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Detection of crossover time scales in multifractal detrended fluctuation analysis
Journal of Geographical Systems, 2012Fractal is employed in this paper as a scale-based method for the identification of the scaling behavior of time series. Many spatial and temporal processes exhibiting complex multi(mono)-scaling behaviors are fractals. One of the important concepts in fractals is crossover time scale(s) that separates distinct regimes having different fractal scaling ...
Erjia Ge, Yee Leung
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Physica A: Statistical Mechanics and Its Applications, 2011
Abstract In this paper, we investigate the efficiency and multifractality of a gold market based on multifractal detrended fluctuation analysis. Our evidence shows that the gold return series are multifractal both for time scales smaller than a month and for time scales larger than a month.
Yudong Wang, Yu Wei
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Abstract In this paper, we investigate the efficiency and multifractality of a gold market based on multifractal detrended fluctuation analysis. Our evidence shows that the gold return series are multifractal both for time scales smaller than a month and for time scales larger than a month.
Yudong Wang, Yu Wei
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Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis
Finance Research Letters, 2018Abstract In this paper, we use the methods of Multifractal Detrended Fluctuation Analysis (MF-DFA) and DFA based on generalized Hurst exponents to compare the relative efficiency between short- and long-run horizons and small and large fluctuations of emerging and developed Islamic stock markets.
Bouoiyour, Jamal +2 more
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Multiscale multifractal detrended-fluctuation analysis of two-dimensional surfaces
Physical Review E, 2016Two-dimensional (2D) multifractal detrended fluctuation analysis (MF-DFA) has been used to study monofractality and multifractality on 2D surfaces, but when it is used to calculate the generalized Hurst exponent in a fixed time scale, the presence of crossovers can bias the outcome.
Fang, Wang +2 more
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Applications of Multifractal Detrended Fluctuation Analysis
Journal of Information and Computing ScienceIn recent years, multifractal detrended fluctuation analysis (MF-DFA) has become an important tool for detecting the scale and long correlation of non-stationary time series. With the continuous development of multifractal theory, researchers have widely applied it in physics, chemistry, biology, economy, etc.
Dongxu Dai +8 more
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Asymmetric Multifractal Detrended Fluctuation Analysis (A-MFDFA)
2018The presence of multifractality suggests the inefficiency (Cajueiro and Tabak 2004, 2004, 2008; Cajueiro et al. 2009; Tabak and Cajueiro 2007; Wang et al. 2010), volatility predictability (Wei and Wang 2008), crash predictions (Wei and Wang 2008; Grech and Pamula 2008), and complexity (Matia et al. 2003; Kumar and Deo 2009; Norouzzadeh and Jafari 2005)
Guangxi Cao, Ling-Yun He, Jie Cao
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MULTIFRACTAL DETRENDED FLUCTUATION ANALYSIS FOR IMAGE TEXTURE FEATURE REPRESENTATION
International Journal of Pattern Recognition and Artificial Intelligence, 2014Multifractal theory has been widely used in different kinds of fields. In this paper, methods were proposed to extract two kinds of multifractal descriptors of gray series and two-dimensional surfaces for gray image based on the multifractal detrended fluctuation analysis.
Fang Wang, Zong-Shou Li, Guiping Liao
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Multifractal Detrended Fluctuation Analysis (MF-DFA)
2018The study of financial or crude oil markets is largely based on current main stream literature, whose fundamental assumption is that stock price (or returns) follows a normal distribution and price behavior obeys ‘random-walk’ hypothesis (RWH), which was first introduced by Bachelier (1900), since then it has been adopted as the essence of many asset ...
Guangxi Cao, Ling-Yun He, Jie Cao
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Multifractal detrended fluctuation analysis: Practical applications to financial time series
Mathematics and Computers in Simulation, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
James Thompson, James Wilson
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Multifractal Detrended Fluctuation Analysis of Return on Bitcoin*
International Review of Finance, 2019AbstractWe revisit the issue of market efficiency of Bitcoin, which is an important part of the new financial technology (FinTech), by analyzing the Bitcoin returns using two recently developed analytical techniques called bipower variation method and Multifractal Detrended Fluctuation Analysis (MF‐DFA). MF‐DFA allows us to analyze the return series in
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