Multifractality is ubiquitously observed in complex natural and socioeconomic systems.
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …

In this paper, we use the generalized Hurst exponent approach to study the multi-scaling
behavior of different financial time series. We show that this approach is robust and powerful …

We investigate the use of the Hurst exponent, dynamically computed over a weighted
moving time-window, to evaluate the level of stability/instability of financial firms. Financial …

We study the time-varying efficiency of 15 Middle East and North African (MENA) stock
markets by generalized Hurst exponent analysis of daily data with a rolling window …

We discuss the origin of multiscaling in financial time-series and investigate how to best
quantify it. Our methodology consists in separating the different sources of measured …

The dynamical evolution of multiscaling in financial time series is investigated using time-
dependent Generalized Hurst Exponents (GHE), H q, for various values of the parameter q …

Portfolio selection is one of the most concerns of any investor and the goal is to distribute the
capital in different assets in such a way that it has the highest rate of return with considering …

We perform an extensive empirical analysis of scaling properties of equity returns,
suggesting that financial data show time varying multifractal properties. This is obtained by …

Studying the power-law scaling of financial time series is a promising area of econophysics,
which has often contributed to the understanding of the intricate features of the global …

This chapter provides an overview over the recently developed so-called multifractal (MF)
approach for modeling and forecasting volatility. For analysts and policy makers, volatility is …