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Multifractal detrended analysis method and its application in financial markets

Author: Guangxi Cao; Ling-Yun He; Jie Cao
Publisher: Singapore : Springer, [2018]
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This book collects high-quality papers on the latest fundamental advances in the state of Econophysics and Management Science, providing insights that address problems concerning the international economy, social development and economic security. This book applies the multi-fractal detrended class method, and improves the method with different filters. The authors apply those methods to a variety of areas:  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Cao, Guangxi.
Multifractal detrended analysis method and its application in financial markets.
Singapore : Springer, [2018]
(OCoLC)1015840652
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Guangxi Cao; Ling-Yun He; Jie Cao
ISBN: 9789811079160 9811079161
OCLC Number: 1024311088
Description: 1 online resource
Contents: Intro; Acknowledgements; Contents; 1 Introduction; 1.1 A Historical Evolution of Fractal Methods; 1.2 Application Areas; References; 2 Long Memory Methods and Comparative Analysis; 2.1 Methodology; 2.1.1 R/S and Modified R/S; 2.1.2 DFA Method; 2.2 Data; 2.3 Estimation and the Descriptive Statistics of the Time-Varying Hurst Exponent; 2.3.1 Estimation; 2.3.2 Descriptive Statistics; 2.4 Relationship Between the Two Time-Varying Hurst Exponent Series; 2.4.1 Unit Root Test; 2.4.2 Cointegration Test; 2.4.3 Granger Causality Test; 2.5 Conclusions; References. 3 Multifractal Detrended Fluctuation Analysis (MF-DFA)3.1 Methodology; 3.1.1 MF-DFA; 3.1.2 Partition Function; 3.2 Empirical Analysis on Developed-Emerging Agricultural Futures Markets; 3.2.1 Data; 3.2.2 Multifractal Spectrum Analysis; 3.2.3 Sources of Multifractality; 3.2.4 Comparative Analysis; 3.2.5 Conclusions; 3.3 Empirical Analysis on Crude Oil Markets; 3.3.1 Data; 3.3.2 Multifractality and Its Dynamical Formation Mechanisms; 3.3.3 Multifractal Detrended Fluctuation Analysis; 3.3.4 Sources of Multifractality; 3.3.5 Multifractal Analysis of Price Fluctuations at Different Scales. 3.3.6 ConclusionsReferences; 4 Multifractal Detrended Cross-Correlation Analysis (MF-DCCA); 4.1 Methodology; 4.2 Empirical Analysis on Chinese Stock-Exchange Market; 4.2.1 Data; 4.2.2 Cross-Correlation Test; 4.2.3 Multifractal Detrended Cross-Correlation Analysis; 4.2.4 Scaling Consistency Analysis; 4.2.5 Dynamics of Cross-Correlations Over Time; 4.2.6 Discussion; 4.2.6.1 Rolling Windows; 4.2.6.2 Relationship Between Bivariate Cross-Correlation Exponents and the Generalized Hurst Exponents; 4.2.6.3 Implications; 4.2.7 Conclusions. 4.3 Empirical Analysis on Price-Volume Relationships in Agricultural Commodity Futures Markets4.3.1 Data; 4.3.2 Cross-Correlation Test; 4.3.3 Results and Discussions; 4.3.4 Conclusions; References; 5 Asymmetric Multifractal Detrended Fluctuation Analysis (A-MFDFA); 5.1 Methodology; 5.1.1 A-MFDFA Method; 5.1.2 Asymmetric GARCH Model; 5.2 Empirical Analysis on Shanghai-Shenzhen Stock Market; 5.2.1 Data; 5.2.2 Empirical Results; 5.2.3 Discussion; 5.2.3.1 Origin of Multifractality with Different Trends; 5.2.3.2 Source of the Asymmetry; 5.2.3.3 Time-Varying Feature of Asymmetry; 5.2.4 Conclusions. 5.3 Empirical Analysis on International Gold Markets5.3.1 Descriptive Statistics Analysis of Gold Price; 5.3.2 Analysis of Asymmetric Scaling Behavior; 5.3.2.1 Asymmetry of the Fluctuation Function; 5.3.2.2 Estimating the Generalized Hurst Exponent H(q); 5.3.2.3 Analyzing the Multifractal Singularity Spectrum; 5.3.2.4 Time-Varying Analysis of Multifractal Asymmetry; 5.3.3 Discussion; 5.3.3.1 Statistical Tests; 5.3.3.2 Origin of Multifractality with Different Trends; 5.3.3.3 Source of the Asymmetry; 5.3.4 Asymmetric Influences of Good and Bad News on Gold Price Fluctuation; 5.3.5 Conclusions.
Responsibility: Guangxi Cao, Ling-Yun He, Jie Cao.

Abstract:

This book collects high-quality papers on the latest fundamental advances in the state of Econophysics and Management Science, providing insights that address problems concerning the international  Read more...

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