Gradual multifractal reconstruction of time-series: formulation of the method and an application to the coupling between stock market indices and their Hölder exponents

DOI10.1016/J.PHYSD.2017.11.011OpenAlexW2773349150MaRDI QIDQ1699513

Christopher J. Keylock

Publication date: 23 February 2018

Published in: Physica D (Search for Journal in Brave)

Full work available at URL: https://dspace.lboro.ac.uk/2134/33285

zbMATH Keywords

waveletssurrogate dataHölder exponentmultifractaleconophysics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Inference from stochastic processes and spectral analysis (62M15)

Related Items (1)

A general class of multifractional processes and stock price informativeness

Uses Software

• wmtsa

Cites Work

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