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Multifractal detrended fluctuation analysis: Practical applications to financial time series

Citations

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Cited by:

  1. Abdullah, Mohammad & Chowdhury, Mohammad Ashraful Ferdous & Wali Ullah, G.M., 2025. "Asymmetric tail risk dynamics, efficiency and risk spillover among FinTech stocks, cryptocurrencies and traditional assets," Global Finance Journal, Elsevier, vol. 64(C).
  2. Kakinaka, Shinji & Umeno, Ken, 2021. "Exploring asymmetric multifractal cross-correlations of price–volatility and asymmetric volatility dynamics in cryptocurrency markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 581(C).
  3. Kakinaka, Shinji & Umeno, Ken, 2022. "Cryptocurrency market efficiency in short- and long-term horizons during COVID-19: An asymmetric multifractal analysis approach," Finance Research Letters, Elsevier, vol. 46(PA).
  4. Liu, Zhengli & Shang, Pengjian & Wang, Yuanyuan, 2019. "Multifractal weighted permutation analysis based on Rényi entropy for financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  5. Stosic, Borko & Stosic, Tatijana & Tošić, Ivana & Djurdjević, Vladimir, 2025. "Multifractal analysis of temperature in Europe: Climate change effect," Chaos, Solitons & Fractals, Elsevier, vol. 196(C).
  6. Méndez-Gordillo, Alma Rosa & Cadenas, Erasmo, 2021. "Wind speed forecasting by the extraction of the multifractal patterns of time series through the multiplicative cascade technique," Chaos, Solitons & Fractals, Elsevier, vol. 143(C).
  7. Chowdhury, Mohammad Ashraful Ferdous & Abdullah, Mohammad & Alam, Masud & Abedin, Mohammad Zoynul & Shi, Baofeng, 2023. "NFTs, DeFi, and other assets efficiency and volatility dynamics: An asymmetric multifractality analysis," International Review of Financial Analysis, Elsevier, vol. 87(C).
  8. Martin Magris & Jiyeong Kim & Esa Rasanen & Juho Kanniainen, 2017. "Long-range Auto-correlations in Limit Order Book Markets: Inter- and Cross-event Analysis," Papers 1711.03534, arXiv.org.
  9. Acikgoz, Turker, 2026. "Financial dynamics and interconnectedness between layer-1 and layer-2 blockchains," International Review of Economics & Finance, Elsevier, vol. 107(C).
  10. Olivares, Felipe & Zanin, Massimiliano, 2022. "Corrupted bifractal features in finite uncorrelated power-law distributed data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
  11. Mendonça, Suzielli M. & Cabella, Brenno C.T. & Martinez, Alexandre S., 2024. "A Multifractal Detrended Fluctuation Analysis approach using generalized functions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 637(C).
  12. Ghazani, Majid Mirzaee & Khosravi, Reza, 2020. "Multifractal detrended cross-correlation analysis on benchmark cryptocurrencies and crude oil prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 560(C).
  13. Jiang, Zhenkun & Ye, Ruisong, 2026. "Multifractal detrended fluctuation analysis based on exponential moving average and its application to stock index turnover ratios," Chaos, Solitons & Fractals, Elsevier, vol. 207(C).
  14. Pawe{l} O'swik{e}cimka & Stanis{l}aw Dro.zd.z & Mattia Frasca & Robert Gk{e}barowski & Natsue Yoshimura & Luciano Zunino & Ludovico Minati, 2020. "Wavelet-based discrimination of isolated singularities masquerading as multifractals in detrended fluctuation analyses," Papers 2004.03319, arXiv.org.
  15. Tao Yin & Yiming Wang, 2021. "Market Efficiency and Nonlinear Analysis of Soybean Futures," Sustainability, MDPI, vol. 13(2), pages 1-10, January.
  16. Wang, Hong-Yong & Wang, Tong-Tong, 2018. "Multifractal analysis of the Chinese stock, bond and fund markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 280-292.
  17. Corzo, Teresa & Martin-Bujack, Karin & Portela, Jose & Rodríguez-Gallego, Alejandro, 2025. "Exchange rate regime changes and market efficiency: An event study," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 100(C).
  18. Ghosh, Bikramaditya & Bouri, Elie & Wee, Jung Bum & Zulfiqar, Noshaba, 2023. "Return and volatility properties: Stylized facts from the universe of cryptocurrencies and NFTs," Research in International Business and Finance, Elsevier, vol. 65(C).
  19. Li, Zhihui & Tian, Yun, 2024. "Skewed multifractal cross-correlation between price and volume during the COVID-19 pandemic: Evidence from China and European carbon markets," Applied Energy, Elsevier, vol. 371(C).
  20. Panos Fousekis & Dimitra Tzaferi, 2022. "Price multifractality and informational efficiency in the futures markets of the US soybean complex," Applied Econometrics, Russian Academy of National Economy and Public Administration (RANEPA), vol. 66, pages 68-84.
  21. Hashemi, Maryam & Nasirzadeh, Roya & Zamani, Atefeh, 2026. "Detrended fluctuation analysis of functional time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 692(C).
  22. Emrah Oral & Gazanfer Unal, 2019. "Modeling and forecasting time series of precious metals: a new approach to multifractal data," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-28, December.
  23. Abdullah, Mohammad & Chowdhury, Mohammad Ashraful Ferdous & Sulong, Zunaidah, 2023. "Asymmetric efficiency and connectedness among green stocks, halal tourism stocks, cryptocurrencies, and commodities: Portfolio hedging implications," Resources Policy, Elsevier, vol. 81(C).
  24. Yurii Andrashko & Oleksandr Kuchanskyi & Andrii Biloshchytskyi & Alexandr Neftissov & Svitlana Biloshchytska, 2025. "Forecasting Air Pollutant Emissions Using Deep Sparse Transformer Networks: A Case Study of the Ekibastuz Coal-Fired Power Plant," Sustainability, MDPI, vol. 17(11), pages 1-17, June.
  25. Sahoo, Sushanta Kumar & Katlamudi, Madhusudhanarao & Pedapudi, Chandra Sekhar, 2024. "Multifractal detrended fluctuation analysis of soil radon in the Kachchh Region of Gujarat, India: A case study of earthquake precursors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 637(C).
  26. Ayache, Antoine & Olenko, Andriy & Samarakoon, Nemini, 2026. "On construction, properties and simulation of Haar-based multifractional processes," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 246(C), pages 311-332.
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