scale-free networks and multifractality of clustering coefficients. …

indicated that the three signals have multifractality and present long-range correlation in a certain range. According to the … mean value of Δα, we found that the strength of the multifractality is varying. The PVC signals is the strongest, and the …

, On spurious and corrupted multifractality: the effects of additive noise, short- term memory and periodic trends, Physica …

In this paper, we investigate the efficiency and multifractality of a gold market based on multifractal detrended … and for time scales larger than a month. For time scales smaller than a month, the main contribution of multifractality is … important roles in the contribution of multifractality. Using the method of rolling windows, we find that the gold market became …

. Multifractality has been studied using the original, shuffled and surrogate data series to investigate the origin. We then extend the … local Hurst exponent idea taking in account the local multifractality, using a moving window of 10,000 data points. The … square of the difference of the local multifractality ranges, defined as a sensitivity index, provides a signal before the …

multifractality are long-range correlations of small and large fluctuations. Fat-tail distributions have important effects on the … multifractality of USD/AUR, USD/EUR and CNY/USD exchange rates. We also find evidence that extreme events play an important role in … the contributions to multifractality for the USD/EUR exchange rate. …

dimensions and singularity spectrum are derived. Furthermore, two main sources of multifractality, i.e. temporal correlations and … paper suggest that for both classes of investors in TSE, multifractality is mainly due to long-range correlation while for S …&P 500, the fat-tailed probability distribution is the main source of multifractality. …

well as limitations due to spurious multifractality. …