiz.de/10012159372

What are the categories of geopolitical risks that could drive oil prices higher? : acts or threats?

Bouoiyour, Jamal; Selmi, Refk; Hammoudeh, Shawkat; … - In: Energy economics 84 (2019), pp. 1-14

Persistent link: https://www.econbiz.de/10012183421

Brazilian stock-market efficiency before and after COVID-19 : the roles of fractality and predictability

Maciel, Leandro S. - In: Global finance journal 58 (2023), pp. 1-25

Persistent link: https://www.econbiz.de/10014631406

Multiscale multifractal detrended fluctuation analysis and trend identification of liquidity in the China's stock markets

Yan, Ruzhen; Yue, Ding; Wu, Xu; Gao, Wei - In: Computational economics 61 (2023) 2, pp. 487-511

Persistent link: https://www.econbiz.de/10014228448