Search Results - subject:"Multifractality"

Multifractal Detrended Fluctuation Analysis of the Chinese Stock Index Futures Market

Lu, Xinsheng; Tian, Jie; Zhou, Ying; Li, Zhihui - Faculty of Business, Auckland University of Technology - 2012

-minute closing prices, we find that the Chinese stock index futures returns exhibit long-range correlations and multifractality … there exists two different sources of the multifractality for the Chinese stock index futures market. Our results suggest … that the multifractality is mainly due to long-range correlations, although the fat-tailed probability distributions also …

Persistent link: https://www.econbiz.de/10010596143

The dynamics of market share’s growth and competition in quadratic mappings

Dominique, C-Rene; Rivera-Solis, Luis Eduardo - Volkswirtschaftliche Fakultät, … - 2012

This paper shows that the observed output of any market, placed within the confine of a quadratic map, can characterize the state of that market. Such an approach explains the process of market share’s growth and its pitfalls, the consequences of broken symmetry of scaling, as well as the...

Persistent link: https://www.econbiz.de/10011258528

Evidences for a structural change in the oil market before a financial crisis : the flat horizon effect

Chiarucci, Riccardo; Loffredo, Maria I.; Ruzzenenti, Franco - In: Research in international business and finance 42 (2017), pp. 912-921

Persistent link: https://www.econbiz.de/10011753802

A Multifractal Detrended Fluctuation Analysis of the Moroccan Stock Exchange

Benbachir, Saâd; El Alaoui, Marwane - Volkswirtschaftliche Fakultät, … - 2011

phaserandomization techniques to detect the sources of the multifractality. We show that there are two major sources of multifractality … mainly to the multifractality of MASI index while the two sources contribute almost equally to the multifractality of the …

Persistent link: https://www.econbiz.de/10011108137

Is efficiency of crude oil market affected by multifractality? : evidence from the WTI crude oil market

Gu, Rongbao; Zhang, Bing - In: Energy economics 53 (2016), pp. 151-158

Persistent link: https://www.econbiz.de/10011660491

Relative forecasting performance of volatility models: Monte Carlo evidence

Lux, Thomas; Morales-Arias, Leonardo - 2010

components, stochastic shocks, Markov-switching and multifractality. Forecasts are evaluated by means of Mean Squared Errors (MSE …

Persistent link: https://www.econbiz.de/10010265831

Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price

Zhuang, Xiaoyang; Wei, Yu; Ma, Feng - In: Physica A: Statistical Mechanics and its Applications 430 (2015) C, pp. 101-113

In this paper, the multifractality and efficiency degrees of ten important Chinese sectoral indices are evaluated using … indices of Chinese stock market exist different degrees of multifractality. The results of different efficiency measures have …

Persistent link: https://www.econbiz.de/10011264549

Multifractal analysis of Asian markets during 2007–2008 financial crisis

Hasan, Rashid; Mohammad, Salim M. - In: Physica A: Statistical Mechanics and its Applications 419 (2015) C, pp. 746-761

2007–2008 US financial crisis adversely affected the stock markets all over the world. Asian markets also came under pressure and were differently affected. As markets under stress could reveal features that remain hidden under normal conditions, we use MF-DFA technique to investigate the...

Persistent link: https://www.econbiz.de/10011117879

Self-organized criticality attributed to a central limit-like convergence effect

Kendal, Wayne S. - In: Physica A: Statistical Mechanics and its Applications 421 (2015) C, pp. 141-150

Self-organized criticality is a hypothesis used to explain the origin of 1/f noise and other scaling behaviors. Despite being proposed nearly 30 years ago, no consensus exists as to its exact definition or mathematical mechanism(s). Recently, a model for 1/f noise was proposed based on a family...

Persistent link: https://www.econbiz.de/10011193988

The effectiveness of China’s RMB exchange rate reforms: An insight from multifractal detrended fluctuation analysis

Qin, Jing; Lu, Xinsheng; Zhou, Ying; Qu, Ling - In: Physica A: Statistical Mechanics and its Applications 421 (2015) C, pp. 443-454

multifractal properties as well as multifractality degree of RMB/USD and RMB/HKD exchange markets. Our empirical results show that …

Persistent link: https://www.econbiz.de/10011194024