SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Multifractal detrended fluctuation analysis of derivative and spot markets · Study

ArticleShelves

ArticleMultifractal detrended fluctuation analysis of derivative and spot markets

Gyuchang Lim2007

Article2007

Multifractal detrended fluctuation analysis of derivative and spot markets

Gyuchang Lim · Soo-Yong Kim · Hyoung Lee · Kyungsik Kim · Dong‐In Lee

70 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Statistical Mechanics and Entropy

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 70 citations exist upstream.

References

2002Multifractal detrended fluctuation analysis of nonstationary time series 1991Wavelets and multifractal formalism for singular signals: Application to turbulence data 1993Multifractal formalism for fractal signals: The structure-function approach versus the wavelet-transform modulus-maxima method 2003Multifractal properties of price fluctuations of stocks and commodities 2008A multifractal approach for stock market inefficiency 2005A multifractal detrended fluctuation description of Iranian rial–US dollar exchange rate 2008Multifractal analysis of Chinese stock volatilities based on the partition function approach 1999Multiscale behaviour of volatility autocorrelations in a financial market

Cited by

2011Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant 2015p -exponent and p -leaders, Part II: Multifractal analysis. Relations to detrended fluctuation analysis 2013On the multifractal effects generated by monofractal signals 2009Multifractal spectrum analysis of nonlinear dynamical mechanisms in China’s agricultural futures markets

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2014Multifractal analysis of Asian markets during 2007–2008 financial crisisarticle · 5 shared references 2019The high frequency multifractal properties of Bitcoinarticle · 5 shared references 2007Scale invariant distribution and multifractality of volatility multipliers in stock marketsarticle · 5 shared references 2009Multifractal spectrum analysis of nonlinear dynamical mechanisms in China’s agricultural futures marketsarticle · 5 shared references 2011A copula–multifractal volatility hedging model for CSI 300 index futuresarticle · 5 shared references 2013Measuring daily Value-at-Risk of SSEC index: A new approach based on multifractal analysis and extreme value theoryarticle · 5 shared references

Details

Year2007

Typearticle

Published2007-08-03

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations70

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

Identifiers

doi10.1016/j.physa.2007.07.055

openalex_workW2028209678

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2018

Quantitative approach to multifractality induced by correlations and broad distribution of data

2016Alternative measure of multifractal content and its application in finance