Related papers: Multifractal analysis of Chinese stock volatilitie…
In this manuscript we present a comprehensive study on the multifractal properties of high-frequency price fluctuations and instantaneous volatility of the equities that compose Dow Jones Industrial Average. The analysis consists about…
We achieve the multifractal analysis of a class of complex valued statistically self-similar continuous functions. For we use multifractal formalisms associated with pointwise oscillation exponents of all orders. Our study exhibits new…
We study various box-size scaling techniques to obtain the multifractal properties, in terms of the singularity spectrum f(alpha), of the critical eigenstates at the metal-insulator transition within the 3-D Anderson model of localisation.…
By combining (i) the economic theory of rational expectation bubbles, (ii) behavioral finance on imitation and herding of investors and traders and (iii) the mathematical and statistical physics of bifurcations and phase transitions, the…
The two-dimensional multifractal detrended fluctuation analysis is applied to reveal the multifractal properties of the fracture surfaces of foamed polypropylene/polyethylene blends at different temperatures. Nice power-law scaling…
An average instantaneous cross-correlation function is introduced to quantify the interaction of the financial market of a specific time. Based on the daily data of the American and Chinese stock markets, memory effect of the average…
Being able to forcast extreme volatility is a central issue in financial risk management. We present a large volatility predicting method based on the distribution of recurrence intervals between volatilities exceeding a certain threshold…
Multifractal analysis is one of the important approaches that enables us to measure the complexity of various data via the scaling properties. We compare the most common techniques used for multifractal exponents estimation from both…
Fractals and multifractals and their associated scaling laws provide a quantification of the complexity of a variety of scale invariant complex systems. Here, we focus on lattice multifractals which exhibit complex exponents associated with…
Multifractal systems usually have singularity spectra defined on bounded sets of H\"older exponents. As a consequence, their associated multifractal scaling exponents are expected to depend linearly upon statistical moment orders at high…
We apply the concepts of multifractal physics to financial time series in order to characterize the onset of crash for the Standard & Poor's 500 stock index x(t). It is found that within the framework of multifractality, the "analogous"…
We study spatial clustering in a discrete, one-dimensional, stochastic, toy model of heavy particles in turbulence and calculate the spectrum of multifractal dimensions $D_q$ as functions of a dimensionless parameter, $\alpha$, that plays…
We introduce a multivariate stochastic volatility model for asset returns that imposes no restrictions to the structure of the volatility matrix and treats all its elements as functions of latent stochastic processes. When the number of…
We proposed a market simulation model (micro model) which displays multifractality and reproduces many important stylized facts of speculative markets. From this model we analytically extracted the MMAR model (Multifractal Model of Asset…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…
The scaling behavior of the mutifractality for the sea-bottom topography of the South Sea in Korea is numerically investigated. In particular, we focus on the behavior of the $q$th-moment depth-depth correlation function of the sea-bottom…
The systemic stability of a stock market is one of the core issues in the financial field. The market can be regarded as a complex network whose nodes are stocks connected by edges that signify their correlation strength. Since the market…
The distribution of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. We observe that the size distribution of…
This study explores contagion in the Chinese stock market using Hawkes processes to analyze autocorrelation and cross-correlation in multivariate time series data. We examine whether market indices exhibit trending behavior and whether…
The spin quantum Hall (or class C) transition represents one of the few localization-delocalization transitions for which some of the critical exponents are known exactly. Not known, however, is the multifractal spectrum, $\tau_q$, which…