Multifractal Detrended Analysis Method and Its Application in Financial Markets

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...

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Hlavní autor: Cao, Guangxi (Autor)
Médium: Elektronický zdroj E-kniha
Jazyk:angličtina
Vydáno: Singapore : Springer Singapore , 2018.
Vydání:1st ed. 2018.
Témata:
Financial engineering.
Big data.
ISBN:9789811079160
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Obsah:
  • 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.

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