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Multifractal structure in Latin-American market indices

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Cited by:

  1. Stosic, Dusan & Stosic, Darko & de Mattos Neto, Paulo S.G. & Stosic, Tatijana, 2019. "Multifractal characterization of Brazilian market sectors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 956-964.
  2. Hasan, Rashid & Mohammad, Salim M., 2015. "Multifractal analysis of Asian markets during 2007–2008 financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 746-761.
  3. Zhou, Wei-Xing, 2012. "Finite-size effect and the components of multifractality in financial volatility," Chaos, Solitons & Fractals, Elsevier, vol. 45(2), pages 147-155.
  4. A. K. M. Azhar & Vincent B. Y. Gan & W. A. T. Wan Abdullah & H. Zainuddin, 2015. "On the Fractal Geometry of the Balance Sheet and the Fractal Index of Insolvency Risk," Papers 1512.09280, arXiv.org.
  5. Arshad, Shaista & Rizvi, Syed Aun R. & Haroon, Omair & Mehmood, Fahad & Gong, Qiang, 2021. "Are oil prices efficient?," Economic Modelling, Elsevier, vol. 96(C), pages 362-370.
  6. Stosic, Dusan & Stosic, Darko & Stosic, Tatijana, 2019. "Nonextensive triplets in stock market indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 192-198.
  7. Fernandes, Leonardo H.S. & Silva, José W.L. & de Araujo, Fernando H.A. & Ferreira, Paulo & Aslam, Faheem & Tabak, Benjamin Miranda, 2022. "Interplay multifractal dynamics among metal commodities and US-EPU," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 606(C).
  8. Hasan, Rashid & Mohammed Salim, M., 2017. "Power law cross-correlations between price change and volume change of Indian stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 620-631.
  9. Tetsuya Takaishi, 2017. "Statistical properties and multifractality of Bitcoin," Papers 1707.07618, arXiv.org, revised May 2018.
  10. Wu, Liang & Chen, Lei & Ding, Yiming & Zhao, Tongzhou, 2018. "Testing for the source of multifractality in water level records," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 824-839.
  11. Dai, Meifeng & Hou, Jie & Gao, Jianyu & Su, Weiyi & Xi, Lifeng & Ye, Dandan, 2016. "Mixed multifractal analysis of China and US stock index series," Chaos, Solitons & Fractals, Elsevier, vol. 87(C), pages 268-275.
  12. Cordeiro Moreira, Jeíce Catrine & Lima, Gerlando A.S.F. & Góis, Alan Diógenes, 2019. "Effects of institutional factors on the accruals anomaly in Latin America," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 36(C), pages 1-1.
  13. Grahovac, Danijel & Leonenko, Nikolai N., 2014. "Detecting multifractal stochastic processes under heavy-tailed effects," Chaos, Solitons & Fractals, Elsevier, vol. 65(C), pages 78-89.
  14. Liu, Li & Wang, Yudong & Wan, Jieqiu, 2010. "Analysis of efficiency for Shenzhen stock market: Evidence from the source of multifractality," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 237-241, September.
  15. da Silva Filho, Antônio Carlos & Maganini, Natália Diniz & de Almeida, Eduardo Fonseca, 2018. "Multifractal analysis of Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 954-967.
  16. Dashtian, Hassan & Jafari, G. Reza & Sahimi, Muhammad & Masihi, Mohsen, 2011. "Scaling, multifractality, and long-range correlations in well log data of large-scale porous media," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2096-2111.
  17. Gu, Rongbao & Xiong, Wei & Li, Xinjie, 2015. "Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 103-113.
  18. Dusan Stosic & Darko Stosic & Tatijana Stosic, 2019. "Nonextensive triplets in stock market indices," Papers 1901.07721, arXiv.org.
  19. Chen, Shu-Peng & He, Ling-Yun, 2010. "Multifractal spectrum analysis of nonlinear dynamical mechanisms in China’s agricultural futures markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1434-1444.
  20. Guglielmo Maria Caporale & Alex Plastun, 2022. "Persistence in High Frequency Financial Data," CESifo Working Paper Series 10045, CESifo.
  21. Shahzad, Syed Jawad Hussain & Hernandez, Jose Areola & Hanif, Waqas & Kayani, Ghulam Mujtaba, 2018. "Intraday return inefficiency and long memory in the volatilities of forex markets and the role of trading volume," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 433-450.
  22. Gulich, Damián & Zunino, Luciano, 2012. "The effects of observational correlated noises on multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(16), pages 4100-4110.
  23. Choi, Sun-Yong, 2021. "Analysis of stock market efficiency during crisis periods in the US stock market: Differences between the global financial crisis and COVID-19 pandemic," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 574(C).
  24. Delbianco, Fernando & Tohmé, Fernando & Stosic, Tatijana & Stosic, Borko, 2016. "Multifractal behavior of commodity markets: Fuel versus non-fuel products," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 573-580.
  25. Lee, Hojin & Chang, Woojin, 2015. "Multifractal regime detecting method for financial time series," Chaos, Solitons & Fractals, Elsevier, vol. 70(C), pages 117-129.
  26. Jale, Jader S. & Júnior, Sílvio F.A.X. & Stošić, Tatijana & Stošić, Borko & Ferreira, Tiago A.E., 2019. "Information flow between Ibovespa and constituent companies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 233-239.
  27. Gajardo, Gabriel & Kristjanpoller, Werner, 2017. "Asymmetric multifractal cross-correlations and time varying features between Latin-American stock market indices and crude oil market," Chaos, Solitons & Fractals, Elsevier, vol. 104(C), pages 121-128.
  28. Todea, Alexandru & Pleşoianu, Anita, 2013. "The influence of foreign portfolio investment on informational efficiency: Empirical evidence from Central and Eastern European stock markets," Economic Modelling, Elsevier, vol. 33(C), pages 34-41.
  29. Traversaro, Francisco & Redelico, Francisco O., 2018. "Characterization of autoregressive processes using entropic quantifiers," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 13-23.
  30. Rizvi, Syed Aun R. & Arshad, Shaista, 2017. "Analysis of the efficiency–integration nexus of Japanese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 470(C), pages 296-308.
  31. 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.
  32. Takaishi, Tetsuya, 2018. "Statistical properties and multifractality of Bitcoin," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 507-519.
  33. Lee, Hojin & Song, Jae Wook & Chang, Woojin, 2016. "Multifractal Value at Risk model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 113-122.
  34. Ausloos, M., 2012. "Measuring complexity with multifractals in texts. Translation effects," Chaos, Solitons & Fractals, Elsevier, vol. 45(11), pages 1349-1357.
  35. Bigdeli, N. & Afshar, K., 2009. "Chaotic behavior of price in the power markets with pay-as-bid payment mechanism," Chaos, Solitons & Fractals, Elsevier, vol. 42(4), pages 2560-2569.
  36. Schadner, Wolfgang, 2021. "On the persistence of market sentiment: A multifractal fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
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