Adaptive fractal dynamics: a time-varying Hurst approach to volatility modeling in equity markets
We propose a dynamic fractional volatility model that incorporates a time-varying Hurst exponent estimated via Daubechies-4 wavelet analysis on 252-day rolling windows to capture evolving market memory effects in equity markets.
Abe Webb +4 more
doaj +1 more source
UEG Week 2025 Poster Presentations
United European Gastroenterology Journal, Volume 13, Issue S8, Page S803-S1476, October 2025.
wiley +1 more source
87th Annual Meeting of the Meteoritical Society 2025: Abstracts
Meteoritics &Planetary Science, Volume 60, Issue S1, Page 30-350, August 2025.
wiley +1 more source
The Complexity Behavior of Big and Small Trading Orders in the Chinese Stock Market. [PDF]
Zhu Y, Fang W.
europepmc +1 more source
The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis. [PDF]
Erer D, Erer E, Güngör S.
europepmc +1 more source
Interplay of multifractal dynamics between shadow policy rates and stock markets. [PDF]
Aslam F, Mohti W, Ali H, Ferreira P.
europepmc +1 more source
Mercury Bonding to Xerogel: The Interface Fractal Dynamics of the Interaction between Two Complex Systems. [PDF]
Paun MA, Paun VA, Paun VP.
europepmc +1 more source
Skewed multifractal scaling of stock markets during the COVID-19 pandemic. [PDF]
Saâdaoui F.
europepmc +1 more source
Are clean energy markets efficient? A multifractal scaling and herding behavior analysis of clean and renewable energy markets before and during the COVID19 pandemic. [PDF]
Memon BA +3 more
europepmc +1 more source
A novel portfolio construction strategy based on the core- periphery profile of stocks. [PDF]
Ansari I, Sharma C, Agrawal A, Sahni N.
europepmc +1 more source

