Multifractal analysis of financial markets: A review

ZQ Jiang, WJ **e, WX Zhou… - Reports on Progress in …, 2019 - iopscience.iop.org
Multifractality is ubiquitously observed in complex natural and socioeconomic systems.
Multifractal analysis provides powerful tools to understand the complex nonlinear nature of …

[HTML][HTML] Persistence in complex systems

S Salcedo-Sanz, D Casillas-Pérez, J Del Ser… - Physics Reports, 2022 - Elsevier
Persistence is an important characteristic of many complex systems in nature, related to how
long the system remains at a certain state before changing to a different one. The study of …

Long-memory processes

J Beran, Y Feng, S Ghosh, R Kulik - Long-Mem. Process, 2013 - Springer
Long-memory, or more generally fractal, processes are known to play an important role in
many scientific disciplines and applied fields such as physics, geophysics, hydrology …

Multifractal detrended fluctuation analysis of nonstationary time series

JW Kantelhardt, SA Zschiegner… - Physica A: Statistical …, 2002 - Elsevier
We develop a method for the multifractal characterization of nonstationary time series, which
is based on a generalization of the detrended fluctuation analysis (DFA). We relate our …

Detecting long-range correlations with detrended fluctuation analysis

JW Kantelhardt, E Koscielny-Bunde, HHA Rego… - Physica A: Statistical …, 2001 - Elsevier
We examine the detrended fluctuation analysis (DFA), which is a well-established method
for the detection of long-range correlations in time series. We show that deviations from …

Effect of trends on detrended fluctuation analysis

K Hu, PC Ivanov, Z Chen, P Carpena, HE Stanley - Physical Review E, 2001 - APS
Detrended fluctuation analysis (DFA) is a scaling analysis method used to estimate long-
range power-law correlation exponents in noisy signals. Many noisy signals in real systems …

Effect of nonstationarities on detrended fluctuation analysis

Z Chen, PC Ivanov, K Hu, HE Stanley - Physical review E, 2002 - APS
Detrended fluctuation analysis (DFA) is a scaling analysis method used to quantify long-
range power-law correlations in signals. Many physical and biological signals are “noisy,” …

[KİTAP][B] Brownian agents and active particles: collective dynamics in the natural and social sciences

F Schweitzer, JD Farmer - 2003 - Springer
When we contemplate phenomena as diverse as electrochemical deposition or the spatial
patterns of urban development, it is natural to assume that they havenothing incommon …

[KİTAP][B] Noise in spatially extended systems

J García-Ojalvo, J Sancho - 2012 - books.google.com
Intended for graduate students and researchers in physics, chemistry, biology, and applied
mathematics, this book provides an up-to-date introduction to current research in fluctuations …

Stochastic models that separate fractal dimension and the Hurst effect

T Gneiting, M Schlather - SIAM review, 2004 - SIAM
Fractal behavior and long-range dependence have been observed in an astonishing
number of physical, biological, geological, and socioeconomic systems. Time series …