-minute closing prices, we find that the Chinese stock index futures returns exhibit long-range correlations and multifractality … existence of 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 …

multifractality than the 1987 crisis. …

multifractality of 5-min high-frequency China Securities Index 300 (CSI 300). The results show that the CSI 300 market becomes closer … to weak-form efficiency after the introduction of CSI 300 future. We find that the CSI 300 is featured by multifractality … removing extreme values procedures, we unveil that extreme events and fat-distribution are the main origin of multifractality …

detrending moving average indicate that GARCH models cannot capture multifractality in natural gas markets. This may be the …

that the previously reported mass multifractality behavior (Vicsek et al., 1990  [13]) detected for DLA clusters is a …

In this paper, we propose an efficiency index and multifractality degree for financial markets, and investigate the … of market multifractality can lead to a lower degree of market efficiency before the equity division reforms, whereas it …

series is consistent with a scenario where multifractality is constant over time, fluctuations in the dynamical wGHE observed … constant multifractality considering different specifications of MRW model with fatter tails: in all cases considered, although … the thickness of the tails accounts for most of the anomalous fluctuations of multifractality, it still cannot fully …

different types of source of multifractality, namely, fat-tailed probability distributions and nonlinear temporal correlations …, are studied. By using the unit root test, we also find the strength of the multifractality of the volatility time series …

observe a puzzling phenomenon where an apparent increase in multifractality is measured in time series generated from shuffled … motion and Levy flights. Overall we conclude that the multifractality observed in financial time series is mainly a … measured multifractality. …