Related papers: Improving MF-DFA model with applications in precio…
The European Power Exchange has introduced day-ahead auctions and continuous trading spot markets to facilitate the insertion of renewable electricity. These markets are designed to balance excess or lack of power in short time periods,…
Predicting the price that has the least error and can provide the best and highest accuracy has been one of the most challenging issues and one of the most critical concerns among capital market activists and researchers. Therefore, a model…
We analyze sources of error in prediction market forecasts in order to bound the difference between a security's price and the ground truth it estimates. We consider cost-function-based prediction markets in which an automated market maker…
We apply RMT, Network and MF-DFA methods to investigate correlation, network and multifractal properties of 20 global financial indices. We compare results before and during the financial crisis of 2008 respectively. We find that the…
We amend and extend the Chiarella model of financial markets to deal with arbitrary long-term value drifts in a consistent way. This allows us to improve upon existing calibration schemes, opening the possibility of calibrating individual…
The concept of multifractality offers a powerful formal tool to filter out multitude of the most relevant characteristics of complex time series. The related studies thus far presented in the scientific literature typically limit themselves…
Multifractal properties of the energy time series of short $\alpha$-helix structures, specifically from a polyalanine family, are investigated through the MF-DFA technique ({\it{multifractal detrended fluctuation analysis}}). Estimates for…
A fractal approach to the long-short portfolio optimization is proposed. The algorithmic system based on the composition of market-neutral spreads into a single entity was considered. The core of the optimization scheme is a fractal walk…
Multifractal structure of global monthly mean temperature anomaly time series over the period of 1850-2012 are studied in terms of the multifractal detrended moving average (MFDMA) analysis. We try to address the possible source(s) and the…
We examine the Detrended Fluctuation Analysis (DFA), which is a well-established method for the detection of long-range correlations in time series. We show that deviations from scaling that appear at small time scales become stronger in…
Detrended fluctuation analysis (DFA) and detrended moving average (DMA) are two scaling analysis methods designed to quantify correlations in noisy non-stationary signals. We systematically study the performance of different variants of the…
We study the multifractal temporal scaling properties of river discharge and precipitation records. We compare the results for the multifractal detrended fluctuation analysis method with the results for the wavelet transform modulus maxima…
We discuss stochastic modeling of volatility persistence and anti-correlations in electricity spot prices, and for this purpose we present two mean-reverting versions of the multifractal random walk (MRW). In the first model the…
We propose a novel algorithm - Multifractal Cross-Correlation Analysis (MFCCA) - that constitutes a consistent extension of the Detrended Cross-Correlation Analysis (DCCA) and is able to properly identify and quantify subtle characteristics…
We introduce the stochastic multiplicative point process modelling trading activity of financial markets. Such a model system exhibits power-law spectral density S(f) ~ 1/f**beta, scaled as power of frequency for various values of beta…
We study the relation between stock price changes and the difference in the number of sell and buy orders. Using a soft spin model, we describe the price impact of order imbalances and find an analogy to the fluctuation-dissipation theorem…
We present a financial market model, characterized by self-organized criticality, that is able to generate endogenously a realistic price dynamics and to reproduce well-known stylized facts. We consider a community of heterogeneous traders,…
This paper studies inter-trade durations in the NASDAQ limit order market and finds that inter-trade durations in ultra-high frequency have two modes. One mode is to the order of approximately 10^{-4} seconds, and the other is to the order…
Accurate electricity price forecasting (EPF) is increasingly difficult in markets characterised by extreme volatility, frequent price spikes, and rapid structural shifts. Deep learning (DL) has been increasingly adopted in EPF due to its…
We present a version of the fundamental theorem of asset pricing (FTAP) for continuous time large financial markets with two filtrations in an $L^p$-setting for $ 1 \leq p < \infty$. This extends the results of Yuri Kabanov and Christophe…