Skewed multifractal scaling of stock markets during the COVID-19 pandemic

This article proposes a new paradigm of asymmetric multifractality in financial time series, where the scaling feature varies over two adjacent intervals. The proposed approach first locates a change-point and then performs a multifractal detrended fluctuation analysis (MF-DFA) on each interval. The...

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Detalles Bibliográficos
Autor principal: Saâdaoui, Foued
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Ltd. 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10027953/
https://www.ncbi.nlm.nih.gov/pubmed/36969947
http://dx.doi.org/10.1016/j.chaos.2023.113372

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10027953/
https://www.ncbi.nlm.nih.gov/pubmed/36969947
http://dx.doi.org/10.1016/j.chaos.2023.113372

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