Cao, Guangxi
Multifractal Detrended Analysis Method and Its Application in Financial Markets
1. Introduction
Guangxi Cao, Ling-Yun He, Jie Cao
2. Long Memory Methods and Comparative Analysis
Guangxi Cao, Ling-Yun He, Jie Cao
3. Multifractal Detrended Fluctuation Analysis (MF-DFA)
Guangxi Cao, Ling-Yun He, Jie Cao
4. Multifractal Detrended Cross-Correlation Analysis (MF-DCCA)
Guangxi Cao, Ling-Yun He, Jie Cao
5. Asymmetric Multifractal Detrended Fluctuation Analysis (A-MFDFA)
Guangxi Cao, Ling-Yun He, Jie Cao
6. Asymmetric Multifractal Detrended Cross-Correlation Analysis (MF-ADCCA)
Guangxi Cao, Ling-Yun He, Jie Cao
7. Asymmetric DCCA Cross-Correlation Coefficient
Guangxi Cao, Ling-Yun He, Jie Cao
8. Simulation—Taking DMCA as an Example
Guangxi Cao, Ling-Yun He, Jie Cao
9. Multifractal Detrend Method with Different Filtering
Guangxi Cao, Ling-Yun He, Jie Cao
10. Risk Analysis Based on Multifractal Detrended Method
Guangxi Cao, Ling-Yun He, Jie Cao
Keywords: Finance, Financial Engineering, Big Data/Analytics
- Author(s)
- Cao, Guangxi
- Cao, Jie
- He, Ling-Yun
- Publisher
- Springer
- Publication year
- 2018
- Language
- en
- Edition
- 1
- Page amount
- 11 pages
- Category
- Economy
- Format
- Ebook
- eISBN (PDF)
- 9789811079160
- Printed ISBN
- 978-981-10-7915-3