Coverart for item
The Resource Multifractal detrended analysis method and its application in financial markets, Guangxi Cao, Ling-Yun He, Jie Cao

Multifractal detrended analysis method and its application in financial markets, Guangxi Cao, Ling-Yun He, Jie Cao

Label
Multifractal detrended analysis method and its application in financial markets
Title
Multifractal detrended analysis method and its application in financial markets
Statement of responsibility
Guangxi Cao, Ling-Yun He, Jie Cao
Creator
Contributor
Subject
Language
eng
Summary
This book collects high-quality papers on the latest fundamental advances in the state of Econophysics and Management Science, providing insights that address problems concerning the international economy, social development and economic security. This book applies the multi-fractal detrended class method, and improves the method with different filters. The authors apply those methods to a variety of areas: financial markets, energy markets, gold market and so on. This book is arguably a systematic research and summary of various kinds of multi-fractal detrended methods. Furthermore, it puts forward some investment suggestions on a healthy development of financial markets
Cataloging source
N$T
http://library.link/vocab/creatorName
Cao, Guangxi
Dewey number
332
Index
no index present
LC call number
HG176.7
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • He, Ling-Yun
  • Cao, Jie
http://library.link/vocab/subjectName
  • Financial engineering
  • Econophysics
  • Management science
  • Finance
  • Financial Engineering
  • Big Data/Analytics
Label
Multifractal detrended analysis method and its application in financial markets, Guangxi Cao, Ling-Yun He, Jie Cao
Instantiates
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Intro; Acknowledgements; Contents; 1 Introduction; 1.1 A Historical Evolution of Fractal Methods; 1.2 Application Areas; References; 2 Long Memory Methods and Comparative Analysis; 2.1 Methodology; 2.1.1 R/S and Modified R/S; 2.1.2 DFA Method; 2.2 Data; 2.3 Estimation and the Descriptive Statistics of the Time-Varying Hurst Exponent; 2.3.1 Estimation; 2.3.2 Descriptive Statistics; 2.4 Relationship Between the Two Time-Varying Hurst Exponent Series; 2.4.1 Unit Root Test; 2.4.2 Cointegration Test; 2.4.3 Granger Causality Test; 2.5 Conclusions; References
  • 3 Multifractal Detrended Fluctuation Analysis (MF-DFA)3.1 Methodology; 3.1.1 MF-DFA; 3.1.2 Partition Function; 3.2 Empirical Analysis on Developed-Emerging Agricultural Futures Markets; 3.2.1 Data; 3.2.2 Multifractal Spectrum Analysis; 3.2.3 Sources of Multifractality; 3.2.4 Comparative Analysis; 3.2.5 Conclusions; 3.3 Empirical Analysis on Crude Oil Markets; 3.3.1 Data; 3.3.2 Multifractality and Its Dynamical Formation Mechanisms; 3.3.3 Multifractal Detrended Fluctuation Analysis; 3.3.4 Sources of Multifractality; 3.3.5 Multifractal Analysis of Price Fluctuations at Different Scales
  • 3.3.6 ConclusionsReferences; 4 Multifractal Detrended Cross-Correlation Analysis (MF-DCCA); 4.1 Methodology; 4.2 Empirical Analysis on Chinese Stock-Exchange Market; 4.2.1 Data; 4.2.2 Cross-Correlation Test; 4.2.3 Multifractal Detrended Cross-Correlation Analysis; 4.2.4 Scaling Consistency Analysis; 4.2.5 Dynamics of Cross-Correlations Over Time; 4.2.6 Discussion; 4.2.6.1 Rolling Windows; 4.2.6.2 Relationship Between Bivariate Cross-Correlation Exponents and the Generalized Hurst Exponents; 4.2.6.3 Implications; 4.2.7 Conclusions
  • 4.3 Empirical Analysis on Price-Volume Relationships in Agricultural Commodity Futures Markets4.3.1 Data; 4.3.2 Cross-Correlation Test; 4.3.3 Results and Discussions; 4.3.4 Conclusions; References; 5 Asymmetric Multifractal Detrended Fluctuation Analysis (A-MFDFA); 5.1 Methodology; 5.1.1 A-MFDFA Method; 5.1.2 Asymmetric GARCH Model; 5.2 Empirical Analysis on Shanghai-Shenzhen Stock Market; 5.2.1 Data; 5.2.2 Empirical Results; 5.2.3 Discussion; 5.2.3.1 Origin of Multifractality with Different Trends; 5.2.3.2 Source of the Asymmetry; 5.2.3.3 Time-Varying Feature of Asymmetry; 5.2.4 Conclusions
