搜索结果: 1-12 共查到“经济学 Multifractal”相关记录12条 . 查询时间(0.067 秒)
Multifractal detrending moving average cross-correlation analysis
cross-correlations multifractal detrended cross-correlation analysis extensive numerical experiments
2011/3/30
There are a number of situations in which several signals are simultaneously recorded in complex systems, which exhibit long-term power-law cross-correlations. The multifractal detrended cross-correla...
Statistical and Multifractal Properties of the Time Series Generated by a Modified Minority Game
Statistical Multifractal Properties Time Series
2010/10/21
In this paper it was developed a modification of the known multiagent model Minority Game, designed to simulate the behavior of traders in financial markets and the resulting price dynamics on the ab...
Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant
Econophysics Stock and warrant Intertrade duration Correlation
2010/10/21
Intertrade duration of equities is an important financial measure characterizing the trading activities, which is defined as the waiting time between successive trades of an equity. Using the ultrahi...
Multifractal analysis and instability index of prior-to-crash market situations
Multifractal analysis instability index prior-to-crash market situations
2010/11/2
We take prior-to-crash market prices (NASDAQ, Dow Jones Indus-trial Average) as a signal, a function of time, we project these discrete values onto a vertical axis, thus obtaining a Cantordust. We stu...
Quantitative features of multifractal subtleties in time series
Quantitative features multifractal subtleties time series
2010/11/1
Based on the Multifractal Detrended Fluctuation Analysis (MFDFA) and on the Wavelet Transform Modulus Maxima (WTMM) methods we investigate the origin of multifractality in the time series.
Long-term correlations and multifractal analysis of trading volumes for Chinese stocks
Econophysics Trading volume Intraday pattern Correlation Multifractality
2010/10/29
We investigate the temporal correlations and multifractal nature of trading volume of 22
liquid stocks traded on the Shenzhen Stock Exchange in 2003. We find that the trading
volume exhibits size-de...
Multifractal dynamics of stock markets
multifractality econophysics time series analysis Hurst exponent
2010/11/3
We present a comparative analysis of multifractal properties of financial time series built on
stock indices from developing (WIG) and developed (S&P500) financial markets. It is shown
how the multi...
Forecasting volatility with the multifractal random walk model
Forecasting volatility the multifractal random walk model
2010/12/13
We study the problem of forecasting volatility for the multifractal random walk model. In order to avoid the ill posed problem of estimating the correlation length T of the model, we introduce a limit...
Direct evidence for inversion formula in multifractal financial volatility measure
Direct evidence inversion formula multifractal financial volatility measure
2010/12/13
The inversion formula for conservative multifractal measures was unveiled mathematically a decade ago, which is however not well tested in real complex systems. In this Letter, we propose to verify th...
Multifractal detrended cross-correlation analysis for two nonstationary signals
Multifractal detrended cross-correlation analysis nonstationary signals
2010/12/17
It is ubiquitous in natural and social sciences that two variables, recorded temporally or spatially in a complex system, are cross-correlated and possess multifractal features. We propose a new meth...
Multifractal analysis of Chinese stock volatilities based on partition function approach
Multifractal analysis Chinese stock partition function approach
2010/12/13
We have performed detailed multifractal analysis on the minutely volatility of two indexes and 1139 stocks in the Chinese stock markets based on the partition function approach. The partition function...
Effect of Asian currency crisis on multifractal spectra
Asian currency crisis multifractal spectra
2010/12/13
We analyze the multifractal spectra of daily foreign exchange rates for Japan, Hong Kong, Korea, and Thailand with respect to the United States Dollar from 1991 to 2005. We find that the return time ...