Multifractal Diffusion Entropy Analysis: Optimal Bin Width of Probability Histograms
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- Hall, Peter & Wand, Matthew P., 1988. "Minimizing L1 distance in nonparametric density estimation," Journal of Multivariate Analysis, Elsevier, vol. 26(1), pages 59-88, July.
- Kim, Kyungsik & Yoon, Seong-Min, 2004. "Multifractal features of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 272-278.
- Park, Joongwoo Brian & Won Lee, Jeong & Yang, Jae-Suk & Jo, Hang-Hyun & Moon, Hie-Tae, 2007. "Complexity analysis of the stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(1), pages 179-187.
- Kantelhardt, Jan W. & Zschiegner, Stephan A. & Koscielny-Bunde, Eva & Havlin, Shlomo & Bunde, Armin & Stanley, H.Eugene, 2002. "Multifractal detrended fluctuation analysis of nonstationary time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 87-114.
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- Petr Jizba & Jan Korbel, 2016. "Techniques for multifractal spectrum estimation in financial time series," Papers 1610.07028, arXiv.org.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2014-01-24 (Econometrics)
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