Multifractal detrended fluctuation analysis: practical applications to financial time series

DOI10.1016/j.matcom.2016.03.003OpenAlexW2313404644WikidataQ57431167 ScholiaQ57431167MaRDI QIDQ2228812

James R. Wilson, James R. Thompson

Publication date: 19 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2016.03.003

zbMATH Keywords

financial time seriesself-similar processmultifractal spectrummultifractal detrended fluctuation analysismultifractal process

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (5)

Nonlinear complexity behaviors of agent-based 3D Potts financial dynamics with random environments ⋮ Corrupted bifractal features in finite uncorrelated power-law distributed data ⋮ Multifractal weighted permutation analysis based on Rényi entropy for financial time series ⋮ Invited article by M. Gidea: Extreme events and emergency scales ⋮ Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data

Uses Software

• longmemo

Cites Work

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