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Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates

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Cited by:

  1. Dutta, Srimonti & Ghosh, Dipak & Chatterjee, Sucharita, 2016. "Multifractal detrended Cross Correlation Analysis of Foreign Exchange and SENSEX fluctuation in Indian perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 188-201.
  2. Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2007. "Scale invariant distribution and multifractality of volatility multipliers in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 381(C), pages 343-350.
  3. Wang, Dong-Hua & Yu, Xiao-Wen & Suo, Yuan-Yuan, 2012. "Statistical properties of the yuan exchange rate index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(12), pages 3503-3512.
  4. Jiang, Zhi-Qiang & Zhou, Wei-Xing, 2008. "Multifractality in stock indexes: Fact or Fiction?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(14), pages 3605-3614.
  5. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "The influence of trading volume on market efficiency: The DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 259-265.
  6. Wang, Xiao-Tian, 2010. "Scaling and long range dependence in option pricing, IV: Pricing European options with transaction costs under the multifractional Black–Scholes model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(4), pages 789-796.
  7. Wang, Gang-Jin & Xie, Chi, 2013. "Cross-correlations between Renminbi and four major currencies in the Renminbi currency basket," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1418-1428.
  8. Wang, Yudong & Wu, Chongfeng & Pan, Zhiyuan, 2011. "Multifractal detrending moving average analysis on the US Dollar exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3512-3523.
  9. Li, Ming, 2020. "Multi-fractional generalized Cauchy process and its application to teletraffic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 550(C).
  10. Abounoori, Esmaiel & Shahrazi, Mahdi & Rasekhi, Saeed, 2012. "An investigation of Forex market efficiency based on detrended fluctuation analysis: A case study for Iran," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(11), pages 3170-3179.
  11. Gajardo, Gabriel & Kristjanpoller, Werner D. & Minutolo, Marcel, 2018. "Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen?," Chaos, Solitons & Fractals, Elsevier, vol. 109(C), pages 195-205.
  12. Li, Ming & Sun, Xichao & Xiao, Xi, 2019. "Revisiting fractional Gaussian noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 56-62.
  13. Wang, Xiao-Tian, 2011. "Scaling and long-range dependence in option pricing V: Multiscaling hedging and implied volatility smiles under the fractional Black–Scholes model with transaction costs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(9), pages 1623-1634.
  14. Cao, Guangxi & Xu, Longbing & Cao, Jie, 2012. "Multifractal detrended cross-correlations between the Chinese exchange market and stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4855-4866.
  15. M. Bartolozzi & C. Mellen, 2009. "Local Risk Decomposition for High-frequency Trading Systems," Papers 0904.4099, arXiv.org, revised Feb 2011.
  16. Vogl, Markus, 2023. "Hurst exponent dynamics of S&P 500 returns: Implications for market efficiency, long memory, multifractality and financial crises predictability by application of a nonlinear dynamics analysis framewo," Chaos, Solitons & Fractals, Elsevier, vol. 166(C).
  17. Li, Ming & Zhao, Wei, 2012. "Quantitatively investigating the locally weak stationarity of modified multifractional Gaussian noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6268-6278.
  18. Vasily E. Tarasov, 2019. "On History of Mathematical Economics: Application of Fractional Calculus," Mathematics, MDPI, vol. 7(6), pages 1-28, June.
  19. Zhi-Qiang Jiang & Wei-Xing Zhou, 2006. "Scale invariant multiplier and multifractality of absolute returns in stock markets," Papers physics/0609210, arXiv.org, revised Feb 2007.
  20. Auer, Benjamin R., 2016. "On time-varying predictability of emerging stock market returns," Emerging Markets Review, Elsevier, vol. 27(C), pages 1-13.
  21. Dutta, Srimonti & Ghosh, Dipak & Samanta, Shukla, 2014. "Multifractal detrended cross-correlation analysis of gold price and SENSEX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 413(C), pages 195-204.
  22. Song, Wanqing & Cattani, Carlo & Chi, Chi-Hung, 2020. "Multifractional Brownian motion and quantum-behaved particle swarm optimization for short term power load forecasting: An integrated approach," Energy, Elsevier, vol. 194(C).
  23. Maganini, Natália Diniz & Da Silva Filho, Antônio Carlos & Lima, Fabiano Guasti, 2018. "Investigation of multifractality in the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 497(C), pages 258-271.
  24. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "Efficiency of Thai stock markets: Detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 204-209.
  25. R. P. Datta, 2023. "Analysis of Indian foreign exchange markets: A Multifractal Detrended Fluctuation Analysis (MFDFA) approach," Papers 2306.16162, arXiv.org.
  26. Du, Guoxiong & Ning, Xuanxi, 2008. "Multifractal properties of Chinese stock market in Shanghai," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(1), pages 261-269.
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