Multifractal analysis of financial markets: A review
Multifractality is ubiquitously observed in complex natural and socioeconomic systems.
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …
Asymmetric multifractality, comparative efficiency analysis of green finance markets: A dynamic study by index-based model
X Zhuang, D Wei - Physica A: Statistical Mechanics and its Applications, 2022 - Elsevier
In this paper, we comprehensively investigate the multifractal scaling behavior and efficiency
of green finance markets, conventional equity indices and crude oil by index-based …
of green finance markets, conventional equity indices and crude oil by index-based …
Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices
This paper examines the impacts of COVID-19 on the multifractality of gold and oil prices
based on upward and downward trends. We apply the Asymmetric Multifractal Detrended …
based on upward and downward trends. We apply the Asymmetric Multifractal Detrended …
[HTML][HTML] The impact of the COVID-19 pandemic on the energy market–A comparative relationship between oil and coal
The COVID-19 epidemic has severely affected the world economy and energy markets. In
order to alleviate the shock, stabilize the financial market, and promote economic recovery …
order to alleviate the shock, stabilize the financial market, and promote economic recovery …
Statistical tests for power-law cross-correlated processes
For stationary time series, the cross-covariance and the cross-correlation as functions of time
lag n serve to quantify the similarity of two time series. The latter measure is also used to …
lag n serve to quantify the similarity of two time series. The latter measure is also used to …
Why cryptocurrency markets are inefficient: The impact of liquidity and volatility
In this research, we study the multifractality, long-memory process, and efficiency hypothesis
of six major cryptocurrencies (Bitcoin, Ethereum, Monero, Dash, Litecoin, and Ripple) using …
of six major cryptocurrencies (Bitcoin, Ethereum, Monero, Dash, Litecoin, and Ripple) using …
Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen?
G Gajardo, WD Kristjanpoller, M Minutolo - Chaos, Solitons & Fractals, 2018 - Elsevier
We applied MF-ADCCA to analyze the presence and asymmetry of the cross-correlations
between the major currency rates and Bitcoin, and the Dow Jones Industrial Average (DJIA) …
between the major currency rates and Bitcoin, and the Dow Jones Industrial Average (DJIA) …
Multifractal detrended fluctuation analysis (MF-DFA) of stock market indexes. Empirical evidence from seven central and eastern European markets
In this paper, we present a comparative investigation of the multifractal properties of seven
Central and Eastern European (CEE) stock markets using recent financial data up to August …
Central and Eastern European (CEE) stock markets using recent financial data up to August …
An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA
An efficient market has been theoretically proven to be a key component for effective and
efficient resource allocation in an economy. This paper incorporates econophysics with …
efficient resource allocation in an economy. This paper incorporates econophysics with …
Statistical properties and multifractality of Bitcoin
T Takaishi - Physica A: statistical mechanics and its applications, 2018 - Elsevier
Using 1-min returns of Bitcoin prices, we investigate statistical properties and multifractality
of a Bitcoin time series. We find that the 1-min return distribution is fat-tailed, and kurtosis …
of a Bitcoin time series. We find that the 1-min return distribution is fat-tailed, and kurtosis …