Lim, Gyuchang; Kim, SooYong; Lee, Hyoung; Kim, Kyungsik; … - In: Physica A: Statistical Mechanics and its Applications 386 (2007) 1, pp. 259-266
We investigate the multifractal properties of price increments in the cases of derivative and spot markets. Through the multifractal detrended fluctuation analysis, we estimate the generalized Hurst and the Renyi exponents for price fluctuations. By deriving the singularity spectrum from the...