Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA

DOI10.1016/J.CHAOS.2017.02.001zbMath1380.91147OpenAlexW2590218058MaRDI QIDQ1693939

Ji Hwan Park, Woojin Chang, Jae Wook Song, Minhyuk Lee

Publication date: 1 February 2018

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2017.02.001

zbMATH Keywords

stock indicesA-MFDFAasymmetric multifractalityindex trendreturn trend

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Time series analysis of dynamical systems (37M10)

Related Items (6)

Modified multifractal large deviation spectrum based on CID for financial market system ⋮ Asymmetric multifractality, comparative efficiency analysis of Green finance markets: a dynamic study by index-based model ⋮ Disturbances and complexity in volatility time series ⋮ Emergence of turbulent epochs in oil prices ⋮ Chaos, randomness and multi-fractality in bitcoin market ⋮ The novel multi-scale local irreversibility analysis method based on segmentation about time series

Cites Work

• Multifractal detrended fluctuation analysis of nonstationary time series
• Testing for nonlinearity in time series: the method of surrogate data
• Multifractal value at risk model
• Ranking efficiency for emerging markets
• Multifractal analysis of Hang Seng index in Hong Kong stock market

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