  • 5.3 Empirical Analysis on International Gold Markets5.3.1 Descriptive Statistics Analysis of Gold Price; 5.3.2 Analysis of Asymmetric Scaling Behavior; 5.3.2.1 Asymmetry of the Fluctuation Function; 5.3.2.2 Estimating the Generalized Hurst Exponent H(q); 5.3.2.3 Analyzing the Multifractal Singularity Spectrum; 5.3.2.4 Time-Varying Analysis of Multifractal Asymmetry; 5.3.3 Discussion; 5.3.3.1 Statistical Tests; 5.3.3.2 Origin of Multifractality with Different Trends; 5.3.3.3 Source of the Asymmetry; 5.3.4 Asymmetric Influences of Good and Bad News on Gold Price Fluctuation; 5.3.5 Conclusions
Control code
SPR1024311088
Dimensions
unknown
Extent
1 online resource.
File format
unknown
Form of item
online
Isbn
9789811079160
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-981-10-7916-0
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • on1024311088
  • (OCoLC)1024311088
Label
Multifractal detrended analysis method and its application in financial markets, Guangxi Cao, Ling-Yun He, Jie Cao
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Intro; Acknowledgements; Contents; 1 Introduction; 1.1 A Historical Evolution of Fractal Methods; 1.2 Application Areas; References; 2 Long Memory Methods and Comparative Analysis; 2.1 Methodology; 2.1.1 R/S and Modified R/S; 2.1.2 DFA Method; 2.2 Data; 2.3 Estimation and the Descriptive Statistics of the Time-Varying Hurst Exponent; 2.3.1 Estimation; 2.3.2 Descriptive Statistics; 2.4 Relationship Between the Two Time-Varying Hurst Exponent Series; 2.4.1 Unit Root Test; 2.4.2 Cointegration Test; 2.4.3 Granger Causality Test; 2.5 Conclusions; References
  • 3 Multifractal Detrended Fluctuation Analysis (MF-DFA)3.1 Methodology; 3.1.1 MF-DFA; 3.1.2 Partition Function; 3.2 Empirical Analysis on Developed-Emerging Agricultural Futures Markets; 3.2.1 Data; 3.2.2 Multifractal Spectrum Analysis; 3.2.3 Sources of Multifractality; 3.2.4 Comparative Analysis; 3.2.5 Conclusions; 3.3 Empirical Analysis on Crude Oil Markets; 3.3.1 Data; 3.3.2 Multifractality and Its Dynamical Formation Mechanisms; 3.3.3 Multifractal Detrended Fluctuation Analysis; 3.3.4 Sources of Multifractality; 3.3.5 Multifractal Analysis of Price Fluctuations at Different Scales
  • 3.3.6 ConclusionsReferences; 4 Multifractal Detrended Cross-Correlation Analysis (MF-DCCA); 4.1 Methodology; 4.2 Empirical Analysis on Chinese Stock-Exchange Market; 4.2.1 Data; 4.2.2 Cross-Correlation Test; 4.2.3 Multifractal Detrended Cross-Correlation Analysis; 4.2.4 Scaling Consistency Analysis; 4.2.5 Dynamics of Cross-Correlations Over Time; 4.2.6 Discussion; 4.2.6.1 Rolling Windows; 4.2.6.2 Relationship Between Bivariate Cross-Correlation Exponents and the Generalized Hurst Exponents; 4.2.6.3 Implications; 4.2.7 Conclusions
  • 4.3 Empirical Analysis on Price-Volume Relationships in Agricultural Commodity Futures Markets4.3.1 Data; 4.3.2 Cross-Correlation Test; 4.3.3 Results and Discussions; 4.3.4 Conclusions; References; 5 Asymmetric Multifractal Detrended Fluctuation Analysis (A-MFDFA); 5.1 Methodology; 5.1.1 A-MFDFA Method; 5.1.2 Asymmetric GARCH Model; 5.2 Empirical Analysis on Shanghai-Shenzhen Stock Market; 5.2.1 Data; 5.2.2 Empirical Results; 5.2.3 Discussion; 5.2.3.1 Origin of Multifractality with Different Trends; 5.2.3.2 Source of the Asymmetry; 5.2.3.3 Time-Varying Feature of Asymmetry; 5.2.4 Conclusions
  • 5.3 Empirical Analysis on International Gold Markets5.3.1 Descriptive Statistics Analysis of Gold Price; 5.3.2 Analysis of Asymmetric Scaling Behavior; 5.3.2.1 Asymmetry of the Fluctuation Function; 5.3.2.2 Estimating the Generalized Hurst Exponent H(q); 5.3.2.3 Analyzing the Multifractal Singularity Spectrum; 5.3.2.4 Time-Varying Analysis of Multifractal Asymmetry; 5.3.3 Discussion; 5.3.3.1 Statistical Tests; 5.3.3.2 Origin of Multifractality with Different Trends; 5.3.3.3 Source of the Asymmetry; 5.3.4 Asymmetric Influences of Good and Bad News on Gold Price Fluctuation; 5.3.5 Conclusions
Control code
SPR1024311088
Dimensions
unknown
Extent
1 online resource.
File format
unknown
Form of item
online
Isbn
9789811079160
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-981-10-7916-0
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
  • on1024311088
  • (OCoLC)1024311088

Library Locations

Processing Feedback ...