In this paper, the multifractality degree in a collection of developed and emerging stock market indices is evaluated. Empirical results suggest that the multifractality degree can be used as a quantifier to characterize the stage of market development of world stock indices. We develop a model...

In this paper, the multifractality and efficiency degrees of ten important Chinese sectoral indices are evaluated using the methods of MF-DFA and generalized Hurst exponents. The study also scrutinizes the dynamics of the efficiency of Chinese sectoral stock market by the rolling window...

In this paper, we propose an efficiency index and multifractality degree for financial markets, and investigate the dynamics of the relationship between the two indices for the Shanghai stock market employing the technique of rolling window. By using the DCCA cross-correlation coefficient, we...

In this paper, we investigate the efficiency and multifractality of a gold market based on multifractal detrended fluctuation analysis. Our evidence shows that the gold return series are multifractal both for time scales smaller than a month and for time scales larger than a month. For time...

This paper employs multifractal detrended fluctuation analysis (MF-DFA) approach to analyze the complexity and fractal structures of China Securities Index 300 (CSI300), which covers the period from April 5, 2006 to May 9, 2014. Through comparing the statistic properties before and after the...

The multifractal properties of daily rainfall time series at the stations in Pearl River basin of China over periods of up to 45 years are examined using the universal multifractal approach based on the multiplicative cascade model and the multifractal detrended fluctuation analysis (MF-DFA)....