Measuring multifractality of stock price fluctuation using multifractal detrended fluctuation analysis

By Ying Yuan, Xintian Zhuang, Xiu Jin. 2009

183 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/ea6e23848274487180cf56ccb1f1c88760f8f441

How researchers see this paper

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In Economics and Econometrics

1. Patrice Abry
2. Guangxi Cao
3. Longbing Xu
4. Jie Cao
5. Roberto F. Leonarduzzi
6. María Eugenia Torres
7. Stéphane G. Roux
8. Clothilde Mélot

In Finance

1. Guangxi Cao
2. Longbing Xu
3. Jie Cao
4. O. Bacha
5. Stéphane Jaffard
6. Syed Aun R. Rizvi
7. Mansur Masih

In Statistical and Nonlinear Physics

1. Guangxi Cao
2. Longbing Xu
3. Jie Cao
4. Patrice Abry
5. Stéphane Jaffard
6. Xinsheng Lu

Citations in the corpus

• Multifractal Detrended Fluctuation Analysis of the Chinese Stock Index Futures Market (2013, background): “As a robust and powerful technique for the verification of multifractal behavior, MF-DFA has so far been applied to various markets, including international crude oil markets [5], foreign exchange markets [6], stock markets [7], gold markets [8], and agricultural commodity futures markets [9].”
• p-exponent and p-leaders, Part II: Multifractal Analysis. Relations to Detrended Fluctuation Analysis (2015, background): “, [57, 58, 59, 60, 61, 62]), thus empirically justifying a posteriori the choice of Tmfd as a relevant multiresolution quantity for multifractal analysis.”
• Multifractal detrended cross-correlations between the Chinese exchange market and stock market (2012, background): “In order to measure the time-varying degree of multifractality, the financial risk measure∆H was proposed by Yuan and Zhuang [43,44] as the following”
• An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA (2014, background): “[39] andWang and Gu [2], in determining the crossover derived from a log–log plot between the length scale and the order of fluctuation function.”
• Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA (2013, methodology): “Numerous studies have analyzedmultifractality in the Chinese stock market [19–25], but relatively few have focused on the asymmetry of multifractal scaling behavior.”