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

Avainsanat: Finance, Financial Engineering, Big Data/Analytics