MULTIFRACTAL ANALYSIS WITH DETRENDING WEIGHTED AVERAGE ALGORITHM OF HISTORICAL VOLATILITY

DOI10.1142/S0218348X21501930OpenAlexW3169566166MaRDI QIDQ5024025

Wei Shao, Jian Wang

Publication date: 28 January 2022

Published in: Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0218348x21501930

zbMATH Keywords

\(p\)-modelMF-DMAMF-DFAMF-DHV

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (3)

CONVERGENCE INVESTIGATION OF MULTIFRACTAL ANALYSIS BASED ON Lp-NORM CONSTRAINT ⋮ Modification of multifractal analysis based on multiplicative cascade image ⋮ A local fitting based multifractal detrend fluctuation analysis method

Cites Work

• Multifractal detrended fluctuation analysis of nonstationary time series
• Multifractal Hurst analysis of crude oil prices
• Fractal measures and their singularities: The characterization of strange sets
• Multifractal Cascade Dynamics and Turbulent Intermittency

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