相关论文: Multifractality and long memory of a financial ind…

In setting up a stochastic description of the time evolution of a financial index, the challenge consists in devising a model compatible with all stylized facts emerging from the analysis of financial time series and providing a reliable…

Multifractal Detrended Fluctuation Analysis stands out as one of the most reliable methods for unveiling multifractal properties, specially when real-world time series are under analysis. However, little is known about how several aspects,…

Many financial variables are found to exhibit multifractal nature, which is usually attributed to the influence of temporal correlations and fat-tailedness in the probability distribution (PDF). Based on the partition function approach of…

In this work, an analysis of multifractal parameters of daily precipitation series over the Iberian Peninsula was performed in two 30-year periods to explore whether these properties follow any pattern. Fluctuations of precipitation series…

We consider the structure functions S^(q)(T), i.e. the moments of order q of the increments X(t+T)-X(t) of the Foreign Exchange rate X(t) which give clear evidence of scaling (S^(q)(T)~T^z(q)). We demonstrate that the nonlinearity of 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…

Maximum likelihood estimation applied to high-frequency data allows us to quantify intermittency in the fluctu- ations of asset prices. From time records as short as one month these methods permit extraction of a meaningful intermittency…

Multifractal detrended fluctuation analysis (MFDFA) has become a central method to characterise the variability and uncertainty in empiric time series. Extracting the fluctuations on different temporal scales allows quantifying the strength…

The search for more realistic modeling of financial time series reveals several stylized facts of real markets. In this work we focus on the multifractal properties found in price and index signals. Although the usual Minority Game (MG)…

Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…

Many models and real complex systems possess critical thresholds at which the systems shift from one sate to another. The discovery of the early warnings of the systems in the vicinity of critical point are of great importance to estimate…

The financial market and turbulence have been broadly compared on account of the same quantitative methods and several common stylized facts they shared. In this paper, the She-Leveque (SL) hierarchy, proposed to explain the anomalous…

We study regularity properties of frequency measures arising from random substitutions, which are a generalisation of (deterministic) substitutions where the substituted image of each letter is chosen independently from a fixed finite set.…

This study utilised the dynamics of five time-varying models to estimate six essential features of financial return volatility that are relevant for robust risk management. These features include pronounced persistence, mean reversion,…

In this paper, we study long-term correlations and multifractal properties elaborated from time series of three-phase current signals coming from an industrial electric arc furnace plant. Implicit sinusoidal trends are suitably detected by…

We use a multifractal formalism to study the effect of stochastic resonance in a noisy bistable system driven by various input signals. To characterize the response of a stochastic bistable system we introduce a new measure based on the…

Agents' heterogeneity is recognized as a driver mechanism for the persistence of financial volatility. We focus on the multiplicity of investment strategies' horizons, we embed this concept in a continuous time stochastic volatility…

In this paper we propose a bivariate generalization of a weighted indexed semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that financial returns are described by a weighted indexed semi-Markov chain…

Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…

We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a…