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Multiresolution analysis of fluctuations in non-stationary time series through discrete wavelets
16 references·1 citing·34 second hop
Multiresolution analysis of fluctuations in non-stationary time series through discrete wavelets (2009)Multiresolution analysis of fluctuations …Fractal analysis of river flow fluctuations (2007)Fractal analysis of river flo…Wavelet versus detrended fluctuation analysis of multifractal structures (2006)Wavelet versus detrended fluc…Detrended fluctuation analysis for fractals and multifractals in higher dimensions (2006)Detrended fluctuation analysi…Wavelet analysis and scaling properties of time series (2005)Wavelet analysis and scaling …Quantifying signals with power-law correlations: A comparative study of detrended fluctuation analysis and detrended moving average techniques (2005)Quantifying signals with powe…Multifractality of river runoff and precipitation: comparison of fluctuation analysis and wavelet methods (2003)Multifractality of river runo…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…Effect of nonstationarities on detrended fluctuation analysis (2002)Effect of nonstationarities o…Effect of trends on detrended fluctuation analysis (2001)Effect of trends on detrended…Scaling of the distribution of price fluctuations of individual companies (1999)Scaling of the distribution o…Scaling of the distribution of fluctuations of financial market indices (1999)Scaling of the distribution o…Fractals and scaling in finance: Discontinuity, concentration, risk (1998)Fractals and scaling in finan…Fractals and Scaling in Finance: Discontinuity, Concentration, Risk (1998)Fractals and Scaling in Finan…Multifractal formalism for fractal signals: The structure-function approach versus the wavelet-transform modulus-maxima method (1993)Multifractal formalism for fr…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Hurst exponent dynamics of S&P 500 returns: Implications for market efficiency, long memory, multifractality and financial crises predictability by application of a nonlinear dynamics analysis framework (2022)Hurst exponent dynamics of S&…Fractals and Scaling in Finance (1997)A theory of power-law distributions in financial market fluctuations (2003)A multifractal approach for stock market inefficiency (2008)Comparison of detrending methods for fluctuation analysis (2008)Fractal and Multifractal Time Series (2009)Wavelets and multifractal formalism for singular signals: Application to turbulence data (1991)Multifractal characterizations of nonstationarity and intermittency in geophysical fields: Observed, retrieved, or simulated (1994)Detrending moving average algorithm for multifractals (2010)Multifractal analysis of financial markets: a review (2019)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)Detecting long-range correlations with detrended fluctuation analysis (2001)Cross-correlations between volume change and price change (2009)ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)Statistical tests for power-law cross-correlated processes (2011)The Variation of Certain Speculative Prices (1963)Introduction to Econophysics (1999)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Power Laws in Economics and Finance (2008)Power Laws in Economics: An Introduction (2016)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Institutional Investors and Stock Market Volatility (2006)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)”Direct” causal cascade in the stock market (1998)The big, bad wolf and the rational market: portfolio insurance, the 1987 crash and the performativity of economics (2004)The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient (2004)Detrended cross-correlation analysis for non-stationary time series with periodic trends (2011)
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References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 2002Multifractal detrended fluctuation analysis of nonstationary time series3,650 cited
  • 2001Effect of trends on detrended fluctuation analysis1,285 cited
  • 2002Effect of nonstationarities on detrended fluctuation analysis958 cited
  • 1999Scaling of the distribution of fluctuations of financial market indices893 cited
  • 1993Multifractal formalism for fractal signals: The structure-function approach versus the wavelet-transform modulus-maxima method564 cited
  • 1999Scaling of the distribution of price fluctuations of individual companies539 cited
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  • 2003Multifractal properties of price fluctuations of stocks and commodities343 cited
  • 2006Wavelet versus detrended fluctuation analysis of multifractal structures339 cited
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  • 2006Detrended fluctuation analysis for fractals and multifractals in higher dimensions243 cited
  • 2003Multifractality of river runoff and precipitation: comparison of fluctuation analysis and wavelet methods226 cited
  • 1998Fractals and scaling in finance: Discontinuity, concentration, risk

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176 cited
  • 2007Fractal analysis of river flow fluctuations162 cited
  • 2005Wavelet analysis and scaling properties of time series75 cited
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    • 2022Hurst exponent dynamics of S&P 500 returns: Implications for market efficiency, long memory, multifractality and financial crises predictability by application of a nonlinear dynamics analysis framework53 cited