In this paper, we use the generalized Hurst exponent approach to study the multi-scaling
behavior of different financial time series. We show that this approach is robust and powerful …

We investigate the use of the Hurst exponent, dynamically computed over a weighted
moving time-window, to evaluate the level of stability/instability of financial firms. Financial …

A short review of an algorithm, called Detrending Moving Average, to estimate the Hurst
exponent H of fractals with arbitrary dimension is presented. Therefore, it has the ability to …

We quantify the amount of information filtered by different hierarchical clustering methods on
correlations between stock returns comparing the clustering structure with the underlying …

We study the time-varying efficiency of 15 Middle East and North African (MENA) stock
markets by generalized Hurst exponent analysis of daily data with a rolling window …

We discuss the origin of multiscaling in financial time-series and investigate how to best
quantify it. Our methodology consists in separating the different sources of measured …

The evolution with time of the correlation structure of equity returns is studied by means of a
filtered network approach investigating persistences and recurrences and their implications …

We investigate the cross-correlations between Renminbi (CNY) and four major currencies
(USD, EUR, JPY, and KRW) in the Renminbi currency basket, ie, the cross-correlations of …

The dynamical evolution of multiscaling in financial time series is investigated using time-
dependent Generalized Hurst Exponents (GHE), H q, for various values of the parameter q …

We measure the influence of different time-scales on the intraday dynamics of financial
markets. This is obtained by decomposing financial time series into simple oscillations …