Multifractal Detrended Analysis Method and Its Application in Financial Markets [electronic resource] /
Cao, Guangxi.author.
He, Ling-Yun.author.
Cao, Jie.author.
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.
Includes bibliographical references.
Chapter 1 Introduction -- Chapter 2 Long Memory Methods and Comparative Analysis -- Chapter 3 Multifractal Detrended Fluctuation Analysis (MF-DFA) -- Chapter 4 Multifractal Detrended Cross-Correlation Analysis (MF-DCCA) -- Chapter 5 Asymmetric Multifractal Detrended Fluctuation Analysis (MF-ADFA) -- Chapter 6 Asymmetric Multifractal Detrended Cross-Correlation Analysis (MF-ADCCA) -- Chapter 7 Asymmetric DCCA Cross-Correlation Coeffcient -- Chapter 8 Simulation - Taking DMCA as an Example -- Chapter 9 Multifractal Dentrend Method with Different Filtering -- Chapter 10 Risk Analysis Based on Multifractal Detrended Method.
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.
Financial engineering.
Big data.
Financial Engineering.
Big Data/Analytics.