相关论文: Multifractality and long memory of a financial ind…
The multifractal detrended fluctuation analysis technique is employed to analyze the time series of gold consumer price index (CPI) and the market trend of three world's highest gold consuming countries, namely China, India and Turkey for…
The field-driven magnetisation reversal processes in disordered systems exhibit a collective behaviour that is manifested in the scale-invariance of avalanches, closely related to underlying dynamical mechanisms. Using the multifractal time…
Trading volume movement prediction is the key in a variety of financial applications. Despite its importance, there is few research on this topic because of its requirement for comprehensive understanding of information from different…
Characterising the stratosphere as a turbulent system, temporal fluctuations often show different correlations for different time scales as well as intermittent behaviour that cannot be captured by a single scaling exponent. In this study,…
Multifractal analysis studies signals, functions, images or fields via the fluctuations of their local regularity along time or space, which capture crucial features of their temporal/spatial dynamics. It has become a standard signal and…
Fractal analysis is carried out on the stock market indices of seven European countries and the US. We find evidence of long range dependence in the log return series of the Mibtel (Italy) and the PX Glob (Czech Republic). Long range…
It is well known that there exist statistical and structural differences between the stock markets of developed and emerging countries. In this work, we present an analysis of the variations and autocorrelations of the Mexican Stock Market…
We consider different levels of complexity which are observed in the empirical investigation of financial time series. We discuss recent empirical and theoretical work showing that statistical properties of financial time series are rather…
We propose a methodology for clustering financial time series of stocks' returns, and a graphical set-up to quantify and visualise the evolution of these clusters through time. The proposed graphical representation allows for the…
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…
The aim of this paper is to present a simple stochastic model that accounts for the effects of a long-memory in volatility on option pricing. The starting point is the stochastic Black-Scholes equation involving volatility with long-range…
Erraticity analysis of multiparticle production data is introduced as a way of extracting the maximum amount of information on self-similar fluctuations. It is presented as the next logical step to take beyond the intermittency analysis. An…
We have performed detailed multifractal analysis on the minutely volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function $\chi_q(s)$ scales as a power law with…
Multifractal detrended cross-correlation methodology is described and applied to Foreign exchange (Forex) market time series. Fluctuations of high frequency exchange rates of eight major world currencies over 2010-2018 period are used to…
Multiplicative processes and multifractals have earned increased popularity in applications ranging from hydrodynamic turbulence to computer network traffic, from image processing to economics. We analyse the multifractality of the recently…
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…
The expOU stochastic volatility model is capable of reproducing fairly well most important statistical properties of financial markets daily data. Among them, the presence of multiple time scales in the volatility autocorrelation is perhaps…
We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and the exogenous noise is the primary…
This study investigates the efficiency of some select stock markets. Using an improved wavelet estimator of long range dependence, we show evidence of long memory in the stock returns of some emerging Asian economies. However, developed…
We propose a model with heterogeneous interacting traders which can explain some of the stylized facts of stock market returns. In the model synchronization effects, which generate large fluctuations in returns, can arise either from an…