Results 41 to 50 of about 7,126 (197)

Dynamical variety of shapes in financial multifractality

, 2018
The concept of multifractality offers a powerful formal tool to filter out multitude of the most relevant characteristics of complex time series. The related studies thus far presented in the scientific literature typically limit themselves to evaluation
Drożdż, Stanisław, Gȩbarowski, Robert, Kowalski, Rafał, Oświȩcimka, Paweł, Rak, Rafał   +4 more
core   +1 more source

The new face of multifractality: Multi-branchedness and the phase transitions in time series of mean inter-event times

, 2020
Empirical time series of inter-event or waiting times are investigated using a modified Multifractal Detrended Fluctuation Analysis operating on fluctuations of mean detrended dynamics.
Gubiec, Tomasz, Klamut, Jarosław, Kutner, Ryszard, Struzik, Zbigniew R.   +3 more
core   +1 more source

Analysis of Indian Foreign Exchange Markets: A Multifractal Detrended Fluctuation Analysis (MFDFA) Approach

International Journal of Empirical Economics
The objectives of this paper are to analyse the presence of multifractality in daily exchange rates of the US dollar (USD), British Pound (GBP), Euro (EUR), and Japanese Yen (JPY) relative to the Indian Rupee (INR) for a specific period (1999–2018) and ...
Radhika Prosad Datta
doaj   +1 more source

Islamic vs. Conventional Equity Markets: A Multifractal Cross-Correlation Analysis with Economic Policy Uncertainty

Economies, 2023
There is ample evidence that Islamic stock markets perform differently from conventional stock markets, particularly when economic policy uncertainty (EPU) or any other uncertainty such as geopolitical uncertainty is present.
Faheem Aslam, Paulo Ferreira, Haider Ali, Arifa, Márcia Oliveira   +4 more
doaj   +1 more source

Implications and Consequences of SL(2R) as Invariance Group in the Description of Complex Systems Dynamics from a Multifractal Perspective of Motion

Entropy, 2022
Possible implications and consequences of using SL(2R) as invariance groups in the description at any scale resolution of the dynamics of any complex system are analyzed.
Lucian Dobreci, Oana Rusu, Decebal Vasincu, Mihaela Jarcău, Cristina Marcela Rusu, Silviu Gurlui, Vlad Ghizdovat, Alina Gavrilut, Maricel Agop   +8 more
doaj   +1 more source

Multifractal Distribution of Dendrite on One-dimensional Support

, 2013
We apply multifractal analysis to an experimentally obtained quasi-two-dimensional crystal with fourfold symmetry, in order to characterize the sidebranch structure of a dendritic pattern. In our analysis, the stem of the dendritic pattern is regarded as
Honjo, Haruo, Miki, Hiroshi
core   +1 more source

A Multifractal Analysis of Asian Foreign Exchange Markets

, 2012
We analyze the multifractal spectra of daily foreign exchange rates for Japan, Hong-Kong, Korea, and Thailand with respect to the United States Dollar from 1991 to 2005. We find that the return time series show multifractal spectrum features for all four
A. Arneodo, A. Clauset, C. Eom, C.K. Peng, D. Sornette, E.F. Fama, F. Wang, F. Wang, G. Oh, G. Oh, G. Oh, H. E. Stanley, J. Barunik, J. Kwapień, J. Theiler, J.F. Muzy, J.W. Kantelhardt, K. Matia, K. Yamasaki, L. Calvet, P.Ch. Ivanov, R.N. Mantegna, R.N. Mantegna, S. Havlin, S. Kim, V. Plerou, W. -S. Jung, X. Gabaix, Y. Ashkenazy, Y. Liu, Z. Eisler   +30 more
core   +1 more source

Fractal Analysis of River Flow Fluctuations (with Erratum) [PDF]

, 2006
We use some fractal analysis methods to study river flow fluctuations. The result of the Multifractal Detrended Fluctuation Analysis (MF-DFA) shows that there are two crossover timescales at $s_{1\times}\sim12$ and $s_{2\times}\sim130$ months in the ...
Alados, Ashkenazy, Ashkenazy, Ashkenazy, Ashkenazy, Bacry, Bahar, Barabási, Barbosa, Barmes, Blesic, Buldyrev, Buldyrev, Buldyrev, Bunde, Bunde, Burlando, Burlando, Chen, Chen, Chianca, Eke, Evalds Hermanis, Fano, Feder, Feder, Fraedrich, Hausdorff, Hu, Hurst, Hurst, Ivanov, Ivanov, Ivanova, Ivanova, Kantelhardt, Kantelhardt, Kantelhardt, Kantelhardt, Koscielny-Bunde, Koscielny-Bunde, Koscielny-Bunde, Koscielny-Bunde, Koscielny-Bunde, Kroll, Liu, Livina, Livina, Loboda, M. Sadegh Movahed, Malamud, Mandelbrot, Mantegna, Matsoukas, Murdock, Muzy, Nagarajan, Ossadnik, Oświȩcimka, Pandey, Peitgen, Pelletier, Peng, Peng, Sadegh Movahed, Sadegh Movahed, Schmitt, Talkner, Taqqu, Tessier, Vandewalle, Vandewalle, Xu   +72 more
core   +2 more sources

Volatility analysis and forecasting of vegetable prices using an ARMA‐GARCH model: An application of the CF filter and seasonal adjustment method to Korean green onions

Agribusiness, EarlyView.
Abstract The vegetable market experiences significant price fluctuations due to the complex interplay of trend, cyclical, seasonal, and irregular factors. This study takes Korean green onions as an example and employs the Christiano–Fitzgerald filter and the CensusX‐13 seasonal adjustment methods to decompose its price into four components: trend ...
Yiyang Qiao, Byeong‐il Ahn
wiley   +1 more source

Multifractality and Its Sources in the Digital Currency Market

Future Internet
Multifractality in time series analysis characterizes the presence of multiple scaling exponents, indicating heterogeneous temporal structures and complex dynamical behaviors beyond simple monofractal models.
Stanisław Drożdż, Robert Kluszczyński, Jarosław Kwapień, Marcin Wątorek   +3 more
doaj   +1 more source