相关论文: A Multifractal Detrended Fluctuation Description o…

The multifractal spectra of daily foreign exchange rates for US dollar (USD), the British Pound (GBP), the Euro (Euro) and the Japanese Yen (Yen) with respect to the Indian Rupee are analysed for the period 6th January 1999 to 24th July…

The performance of the multifractal detrended analysis on short time series is evaluated for synthetic samples of several mono- and multifractal models. The reconstruction of the generalized Hurst exponents is used to determine the range of…

One-dimensional detrended fluctuation analysis (1D DFA) and multifractal detrended fluctuation analysis (1D MF-DFA) are widely used in the scaling analysis of fractal and multifractal time series because of being accurate and easy to…

Multifractal analysis is a forecasting technique used to study the scaling regularity properties of financial returns, to analyze the long-term memory and predictability of financial markets. In this paper, we propose a novel structural…

We use the multifractal detrended fluctuation analysis (MF-DFA) to study the electrical discharge current fluctuations in plasma and show that it has multifractal properties and behaves as a weak anti-correlated process. Comparison of the…

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…

Multifractal time series analysis is a approach that shows the possible complexity of the system. Nowadays, one of the most popular and the best methods for determining multifractal characteristics is Multifractal Detrended Fluctuation…

The multifractal behavior for tick data of prices is investigated in Korean financial market. Using the rescaled range analysis(R/S analysis), we show the multifractal nature of returns for the won-dollar exchange rate and the KOSPI. We…

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…

We study the tick dynamical behavior of the yen-dollar exchange rate using the rescaled range analysis in financial market. It is found that the multifractal Hurst exponents with the short and long-run memory effects can be obtained from…

We report an empirical study of Tehran Price Index (TEPIX). To analyze our data we use various methods like as, rescaled range analysis ($R/S$), modified rescaled range analysis (Lo's method), Detrended Fluctuation Analysis (DFA) and…

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…

Multifractality in time series analysis characterizes the presence of multiple scaling exponents, indicating heterogeneous temporal structures and complex dynamical behaviors beyond simple monofractal models. In the context of digital…

Recently the statistical characterizations of financial markets based on physics concepts and methods attract considerable attentions. We used two possible procedures of analyzing multifractal properties of a time series. The first one uses…

We have studied the multifractality of pion emission process in 16O-AgBr interactions at 2.1AGeV & 60AGeV, 12CAgBr &24Mg-AgBr interactions at 4.5AGeV and 32S-AgBr interactions at 200AGeV using Multifractal Detrended Fluctuation Analysis…

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…

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…

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…

Scaling properties in financial fluctuations are reviewed from the standpoint of statistical physics. We firstly show theoretically that the balance of demand and supply enhances fluctuations due to the underlying phase transition…

By applying the multifractal detrended fluctuation analysis to the high-frequency tick-by-tick data from Deutsche B\"orse both in the price and in the time domains, we investigate multifractal properties of the time series of logarithmic…