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Alternative measure of multifractal content and its application in finance
16 references·0 citing·39 second hopsampled
Alternative measure of multifractal content and its application in finance (2016)Alternative measure of multifractal conte…Physical approach to complex systems (2012)Physical approach to complex …Evidence of Multifractality from Emerging European Stock Markets (2012)Evidence of Multifractality f…On spurious and corrupted multifractality: The effects of additive noise, short-term memory and periodic trends (2011)On spurious and corrupted mul…The foreign exchange market: return distributions, multifractality, anomalous multifractality and the Epps effect (2010)The foreign exchange market: …The components of empirical multifractality in financial returns (2009)The components of empirical m…Quantitative features of multifractal subtleties in time series (2009)Quantitative features of mult…Multifractal structure in Latin-American market indices (2008)Multifractal structure in Lat…A multifractal approach for stock market inefficiency (2008)A multifractal approach for s…Multifractal detrended fluctuation analysis of derivative and spot markets (2007)Multifractal detrended fluctu…Effect of Nonlinear Correlations on the Statistics of Return Intervals in Multifractal Data Sets (2007)Effect of Nonlinear Correlati…Measuring multifractality in seismic sequences (2006)Measuring multifractality in …Multifractal fluctuations in seismic interspike series (2005)Multifractal fluctuations in …Multifractality in the stock market: price increments versus waiting times (2004)Multifractality in the stock …Components of multifractality in high-frequency stock returns (2004)Components of multifractality…Multifractal properties of price fluctuations of stocks and commodities (2003)Multifractal properties of pr…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…The Asymptotic Theory of Extreme Order Statistics (1990)A long memory property of stock market returns and a new model (1993)Analysis of the efficiency and multifractality of gold markets based on multifractal detrended fluctuation analysis (2010)Finite-size effect and the components of multifractality in financial volatility (2011)Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA (2012)Anomalous fluctuations in the dynamics of complex systems: from DNA and physiology to econophysics (1996)Magnitude and sign scaling in power-law correlated time series (2003)Multifractal parameters as an indication of different physiological and pathological states of the human brain (2013)Multifractal properties of price change and volume change of stock market indices (2015)Multifractal behavior of price and volume changes in the cryptocurrency market (2019)Fractional Brownian Motions, Fractional Noises and Applications (1968)Scaling of the distribution of fluctuations of financial market indices (1999)Econophysics and sociophysics: Their milestones & challenges (2018)Effect of trends on detrended fluctuation analysis (2001)Effect of nonstationarities on detrended fluctuation analysis (2002)Detecting and interpreting distortions in hierarchical organization of complex time series (2015)The Behavior of Stock-Market Prices (1965)The Matthew Effect in Science (1968)The Pricing of Options and Corporate Liabilities (1973)Detrended cross-correlation analysis consistently extended to multifractality (2014)Multifractal analysis of financial markets: a review (2019)Multiscale characteristics of the emerging global cryptocurrency market (2020)Wavelets and multifractal formalism for singular signals: Application to turbulence data (1991)Multifractal random walk (2001)Forbidden patterns, permutation entropy and stock market inefficiency (2009)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Efficiency, multifractality, and the long-memory property of the Bitcoin market: A comparative analysis with stock, currency, and gold markets (2018)Introduction to Econophysics (1999)Detecting long-range correlations with detrended fluctuation analysis (2001)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Scaling behaviour in the dynamics of an economic index (1995)Multifractal analysis of Chinese stock volatilities based on the partition function approach (2008)Statistical properties and multifractality of Bitcoin (2018)Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic (2021)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Wavelet versus detrended fluctuation analysis of multifractal structures (2006)Detrended cross-correlation analysis for non-stationary time series with periodic trends (2011)Detrended fluctuation analysis made flexible to detect range of cross-correlated fluctuations (2015)
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References

  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,704 cited
  • 2012Physical approach to complex systems517 cited
  • 2003Multifractal properties of price fluctuations of stocks and commodities343 cited
  • 2008A multifractal approach for stock market inefficiency305 cited
  • 2009The components of empirical multifractality in financial returns195 cited
  • 2009Quantitative features of multifractal subtleties in time series190 cited
  • 2004Multifractality in the stock market: price increments versus waiting times159 cited
  • 2007Effect of Nonlinear Correlations on the Statistics of Return Intervals in Multifractal Data Sets155 cited
  • 2004Components of multifractality in high-frequency stock returns152 cited
  • 2006Measuring multifractality in seismic sequences126 cited
  • 2008Multifractal structure in Latin-American market indices107 cited
  • 2011On spurious and corrupted multifractality: The effects of additive noise, short-term memory and periodic trends89 cited
  • 2010The foreign exchange market: return distributions, multifractality, anomalous multifractality and the Epps effect80 cited
  • 2005Multifractal fluctuations in seismic interspike series75 cited
  • 2007

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Multifractal detrended fluctuation analysis of derivative and spot markets
70 cited
  • 2012Evidence of Multifractality from Emerging European Stock Markets69 cited
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