相关论文: Multifractal characterization of gold market: a mu…

We analyze the multifractal spectra of daily foreign exchange rates for Japan, Hong-Kong, Korea, and Thailand with respect to the United States Dollar from 1991 to 2005. We find that the return time series show multifractal spectrum…

Based on the Multifractal Detrended Fluctuation Analysis (MFDFA) and on the Wavelet Transform Modulus Maxima (WTMM) methods we investigate the origin of multifractality in the time series. Series fluctuating according to a qGaussian…

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…

Grains account for more than 50% of the calories consumed by people worldwide, and military conflicts, pandemics, climate change, and soaring grain prices all have vital impacts on food security. However, the complex price behavior of the…

This study examines the effects of Trump-era tariffs on financial market efficiency by applying multifractal detrended fluctuation analysis to the return and absolute return time series of six major financial assets: the S\&P 500, SSEC,…

By adopting Multifractal detrended fluctuation (MF-DFA) analysis methods, the multifractal nature is revealed in the high-frequency data of two typical indexes, the Shanghai Stock Exchange Composite 180 Index (SH180) and the Shenzhen Stock…

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…

Multifractality is a concept that helps compactly grasping the most essential features of the financial dynamics. In its fully developed form, this concept applies to essentially all mature financial markets and even to more liquid…

Climate change has driven the market to seek new ways of raising funds to mitigate its effects. One such innovation is the emergence of Green Bonds financial assets specifically designed to support sustainable projects. This study explores…

We develop a method for the multifractal characterization of nonstationary time series, which is based on a generalization of the detrended fluctuation analysis (DFA). We relate our multifractal DFA method to the standard partition…

In this article, we examine whether the gold market returns show abnormally positive or negative returns in some months of the calendar year. The statistical analysis and the decomposition techniques suggest that gold prices show some…

This contribution addresses the question commonly asked in scientific literature about the sources of multifractality in time series. Two primary sources are typically considered. These are temporal correlations and heavy tails in the…

In the last decades, an ever-growing number of studies are focusing on the extreme weather conditions related to the climate change. Some of them are based on multifractal approaches, such as the Multifractal Detrended Fluctuation Analysis…

The disaggregated time-series for the Consumer Price Index (CPI) often exhibits exact zero price changes, stemming from structural features of the data collection process. However, the currently prominent stochastic volatility model of…

We use multifractal detrended fluctuation analysis (MF-DFA), to See query 1 study sunspot number fluctuations. The result of the MF-DFA shows that there are three crossover timescales in the fluctuation function. We discuss how the…

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…

In this paper we will try to assess the multifractality displayed by the high-frequency returns of Madrid's Stock Exchange IBEX35 index. A Multifractal Detrended Fluctuation Analysis shows that this index has a wide singularity spectrum…

This paper uses new and recently introduced mathematical techniques to undertake a data-driven study on the systemic nature of global inflation. We start by investigating country CPI inflation over the past 70 years. There, we highlight the…

Motivated by the current fears of a potentially stagflationary global economic environment, this paper uses new and recently introduced mathematical techniques to study multivariate time series pertaining to country inflation (CPI),…

This article continues our analysis of the gold price dynamics that was published in December 2010 (abs/1012.4118) and forecasted the possibility of the "burst of the gold bubble" in April - June 2011. Our recent analysis suggests the…