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 …

Detrended cross-correlation analysis consistently extended to multifractality

P Oświȩcimka, S Drożdż, M Forczek, S Jadach… - Physical Review E, 2014 - APS
We propose an algorithm, multifractal cross-correlation analysis (MFCCA), which constitutes
a consistent extension of the detrended cross-correlation analysis and is able to properly …

Multiscale multifractal analysis of heart rate variability recordings with a large number of occurrences of arrhythmia

J Gierałtowski, JJ Żebrowski, R Baranowski - Physical Review E—Statistical …, 2012 - APS
Human heart rate variability, in the form of time series of intervals between heart beats,
shows complex, fractal properties. Recently, it was demonstrated many times that the fractal …

Fundamental dynamics of popularity-similarity trajectories in real networks

ES Papaefthymiou, C Iordanou, F Papadopoulos - Physical Review Letters, 2024 - APS
Real networks are complex dynamical systems, evolving over time with the addition and
deletion of nodes and links. Currently, there exists no principled mathematical theory for …

[PDF][PDF] Precipitation and river flow: Long-term memory and predictability of extreme events

A Bunde, MI Bogachev, S Lennartz - Extreme events and natural …, 2012 - academia.edu
In this review, we discuss linear and nonlinear long-term correlations in precipitation and
river flows and their influence on risk estimation. We outline the standard method for …

Multifractal moving average analysis and test of multifractal model with tuned correlations

AY Schumann, JW Kantelhardt - Physica A: Statistical Mechanics and its …, 2011 - Elsevier
We address two common major problems in the study of time series characterizing
fluctuations in complex systems: multifractal analysis and multifractal modeling. Specifically …

A fast DFA algorithm for multifractal multiscale analysis of physiological time series

P Castiglioni, A Faini - Frontiers in physiology, 2019 - frontiersin.org
Detrended fluctuation analysis (DFA) is a popular tool in physiological and medical studies
for estimating the self-similarity coefficient, α, of time series. Recent researches extended its …

Evidence for long‐term memory in sea level

S Dangendorf, D Rybski, C Mudersbach… - Geophysical …, 2014 - Wiley Online Library
Detection and attribution of anthropogenic climate change signals in sea level rise (SLR)
has experienced considerable attention during the last decades. Here we provide evidence …

Multifractal formalism by enforcing the universal behavior of scaling functions

P Mukli, Z Nagy, A Eke - Physica A: Statistical Mechanics and its …, 2015 - Elsevier
Despite its solid foundations, multifractal analysis is still a challenging task. The
'inversed'singularity spectrum is a major pitfall in standard multifractal analyses especially …

Detecting anthropogenic footprints in sea level rise

S Dangendorf, M Marcos, A Müller, E Zorita… - Nature …, 2015 - nature.com
While there is scientific consensus that global and local mean sea level (GMSL and LMSL)
has risen since the late nineteenth century, the relative contribution of natural and …