Multivariate large deviations spectrum for the multiscale analysis of stock markets

DOI10.1016/j.physa.2019.121423OpenAlexW2948042046WikidataQ127791341 ScholiaQ127791341MaRDI QIDQ2161800

Yue Wu, Pengjian Shang

Publication date: 5 August 2022

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

Full work available at URL: https://doi.org/10.1016/j.physa.2019.121423

zbMATH Keywords

large deviationsstock marketsmultifractal detrended fluctuation analysismultivariate series

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Modeling traffic flow correlation using DFA and DCCA
• On the estimation of the large deviations spectrum
• Dynamics from multivariate time series
• Detrended fluctuation analysis of multivariate time series
• The singularity spectrumf(α) for cookie-cutters
• Introduction to Econophysics

This page was built for publication: Multivariate large deviations spectrum for the multiscale analysis of stock markets