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Measuring multiscaling in financial time-series

Citations

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Cited by:

  1. Antoniades, I.P. & Karakatsanis, L.P. & Pavlos, E.G., 2021. "Dynamical characteristics of global stock markets based on time dependent Tsallis non-extensive statistics and generalized Hurst exponents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 578(C).
  2. Brandi, Giuseppe & Di Matteo, T., 2022. "Multiscaling and rough volatility: An empirical investigation," International Review of Financial Analysis, Elsevier, vol. 84(C).
  3. Xing Li, 2025. "Examining the dynamic efficiency of NASDAQ insurance stock markets before and after the March 2020 crash," Computational Economics, Springer;Society for Computational Economics, vol. 66(6), pages 4677-4693, December.
  4. Florindo, Joao B. & Lima, Reneé Rodrigues & dos Santos, Francisco Alves & Alves, Jerson Leite, 2025. "GHENet: Attention-based Hurst exponents for the forecasting of stock market indexes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 667(C).
  5. Li, Xing, 2021. "On the multifractal analysis of air quality index time series before and during COVID-19 partial lockdown: A case study of Shanghai, China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
  6. Antoniades, I.P. & Brandi, Giuseppe & Magafas, L. & Di Matteo, T., 2021. "The use of scaling properties to detect relevant changes in financial time series: A new visual warning tool," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
  7. Ioannis P. Antoniades & Giuseppe Brandi & L. G. Magafas & T. Di Matteo, 2020. "The use of scaling properties to detect relevant changes in financial time series: a new visual warning tool," Papers 2010.08890, arXiv.org, revised Dec 2020.
  8. Giuseppe Brandi & Tiziana Di Matteo, 2026. "Multiscaling in the Rough Bergomi Model: A Tale of Tails," Papers 2601.11305, arXiv.org.
  9. Ruan, Qingsong & Zhou, Mi & Yin, Linsen & Lv, Dayong, 2021. "Hedging effectiveness of Chinese Treasury bond futures: New evidence based on nonlinear analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
  10. Duarte Queirós, Sílvio M. & Anteneodo, Celia, 2016. "Complexity in quantitative finance and economics," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 1-2.
  11. Kristjanpoller, Werner & Nekhili, Ramzi & Bouri, Elie, 2024. "Blockchain ETFs and the cryptocurrency and Nasdaq markets: Multifractal and asymmetric cross-correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 637(C).
  12. Kristjanpoller, Werner & Tabak, Benjamin Miranda, 2025. "Multifractal Cross-Correlations of Dirty and Clean Cryptocurrencies with main financial indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 668(C).
  13. Lee, Min-Jae & Choi, Sun-Yong, 2024. "Insights into the dynamics of market efficiency spillover of financial assets in different equity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 641(C).
  14. Kristjanpoller, Werner & Bouri, Elie & Takaishi, Tetsuya, 2020. "Cryptocurrencies and equity funds: Evidence from an asymmetric multifractal analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
  15. Topa Răzvan, 2025. "Business Models and Their Impact on Climate Change: A Comprehensive Review of Recent Literature," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 19(1), pages 2765-2776.
  16. Kukacka, Jiri & Kristoufek, Ladislav, 2021. "Does parameterization affect the complexity of agent-based models?," Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 324-356.
  17. Angelini, Daniele & Bianchi, Sergio, 2023. "Nonlinear biases in the roughness of a Fractional Stochastic Regularity Model," Chaos, Solitons & Fractals, Elsevier, vol. 172(C).
  18. Pagnottoni, Paolo & Spelta, Alessandro & Pecora, Nicolò & Flori, Andrea & Pammolli, Fabio, 2021. "Financial earthquakes: SARS-CoV-2 news shock propagation in stock and sovereign bond markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
  19. Xu, Chao & Zhao, Xiaojun & Wang, Yanwen, 2022. "Causal decomposition on multiple time scales: Evidence from stock price-volume time series," Chaos, Solitons & Fractals, Elsevier, vol. 159(C).
  20. Gang-Jin Wang & Chi Xie & Shou Chen, 2017. "Multiscale correlation networks analysis of the US stock market: a wavelet analysis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(3), pages 561-594, October.
  21. Li, Xing & Yu, Hongxia, 2025. "On the multifractal cross-correlations and coupling coordination characteristics of Fintech, global technology and bitcoin markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 671(C).
  22. 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 framework," Chaos, Solitons & Fractals, Elsevier, vol. 166(C).
  23. Kristjanpoller, Werner & Minutolo, Marcel C., 2021. "Asymmetric multi-fractal cross-correlations of the price of electricity in the US with crude oil and the natural gas," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 572(C).
  24. Ioannis P. Antoniades & Leonidas P. Karakatsanis & Evgenios G. Pavlos, 2020. "Dynamical Characteristics of Global Stock Markets Based on Time Dependent Tsallis Non-Extensive Statistics and Generalized Hurst Exponents," Papers 2012.06856, arXiv.org, revised Apr 2021.
  25. Kukacka, Jiri & Kristoufek, Ladislav, 2020. "Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
  26. Pagnottoni, Paolo & Spelta, Alessandro & Flori, Andrea & Pammolli, Fabio, 2022. "Climate change and financial stability: Natural disaster impacts on global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 599(C).
  27. Schadner, Wolfgang, 2021. "On the persistence of market sentiment: A multifractal fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
  28. Ducha, F.A. & Atman, A.P.F. & Bosco de Magalhães, A.R., 2021. "Information flux in complex networks: Path to stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
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