Multifractal detrended $uctuation analysis of nonstationary time series

218 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Rough volatility of Bitcoin (2019, methodology): “In the MF-DFA, h(q) is obtained as the exponent of the fluctuation function Fq(S).”
Statistical properties and multifractality of Bitcoin (2017, methodology): “tcoin, which is unaddressed by current literature. To explore the multifractal property of Bitcoin, we calculate the generalized Hurst exponent using multifractal detrended uctuation analysis (MF-DFA)[15] by using 1-min return data. The MF{DFA, which is an extended method of DFA, can investigate mul”
On Hurst exponent estimation under heavy-tailed distributions (2010, methodology): “Multifractal detrended fluctuation analysis (MF−DFA), proposed by (Kantelhardt et al., 2002), is a generalization of detrended fluctuation analysis (DFA), proposed by (Peng et al., 1994).”
p-exponent and p-leaders, Part II: Multifractal Analysis. Relations to Detrended Fluctuation Analysis (2015, methodology): “FDFA, on other side, were proposed independently and in dierent elds: In the Mathematics literature for the former around year 2005 [34,40], in the Physics literature for the latter around year 2002 [23]. This is, to the best of our knowledge, the rst time that these two notions are connected, relat”