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Multifractal detrending moving average analysis on the US Dollar exchange rates
16 references·4 citing·28 second hop
Multifractal detrending moving average analysis on the US Dollar exchange rates (2011)Multifractal detrending moving average an…Detrending moving average algorithm for multifractals (2010)Detrending moving average alg…Cross-correlations between volume change and price change (2009)Cross-correlations between vo…Short-term predictability of crude oil markets: A detrended fluctuation analysis approach (2008)Short-term predictability of …Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Multifractal detrended cross-…Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Detrended Cross-Correlation A…Quantifying signals with power-law correlations: A comparative study of detrended fluctuation analysis and detrended moving average techniques (2005)Quantifying signals with powe…The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient (2004)The Hurst exponent over time:…Can one make any crash prediction in finance using the local Hurst exponent idea? (2004)Can one make any crash predic…Multifractal properties of price fluctuations of stocks and commodities (2003)Multifractal properties of pr…Second-order moving average and scaling of stochastic time series (2002)Second-order moving average a…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…Fractal Market Analysis: Applying Chaos Theory to Investment and Economics (1994)Fractal Market Analysis: Appl…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Chaos and order in the capital markets (1991)Chaos and order in the capita…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Comparing Market Efficiency in Developed, Emerging, and Frontier Equity Markets: A Multifractal Detrended Fluctuation Analysis (2023)Comparing Market Efficiency i…The impact of executive anticipated regret on the choice of incentive system: An econophysics perspective (2018)The impact of executive antic…Cross-correlations between crude oil and agricultural commodity markets (2013)Cross-correlations between cr…Efficiency of Crude Oil Futures Markets: New Evidence from Multifractal Detrending Moving Average Analysis (2012)Efficiency of Crude Oil Futur…Fractals and Scaling in Finance (1997)Fractal and Multifractal Time Series (2009)Multifractal detrending moving-average cross-correlation analysis (2011)Multifractal analysis of financial markets: a review (2019)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Exact Local Whittle Estimation of Fractional \nIntegration (2002)Social Capital and the Dynamics of Trust in Government (2007)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Detecting long-range correlations with detrended fluctuation analysis (2001)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)Statistical tests for power-law cross-correlated processes (2011)Fractional Differencing (1981)The Variation of Certain Speculative Prices (1963)Generalized autoregressive conditional heteroskedasticity (1986)The Econometrics of Financial Markets (1997)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Modeling and pricing long memory in stock market volatility (1996)Random matrix approach to cross correlations in financial data (2002)Behavioral Finance and Its Implications for Stock-Price Volatility (1998)On Hurst exponent estimation under heavy-tailed distributions (2010)On the Efficiency of Foreign Exchange Markets in Times of the COVID-19 Pandemic (2020)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The econometrics of financial markets (1996)A case study on using neural networks to perform technical forecasting of forex (2000)The effects of behavioural factors in investment decision-making: a survey of institutional investors operating at the Nairobi Stock Exchange (2008)Punctuated Equilibrium Theory: Explaining Stability and Change in Public Policymaking (2018)
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References

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  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
  • 2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series1,476 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 1994Fractal Market Analysis: Applying Chaos Theory to Investment and Economics983 cited
  • 2008Multifractal detrended cross-correlation analysis for two nonstationary signals769 cited
  • 2009Cross-correlations between volume change and price change631 cited
  • 1991Chaos and order in the capital markets566 cited
  • 2010Detrending moving average algorithm for multifractals440 cited
  • 2004The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient411 cited
  • 2002Second-order moving average and scaling of stochastic time series408 cited
  • 2003Multifractal properties of price fluctuations of stocks and commodities343 cited
  • 2005Quantifying signals with power-law correlations: A comparative study of detrended fluctuation analysis and detrended moving average techniques285 cited
  • 2004

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Can one make any crash prediction in finance using the local Hurst exponent idea?
252 cited
  • 2008Short-term predictability of crude oil markets: A detrended fluctuation analysis approach245 cited
  • Cited by

    • 2013Cross-correlations between crude oil and agricultural commodity markets97 cited
    • 2012Efficiency of Crude Oil Futures Markets: New Evidence from Multifractal Detrending Moving Average Analysis44 cited
    • 2023Comparing Market Efficiency in Developed, Emerging, and Frontier Equity Markets: A Multifractal Detrended Fluctuation Analysis31 cited
    • 2018The impact of executive anticipated regret on the choice of incentive system: An econophysics perspective1 cited