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Modelling electricity forward markets by ambit fields
Ole E. Barndorff–Nielsen; Benth, Fred Espen; Veraart, … - School of Economics and Management, University of Aarhus - 2010
This paper proposes a new modelling framework for electricity forward markets, which is based on ambit fields. The new model can capture many of the stylised facts observed in energy markets. One of the main differences to the traditional models lies in the fact that we do not model the...
Persistent link: https://www.econbiz.de/10008462018
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Multifractal detrended fluctuation analysis of particle density fluctuations in high-energy nuclear collisions
Mali, P.; Sarkar, S.; Ghosh, S.; Mukhopadhyay, A.; Singh, G. - In: Physica A: Statistical Mechanics and its Applications 424 (2015) C, pp. 25-33
The detrended fluctuation analysis (DFA) and the multifractal DFA (MF-DFA) techniques are employed to characterize the pseudorapidity (η) distribution of charged mesons produced in 28Si+Ag/Br interaction at 14.5 GeV/nucleon and 32S+Ag/Br interaction at 200 GeV/nucleon. Various multifractal...
Persistent link: https://www.econbiz.de/10011194082
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Time evolution of market efficiency and multifractality of the Japanese stock market
Takaishi, Tetsuya - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-12
anti-persistence around the year 2000, which still persists. The degree of multifractality varies over time and does not …
Persistent link: https://www.econbiz.de/10013201335
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Multifractal Detrended Fluctuation Analysis of the Chinese Stock Index Futures Market
Lu, Xinsheng; Tian, Jie; Zhou, Ying; Li, Zhihui - 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/10012624236
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Source of the multifractality in exchange markets : multifractal detrended fluctuations analysis
Günay, Samet - In: Journal of business & economics research 12 (2014) 4, pp. 371-384
Persistent link: https://www.econbiz.de/10010432137
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One model is not enough : heterogeneity in cryptocurrencies' multifractal profiles
Bariviera, Aurelio Fernández - In: Finance research letters 39 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10012805488
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Time evolution of market efficiency and multifractality of the Japanese stock market
Takaishi, Tetsuya - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-12
anti-persistence around the year 2000, which still persists. The degree of multifractality varies over time and does not …
Persistent link: https://www.econbiz.de/10012814029
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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
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Multifractal detrended fluctuation analysis of the Chinese stock index futures market
Lu, Xinsheng; Tian, Jie; Zhou, Ying; Li, Zhihui - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 6, pp. 1452-1458
-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 …
Persistent link: https://www.econbiz.de/10010873666
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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