Fractal is employed in this paper as a scale-based method for the identification of the scaling behavior of time series. Many spatial and temporal processes exhibiting complex multi(mono)-scaling behaviors are fractals. One of the important concepts in fractals is crossover time scale(s) that...

In this paper, we investigate the long-range auto-correlated behavior of WTI crude oil volatility series employing multifractal detrended fluctuation analysis. Our findings show that the for small time scales, the auto-correlations of volatilities were multifractal while for large time scales,...

In light of the continual substantial divergences between mainstream economics and econophysics in regard to the market efficiency of international oil price volatility, a model based on multifractal detrended fluctuation analysis is built up to conduct an in-depth research into the validity and...

The multifractal nature of WTI and Brent crude oil markets is studied employing the multifractal detrended fluctuation analysis. We find that two crude oil markets become more and more efficient for long-term and two Gulf Wars cannot change time scale behavior of crude oil return series....

We examine statistical properties of a daily hot pixel time series recorded in Brazil during the period 1998–2006, using Multifractal Detrended Fluctuation Analysis (MF-DFA). We find that generalized scaling exponent h(q) is a decreasing function of q, indicating multifractal behavior of hot...

We develop a criterion based on a brute-force algorithm to systematically determine optimal fitting regions for fluctuation functions in Detrended Fluctuation Analysis (DFA) and Multifractal Detrended Fluctuation Analysis (MF-DFA). We analyze and compare results with several artificially...

We have numerically investigated the effects that observational correlated noises have on the generalized Hurst exponents, h(q), estimated by using the multifractal generalization of detrended fluctuation analysis (MF-DFA). More precisely, artificially generated stochastic binomial multifractals...

Wavelet Leaders is a novel alternative based on wavelet analysis for estimating the Multifractal Spectrum. It was proposed by Jaffard and co-workers improving the usual wavelet methods. In this work, we analyze and compare it with the well known Multifractal Detrended Fluctuation Analysis. The...

A new model is proposed to investigate the structure of electricity price in different time periods. A popular method — the multifractal detrended fluctuation analysis (MF-DFA) method is employed to analyze the features achieved from three types of electricity price data after filtering some...