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Multifractal characterization of gold market: A multifractal detrended fluctuation analysis [PDF]
Physica A: Statistical Mechanics and Its Applications, 2014 The multifractal detrended fluctuation analysis technique is employed to analyze the time series of gold consumer price index (CPI) and the market trend of three world's highest gold consuming countries, namely China, India and Turkey for the period: 1993-July 2013.
Amitabha Mukhopadhyay
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EFFECT OF FILTERS ON MULTIVARIATE MULTIFRACTAL DETRENDED FLUCTUATION ANALYSIS
Fractals, 2021We investigate how various linear and nonlinear filters affect the scaling properties of long-range power-law multivariate synthetic series quantified by multivariate multifractal detrended fluctuation analysis (MV-MFDFA). We consider four types of transforms which are often encountered in physical and physiological processes: linear, nonlinear ...
QINGJU FAN +4 more
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MULTIFRACTAL DETRENDED FLUCTUATIONS ANALYSIS FOR IBOVESPA ASSETS
Fractals, 2021The Efficient Market Hypothesis (EMH) can be considered the central pillar of support of the Modern Economic-Financial Theory. However, in the last few years, the EMH has been strongly contraried due to empirical evidence related to long-memory, fractal dimension and fat-tailed that were critical factors in formulating a theory opposed to EMH called ...
FERNANDO HENRIQUE ANTUNES DE ARAUJO +1 more
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Multifractal Detrended Fluctuation Analysis of WLAN Traffic
Wireless Personal Communications, 2011In this paper we employ actual wireless data that draw from well known archives of network traffic traces and investigate the scaling and multifractal properties of WLAN traffic by using a multifractal detrended fluctuation analysis technique. Through multifractal analysis, the scaling exponents, generalized Hurst exponents and singularity spectrum are
Huifang Feng 0001, Youji Xu
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Multifractal Detrended Fluctuation Analysis of Network Traffic
2010 International Conference on Computational Intelligence and Software Engineering, 2010Whether network traffic in fine scales (below about 1 second) behaves multifractality is controversial in past studies. In recent years, the multifractal detrended fluctuation analysis (MFDFA) is widely used as a robust tool to investigate the scale behavior of non-stationary time series.
Hanlin Sun +3 more
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Randomized multifractal detrended fluctuation analysis of long time series
Chaos: An Interdisciplinary Journal of Nonlinear Science, 2020A novel general randomized method is proposed to investigate multifractal properties of long time series. Based on multifractal temporally weighted detrended fluctuation analysis (MFTWDFA), we obtain randomized multifractal temporally weighted detrended fluctuation analysis (RMFTWDFA).
Fang-Xin Zhou +4 more
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Physica A: Statistical Mechanics and Its Applications, 2016
Abstract In this paper, we investigate the impacts of oil price changes on energy stocks in Chinese stock market from the multifractal perspective. The well-known multifractal detrended fluctuation analysis (MF-DFA) is applied to detect the multifractality.
Yudong Wang
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Abstract In this paper, we investigate the impacts of oil price changes on energy stocks in Chinese stock market from the multifractal perspective. The well-known multifractal detrended fluctuation analysis (MF-DFA) is applied to detect the multifractality.
Yudong Wang
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Physica A: Statistical Mechanics and its Applications, 2009
Abstract Analyzing the Shanghai stock price index daily returns using MF-DFA method, it is found that there are two different types of sources for multifractality in time series, namely, fat-tailed probability distributions and non-linear temporal correlations.
Ying Yuan, Xin-tian Zhuang, Xiu Jin
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Abstract Analyzing the Shanghai stock price index daily returns using MF-DFA method, it is found that there are two different types of sources for multifractality in time series, namely, fat-tailed probability distributions and non-linear temporal correlations.
Ying Yuan, Xin-tian Zhuang, Xiu Jin
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Fault Diagnosis Using Adaptive Multifractal Detrended Fluctuation Analysis
IEEE Transactions on Industrial Electronics, 2020Multifractal detrended fluctuation analysis (MF-DFA) has been used for vibration-based fault diagnosis because it is able to uncover multifractality buried in nonlinear and nonstationary vibration signals and thus offers an opportunity to explore a new set of multifractal features for fault diagnosis. However, the choice of detrending polynomial orders
Wenliao Du +2 more
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Relationships of exponents in two-dimensional multifractal detrended fluctuation analysis
Physical Review E, 2013Multifractal detrended fluctuation analysis (MF-DFA) is a generalization of the conventional multifractal analysis. It is extended from the detrended fluctuation analysis (DFA) which is developed for the purpose of detecting long-range correlation and fractal property in stationary and nonstationary time series.
Zhou, Yu, Yee, Leung, Yu, Zuguo
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