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 …

Approaching complexity by stochastic methods: From biological systems to turbulence

R Friedrich, J Peinke, M Sahimi, MRR Tabar - Physics Reports, 2011 - Elsevier
This review addresses a central question in the field of complex systems: given a fluctuating
(in time or space), sequentially measured set of experimental data, how should one analyze …

MFDFA: Efficient multifractal detrended fluctuation analysis in python

LR Gorjão, G Hassan, J Kurths, D Witthaut - Computer Physics …, 2022 - Elsevier
Multifractal detrended fluctuation analysis (MFDFA) has become a central method to
characterise the variability and uncertainty in empiric time series. Extracting the fluctuations …

A multifractal approach for stock market inefficiency

L Zunino, BM Tabak, A Figliola, DG Pérez… - Physica A: Statistical …, 2008 - Elsevier
In this paper, the multifractality degree in a collection of developed and emerging stock
market indices is evaluated. Empirical results suggest that the multifractality degree can be …

Quantitative features of multifractal subtleties in time series

S Drożdż, J Kwapień, P Oświecimka, R Rak - Europhysics letters, 2010 - iopscience.iop.org
Abstract Based on the Multifractal Detrended Fluctuation Analysis (MFDFA) and on the
Wavelet Transform Modulus Maxima (WTMM) methods we investigate the origin of …

Facilitating joint chaos and fractal analysis of biosignals through nonlinear adaptive filtering

J Gao, J Hu, W Tung - PloS one, 2011 - journals.plos.org
Background Chaos and random fractal theories are among the most important for fully
characterizing nonlinear dynamics of complicated multiscale biosignals. Chaos analysis …

Multifractal detrended cross-correlation analysis of temporal and spatial seismic data

S Shadkhoo, GR Jafari - The European Physical Journal B, 2009 - Springer
Abstract We use Multi-Fractal Detrended Cross-Correlation Analysis (MF-DXA) method to
investigate the cross-correlation of temporal and spatial inter-events seismic data, which …

Multifractal detrended fluctuation analysis of human gait diseases

S Dutta, D Ghosh, S Chatterjee - Frontiers in physiology, 2013 - frontiersin.org
In this paper multifractal detrended fluctuation analysis (MFDFA) is used to study the human
gait time series for normal and diseased sets. It is observed that long range correlation is …

Fractal analysis of river flow fluctuations

MS Movahed, E Hermanis - Physica A: Statistical Mechanics and its …, 2008 - Elsevier
We use some fractal analysis methods to study river flow fluctuations. The result of the
Multifractal Detrended Fluctuation Analysis (MF-DFA) shows that there are two crossover …

Fault diagnosis of rolling bearings based on multifractal detrended fluctuation analysis and Mahalanobis distance criterion

J Lin, Q Chen - Mechanical Systems and Signal Processing, 2013 - Elsevier
Vibration data of faulty rolling bearings are usually nonstationary and nonlinear, and contain
fairly weak fault features. As a result, feature extraction of rolling bearing fault data is always …