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Multifractal moving average analysis and test of multifractal model with tuned correlations

Citations

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Cited by:

  1. Chen, Cheng & Wang, Yudong, 2017. "Understanding the multifractality in portfolio excess returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 346-355.
  2. Oumou Kalsoum Diallo & Pierre Mendy, 2019. "Wavelet Leader and Multifractal Detrended Fluctuation Analysis of Market Efficiency: Evidence from WAEMU Market Index," World Journal of Applied Economics, WERI-World Economic Research Institute, vol. 5(1), pages 1-23, June.
  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. Chen, Feier & Tian, Kang & Ding, Xiaoxu & Miao, Yuqi & Lu, Chunxia, 2016. "Finite-size effect and the components of multifractality in transport economics volatility based on multifractal detrending moving average method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 1058-1066.
  5. Gulich, Damián & Zunino, Luciano, 2014. "A criterion for the determination of optimal scaling ranges in DFA and MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 397(C), pages 17-30.
  6. Jovanovic, Tijana & Mejía, Alfonso & Gall, Heather & Gironás, Jorge, 2016. "Effect of urbanization on the long-term persistence of streamflow records," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 208-221.
  7. Manimaran, P. & Narayana, A.C., 2018. "Multifractal detrended cross-correlation analysis on air pollutants of University of Hyderabad Campus, India," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 228-235.
  8. Ardalankia, Jamshid & Osoolian, Mohammad & Haven, Emmanuel & Jafari, G. Reza, 2020. "Scaling features of price–volume cross correlation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
  9. Zhuang, Xiaoyang & Wei, Yu & Zhang, Bangzheng, 2014. "Multifractal detrended cross-correlation analysis of carbon and crude oil markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 113-125.
  10. Liu, Yang & Zhuo, Xuru & Zhou, Xiaozhu, 2024. "Multifractal analysis of Chinese literary and web novels," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 641(C).
  11. Liu, Li & Wang, Yudong, 2014. "Cross-correlations between spot and futures markets of nonferrous metals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 400(C), pages 20-30.
  12. Shi, Wen & Zou, Rui-biao & Wang, Fang & Su, Le, 2015. "A new image segmentation method based on multifractal detrended moving average analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 432(C), pages 197-205.
  13. Mukli, Peter & Nagy, Zoltan & Eke, Andras, 2015. "Multifractal formalism by enforcing the universal behavior of scaling functions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 417(C), pages 150-167.
  14. Xiong, Gang & Yu, Wenxian & Zhang, Shuning, 2015. "Singularity power spectrum distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 431(C), pages 63-73.
  15. Wang, Lei & Liu, Lutao, 2020. "Long-range correlation and predictability of Chinese stock prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
  16. Xiong, Gang & Zhang, Shuning & Yang, Xiaoniu, 2012. "The fractal energy measurement and the singularity energy spectrum analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6347-6361.
  17. Xiong, Gang & Zhang, Shuning & Liu, Qiang, 2012. "The time-singularity multifractal spectrum distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4727-4739.
  18. Shen, Chen-hua & Huang, Yi & Yan, Ya-ni, 2016. "An analysis of multifractal characteristics of API time series in Nanjing, China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 171-179.
  19. Leonarduzzi, R. & Wendt, H. & Abry, P. & Jaffard, S. & Melot, C. & Roux, S.G. & Torres, M.E., 2016. "p-exponent and p-leaders, Part II: Multifractal analysis. Relations to detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 448(C), pages 319-339.
  20. Zhou, Weijie & Dang, Yaoguo & Gu, Rongbao, 2013. "Efficiency and multifractality analysis of CSI 300 based on multifractal detrending moving average algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1429-1438.
  21. Kristoufek, Ladislav, 2014. "Detrending moving-average cross-correlation coefficient: Measuring cross-correlations between non-stationary series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 406(C), pages 169-175.
  22. Hallam, Mark & Olmo, Jose, 2014. "Forecasting daily return densities from intraday data: A multifractal approach," International Journal of Forecasting, Elsevier, vol. 30(4), pages 863-881.
  23. Jaffard, S. & Melot, C. & Leonarduzzi, R. & Wendt, H. & Abry, P. & Roux, S.G. & Torres, M.E., 2016. "p-exponent and p-leaders, Part I: Negative pointwise regularity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 448(C), pages 300-318.
  24. Siokis, Fotios M., 2014. "European economies in crisis: A multifractal analysis of disruptive economic events and the effects of financial assistance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 283-292.
  25. 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.
  26. Olivares, Felipe & Zunino, Luciano, 2020. "Multiscale dynamics under the lens of permutation entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
  27. Jamshid Ardalankia & Mohammad Osoolian & Emmanuel Haven & G. Reza Jafari, 2019. "Scaling Features of Price-Volume Cross-Correlation," Papers 1903.01744, arXiv.org, revised Aug 2020.
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